Authors
Huseyin Aytug, Yao Fu, Paolo Sodini
Publication date
2020/10
Publisher
Hämtat från https://data. houseoffinance. se/otherDB/famaFrench
Description
This document explains the construction of the four-factor model using stock price and accounting data of Swedish listed companies following the Fama and French (1993) and the Carhart (1997) four-factor model. It uses data from the Finbas dataset collected and distributed by the SHoF National Data Center Website from 1983 to 2019. The variables used to construct stock portfolios and risk factors are defined and explained in detail.
Total citations
Scholar articles