Sebastian Frisch

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Questions related from Sebastian Frisch

How do I conduct a Fama French 3 Factor model on a portfolio?

Hi everyone, I am planning on constructing a Fama french 3 factor model for a period from 1.1.1998-31.12.2015 for a portfolio of about 120 stocks. I have collected the monthly returns for each...

19 March 2019 9,753 7 View

How do I calculate value-weighted returns for my buy and hold abnormal return ( BAHR) analysis?

Hello everyone, I am in the process of writing my master thesis and for each of the over 200 firms I am conducting a BAHR analysis for, I collected the following data so far: 1. Date of IPO 2....

04 March 2019 1,686 3 View