facmodCS
Cross-Section Factor Models
Kirk Li, Mido Shammaa, Doug Martin
Last update: 15 June 2023
Copyright license: GNU General Public License, version 2.0
Software version identifier: 1.0
Linear cross-section factor model fitting with least-squares and robust fitting the 'lmrobdetMM()' function from 'RobStatTM'; related volatility, Value at Risk and Expected Shortfall risk and performance attribution (factor-contributed vs idiosyncratic returns); tabular displays of risk and performance reports; factor model Monte Carlo. The package authors would like to thank Chicago Research on Security Prices,LLC for the cross-section of about 300 CRSP stocks data (in the data.table object 'stocksCRSP', and S&P GLOBAL MARKET INTELLIGENCE for contributing 14 factor scores (a.k.a "alpha factors".and "factor exposures") fundamental data on the 300 companies in the data.table object 'factorSPGMI'. The 'stocksCRSP' and 'factorsSPGMI' data are not covered by the GPL-2 license, are not provided as open source of any kind, and they are not to be redistributed in any form.
