Calculating rolling alpha

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Calculating rolling alpha

Bobbur Abhilash Chowdary
Hello R users,

I would like to know if there exists a package/code snippet which can
calculate Fama-French-Carhart 4 factor rolling alpha. The estimation window
should be of at least last 36 months data and a maximum of 60 months. I
have data matrix with 7 columns - company name, Year-Month, Excess return
of stock for the month, and another 4 columns containing Fama French
Carhart factors from Kenneth French's website.

All help is appreciated.

Thanks,
Abhilash.

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Re: Calculating rolling alpha

Ilya Kipnis
https://rdrr.io/cran/roll/man/roll_lm.html

I used this in my last contract engagement, so I can vouch that this works
for *exactly* this purpose.

On Wed, Dec 5, 2018 at 8:20 PM Bobbur Abhilash Chowdary <
[hidden email]> wrote:

> Hello R users,
>
> I would like to know if there exists a package/code snippet which can
> calculate Fama-French-Carhart 4 factor rolling alpha. The estimation window
> should be of at least last 36 months data and a maximum of 60 months. I
> have data matrix with 7 columns - company name, Year-Month, Excess return
> of stock for the month, and another 4 columns containing Fama French
> Carhart factors from Kenneth French's website.
>
> All help is appreciated.
>
> Thanks,
> Abhilash.
>
>         [[alternative HTML version deleted]]
>
> _______________________________________________
> [hidden email] mailing list
> https://stat.ethz.ch/mailman/listinfo/r-sig-finance
> -- Subscriber-posting only. If you want to post, subscribe first.
> -- Also note that this is not the r-help list where general R questions
> should go.
>

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Re: Calculating rolling alpha

Bobbur Abhilash Chowdary
Thanks! I think this will do.

On Thu 6 Dec, 2018 06:54 Ilya Kipnis, <[hidden email]> wrote:

> https://rdrr.io/cran/roll/man/roll_lm.html
>
> I used this in my last contract engagement, so I can vouch that this works
> for *exactly* this purpose.
>
> On Wed, Dec 5, 2018 at 8:20 PM Bobbur Abhilash Chowdary <
> [hidden email]> wrote:
>
>> Hello R users,
>>
>> I would like to know if there exists a package/code snippet which can
>> calculate Fama-French-Carhart 4 factor rolling alpha. The estimation
>> window
>> should be of at least last 36 months data and a maximum of 60 months. I
>> have data matrix with 7 columns - company name, Year-Month, Excess return
>> of stock for the month, and another 4 columns containing Fama French
>> Carhart factors from Kenneth French's website.
>>
>> All help is appreciated.
>>
>> Thanks,
>> Abhilash.
>>
>>         [[alternative HTML version deleted]]
>>
>> _______________________________________________
>> [hidden email] mailing list
>> https://stat.ethz.ch/mailman/listinfo/r-sig-finance
>> -- Subscriber-posting only. If you want to post, subscribe first.
>> -- Also note that this is not the r-help list where general R questions
>> should go.
>>
>

        [[alternative HTML version deleted]]

_______________________________________________
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