I want to identify whether stocks has postive alpha or negative alpha based on carhart four factor model. I calculated smb, hml and wml factor daily series. And then run a regression by taking each stock excess return as dependent variable. Time period is from 2009-2022. But I will run a single regression for the whole time period for each company. But the paper I am following days after regression they have calculated yearly alpha to identify. What's the need of yearly alpha. I am adding screenshot of that paragraph. Please someone help me in clearing that confusion.
Dear Komal Jindal
It is hard to understand your question.
It seems that you have yearly data, many companies, two groups, and now you want to run one regression for one company and then one regression for all companies.
My suggestions:
(1) Try to find out related papers and then get an idea of how to calculate and how to elaborate it.
(2) For two groups: you may get some knowledge from the following paper:
Article Labour productivity and firm performance: evidence from cert...
(3) Use structure break test
(4) If you can't find the above stuff then skip Alpha stuff. Explain your results without Alpha
Best of luck
Best regards
Dr. Muhammad Yousaf
I have daily data of 300 companies, o want to identify those companies with positive alpha and negative alpha based on carhart model. Then I am going to use both these portfolio of negative and positive for further analysis....so my question I will only run one regression for one company over the time period. And this paper tell to calculate yearly alpha. If I run one regression over the time period from 2009-2022, how will I get yearly alpha after that regression.
Apparently as the above reply states you need to run a few more regressions. Best wishes David Booth
- Badges
- Science topic
- Similar topics
- Mathematical Sciences
- Statistics
- Statistical Software
- SPSS