This project is designed to replicate the classical empirical models in the field of asset pricing. More importantly,these benchmark models will serve to validate my own model.

The project contains the following empirical models:

1. Fama MacBeth regression(Fama and MacBeth 1973)
2. GRS test(Gibbons, Ross, and Shanken 1989)
3. Fama French three factor model(Fama and French 1992)
4. Carhart 4 factor(Carhart 1997)
5. Pastor and Stambaugh liquidity model(Pástor and Stambaugh 2003)
6. Fama French five factor model(Fama and French 2015)

Carhart, Mark M. 1997. “On Persistence in Mutual Fund Performance.” The Journal of Finance 52 (1): 57–82.
Fama, Eugene F., and Kenneth R. French. 1992. “The Cross-Section of Expected Stock Returns.” The Journal of Finance 47 (2): 427–65. doi:10.1111/j.1540-6261.1992.tb04398.x.
———. 2015. “A Five-Factor Asset Pricing Model.” Journal of Financial Economics 116 (1): 1–22. doi:10.1016/j.jfineco.2014.10.010.
Fama, Eugene F., and James D. MacBeth. 1973. “Risk, Return, and Equilibrium: Empirical Tests.” Journal of Political Economy 81 (3): 607–36. doi:10.1086/260061.
Gibbons, Michael R., Stephen Ross, and Jay Shanken. 1989. “A Test of the Efficiency of a Given Portfolio.” Econometrica 57 (5): 1121–52.
Pástor, Ľuboš, and Robert F. Stambaugh. 2003. “Liquidity Risk and Expected Stock Returns.” Journal of Political Economy 111 (3): 642–85. doi:10.1086/374184.