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Using MATLAB to Develop Asset-Pricing Models

version 1.0.0.1 (2.18 MB) by

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.

Comments and Ratings (9)

Tim

Tim (view profile)

errors occur when loading universe in Matlab Student 2013b

AmurLeopard

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 ?

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).

Bob Taylor

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

Alex K

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

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.

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.

Dr.Hayder Ahmed

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

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1.0.0.1

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MATLAB 7.3 (R2006b)

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