Fama-French Five-Factor Model

Implements the Fama and French (2015) five-factor model: $$R_i - R_f = \alpha + \beta_m (R_m - R_f) + \beta_s SMB + \beta_h HML + \beta_r RMW + \beta_c CMA + \epsilon$$

Requires columns: excess_return, market_excess, smb, hml, rmw, cma.

Super classes

ModelBase -> LinearFactorModel -> FamaFrench5FactorModel

Public fields

model_name

Name of the model.

formula

The five-factor regression formula.

required_columns

Required data columns.

Methods

Public methods

• FamaFrench5FactorModel$new()

• FamaFrench5FactorModel$abnormal_returns()

• FamaFrench5FactorModel$clone()

Inherited methods

• LinearFactorModel$fit()

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FamaFrench5FactorModel$new()

Create a new FamaFrench5FactorModel.

Usage

FamaFrench5FactorModel$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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FamaFrench5FactorModel$abnormal_returns()

Calculate abnormal returns using the five-factor model.

Usage

FamaFrench5FactorModel$abnormal_returns(data_tbl)

Arguments

data_tbl

Data frame or tibble.

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FamaFrench5FactorModel$clone()

The objects of this class are cloneable with this method.

Usage

FamaFrench5FactorModel$clone(deep = FALSE)

Arguments

deep

Whether to make a deep clone.