Search found 1 match
- Mon Jun 29, 2015 7:29 am
- Forum: Programming
- Topic: Portfolio construction/regression coding
- Replies: 0
- Views: 1546
Portfolio construction/regression coding
So I have monthly data on firm`s returns and their sustainability performance. I now wanna contruct top vs. bottom portfolio on a monthly basis based on their sustainability performance. Following I need to regress Fama&French factors on the average return of these seperate portfolios in order t...