/Asset_Pricing_Test

Asset-Pricing Testing with Many Assets

Primary LanguagePython

Asset Pricing Test

This project focuses on asset pricing tests with many assets. For theoretical results, please read the paper PDF.

Simulation Results

$ python run_distributions.py -n 100 -t 120 -q 3 -e 1

Empirical Results

  • Fama-French Data
$ python 100_Portfolios_Monthly.py
  • Novy-Marx Data
$ python novy_marx_4factor.py