Asset_Pricing

The data for ETFs is from yahoo finance and the Fama-French Factor data is obtained from the Kenneth French website https://mba.tuck.dartmouth.edu/pages/faculty/ken.french/data_library.html#Research, and the Q factors is obtained from https://global-q.org/factors.html.

The objective is to analyse the returns sectoral ETFs data which have exposure to US. Then followed by implementing the CAPM model with Fama-French 3, 5 factors and then as an extension using Q factors. Then the next logical step to follow is the Fama-Macbeth model, for which we use the OLS, GLS and GMM . The motivation for this has been the the book "Asset Pricing" by John Cochrane (https://www.johnhcochrane.com/asset-pricing)

Extension for this would be to include the Nasdaq listed companies based on their respective cap and sector , and for S&P 500 / DJIA /...

Currently the R code was added and updated (Winsorization) and Python code will added in a few days.