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Using MATLAB to Develop Asset-Pricing Models

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Using MATLAB to Develop Asset-Pricing Models

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17 Nov 2006 (Updated )

Scripts to build and test Fama & French three-factor model.

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Description

A .zip file contains MATLAB scripts and data that were used in the webinar "Using MATLAB to Develop Asset-Pricing Models." The slides from the webinar are also included. The scripts examine the Fama & French model for a number of companies with recent IPOs to examine short-term pricing anomalies in the presence of missing data. A readme.txt file in the .zip folder contains instructions.

Required Products Financial Toolbox
Statistics Toolbox
MATLAB release MATLAB 7.3 (R2006b)
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Comments and Ratings (9)
13 Apr 2014 Tim

errors occur when loading universe in Matlab Student 2013b

06 Dec 2012 AmurLeopard  
17 Nov 2007 sk sk

Can any help me and let me how do to load the FFUniverse.mat in Matlab.

I cannot do it ? How to load the data file

load FFUniverse.mat
it does not work ?

23 May 2007 Dr.HAYDER ABDALRAHEM X AHMED

# Working with Physical Oceanography Groups in Marine Science Center/ Basrah University (1996-1997).
# Working with Microwave Communication Group in physics Department / College of Science / Basrah University (1997-2001).
# Working with Semiconductor Group (2001-2003).
# Working with Optical Devices Group (2003-2006).
# M.Sc. (Lecture Assistance) In a Physics department from (2001-2005).
# Ph.D. (Lecture) In a Physics department (2006-2007).

20 Apr 2007 Bob Taylor

IMPORTANT: The MATLAB code will only work with MATLAB versions 2006b and above.

19 Apr 2007 Alex K

I am having the same problem. You fints/merge function fails when putting cash, etc. with the CAPMUniverse variable.

17 Apr 2007 Corvin Codirla

You fints/merge function fails when putting cash, etc. with the CAPMUniverse variable. In any case the resulting new variable has NaN for cash.

22 Nov 2006 Rufus Turbatus

The file FFUniverse.mat seems corrupted, so the script stops at the first line.

But in general it looks like a good job, I'll try to fix the file myself.

20 Nov 2006 Dr.Hayder Ahmed

Academic member in Basarh University- Iraq
Dr. Hayder A.Ahmed

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