This repo contains mainly codes for homework from PhD course at INSEAD
Session 1: CAPM and several puzzles.
Session 2: Model testing, FF 3 factor model, both time series and cross-sectional regressions. Codes include GRS and FamaMacbeth.
Session 3: GMM and conditional CAPM testing. Data involve FF factors, FF portfolios, St. Louis Fed on default spread, BEA labor income growth.
- I first check the existence of predictability of bond spread on market return. So far the result seems pretty suspicious. I also notice the abnormal spikes in the early 1990s of labor income growth. I am also interested in replicating the P/D ratio predictability test summarized by Cochrane,
here is a useful reference from
- RichardMM;
- and there is data and matlab code available from Grumpy economist;
- Cochrane's presentation on it at NYU;
- An old code on testing with Shiller's data Christophj
There are notes from Cochrane explaining the predictability in details.