Linear factor models estimator applicable to traded factors

Parameters:
portfoliosarray_like

Test portfolio returns (nobs by nportfolio)

factorsarray_like

Priced factor returns (nobs by nfactor)

Notes

Implements both time-series estimators of risk premia, factor loadings and zero-alpha tests.

The model estimated is

$r_{it}^e = \alpha_i + f_t \beta_i + \epsilon_{it}$

where $$r_{it}^e$$ is the excess return on test portfolio i and $$f_t$$ are the traded factor returns. The model is directly tested using the estimated values $$\hat{\alpha}_i$$. Risk premia, $$\lambda_i$$ are estimated using the sample averages of the factors, which must be excess returns on traded portfolios.

Attributes:
formula

Methods

 fit([cov_type, debiased]) Estimate model parameters from_formula(formula, data, *[, portfolios]) Parameters:

Properties