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Using MATLAB to Develop Asset-Pricing Models

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Using MATLAB to Develop Asset-Pricing Models


Bob Taylor (view profile)


17 Nov 2006 (Updated )

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

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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 and Machine Learning Toolbox
MATLAB release MATLAB 7.3 (R2006b)
MATLAB Search Path
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Comments and Ratings (9)
13 Apr 2014 Tim

Tim (view profile)

errors occur when loading universe in Matlab Student 2013b

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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 ?


# 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).

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20 Apr 2007 Bob Taylor

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

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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.

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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.

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20 Nov 2006 Dr.Hayder Ahmed

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

03 Mar 2016 1.0


01 Sep 2016

Updated license

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