Fama-French Three-Factor Model

Implements the Fama and French (1993) three-factor model: $$R_i - R_f = \alpha + \beta_m (R_m - R_f) + \beta_s SMB + \beta_h HML + \epsilon$$

The data must contain columns: excess_return (firm return minus risk-free), market_excess (market return minus risk-free), smb, and hml. These can be joined via a factor table in EventStudyTask.

Super classes

ModelBase -> LinearFactorModel -> FamaFrench3FactorModel

Public fields

model_name

Name of the model.

formula

The three-factor regression formula.

required_columns

Required data columns.

Methods

Public methods

• FamaFrench3FactorModel$new()

• FamaFrench3FactorModel$abnormal_returns()

• FamaFrench3FactorModel$clone()

Inherited methods

• LinearFactorModel$fit()

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FamaFrench3FactorModel$new()

Create a new FamaFrench3FactorModel.

Usage

FamaFrench3FactorModel$new(use_hac = FALSE, hac_lag = NULL)

Arguments

use_hac

Logical. Use HAC (Newey-West) standard errors.

hac_lag

Integer or NULL. Lag truncation for Newey-West.

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FamaFrench3FactorModel$abnormal_returns()

Calculate abnormal returns using the three-factor model.

Usage

FamaFrench3FactorModel$abnormal_returns(data_tbl)

Arguments

data_tbl

Data frame or tibble.

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FamaFrench3FactorModel$clone()

The objects of this class are cloneable with this method.

Usage

FamaFrench3FactorModel$clone(deep = FALSE)

Arguments

deep

Whether to make a deep clone.