Factor Models

Clifford S. Ang
Additional contact information
Clifford S. Ang: Compass Lexecon

Chapter Chapter 5 in Analyzing Financial Data and Implementing Financial Models Using R, 2021, pp 137-184 from Springer

Abstract: Abstract This chapter discusses factor models, which are models that explain the variation in expected stock returns using various proxies. We begin by discussing the most commonly used factor models, capital asset pricing model (CAPM) and Fama–French three factor model. We show how to analyze for consistency of results to various assumptions. We also discuss a popular application of factor models, the event study, which allows us to determine the effect of the disclosure of new information on the firm’s stock price. We end the chapter by showing a methodology that allows you to select the best set of factors.

Date: 2021
References: Add references at CitEc
Citations:

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:sptchp:978-3-030-64155-9_5

Ordering information: This item can be ordered from
http://www.springer.com/9783030641559

DOI: 10.1007/978-3-030-64155-9_5

Access Statistics for this chapter

More chapters in Springer Texts in Business and Economics from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().