Recorded Webinar: Using MATLAB to Develop Asset Pricing Models

This webinar demonstrates how to use MATLAB® and Financial Toolbox to develop and evaluate asset pricing models. We will ultimately focus on the Fama and French three-factor model with a twist — we will use the missing data capabilities of Financial Toolbox to price recent IPOs and uncover possible short-term pricing anomalies. While grounded firmly in finance theory, this webinar shows how to produce solid and robust real-world results that bridge the gap between theory and practice.

Through a series of modeling and analysis steps, attendees will see how to use the financial tools in MATLAB® to:

• Construct asset pricing models
• Work with multivariate regression tools that handle missing data
• Calibrate asset pricing models using seemingly-unrelated regression (SUR)
• Implement the Fama and French three-factor model with IPO data to uncover persistent alphas
• Perform statistical tests to validate the significance of short-term pricing anomalies

This webinar is for practitioners or academics in finance who focus on either quantitative analysis or portfolio management. It is not necessary for attendees to be familiar with MATLAB, although it will help.