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

$ python 100_Portfolios_Monthly.py

$ python novy_marx_4factor.py

Name		Name	Last commit message	Last commit date
Latest commit History 5 Commits
output		output
.gitignore		.gitignore
100_Portfolios_Monthly.py		100_Portfolios_Monthly.py
100_Portfolios_Monthly_Size_Investment.py		100_Portfolios_Monthly_Size_Investment.py
100_Portfolios_Monthly_Size_Investment_cross.py		100_Portfolios_Monthly_Size_Investment_cross.py
100_Portfolios_Monthly_Size_Profitability.py		100_Portfolios_Monthly_Size_Profitability.py
100_Portfolios_Monthly_Size_Profitability_cross.py		100_Portfolios_Monthly_Size_Profitability_cross.py
100_Portfolios_Monthly_cross.py		100_Portfolios_Monthly_cross.py
README.md		README.md
novy_marx_4factor.py		novy_marx_4factor.py
run_distributions.py		run_distributions.py
utils.py		utils.py
utils_fama_french.py		utils_fama_french.py
utils_novy_marx.py		utils_novy_marx.py