- This is a repo used to verify the validity of the Fama three-factor model.
- The data used is from the Chinese stock market.
- The operation of the data is mainly based on pandas.
- Input and output data is saved in
.csvformat.
-
run
3-factor-model.pyto view the basic information about 25 Portafolio (according to the methodology in the paper written by Fama in 1992 & 1993) -
run
3-factor-model-construct-beta.pyto add the Beta information to the data list of the origin portafolio and save it in a new folder. -
run
3-factor-model-evaluate-beta.pyto view the full information about 25 Portafolio, observing whether beta plays a role in Fama Three-factor Model.
- \pf25_data\pfdata_0.csv
Stkcd Trdmnt Msmvosd Msmvttl Mretwd Mretnd Markettype Trdmnt_year Trdmnt_mon bemeA
0 4 2005/7/1 166211.4 335066.97 -0.109375 -0.109375 4 2005 Jul-05 0.506898
1 4 2005/8/1 196621.0 396369.95 0.182957 0.182957 4 2005 Aug-05 0.506898
2 4 2005/9/1 197454.14 398049.48 0.004237 0.004237 4 2005 Sep-05 0.506898
3 4 2005/10/1 186206.75 375375.78 -0.056962 -0.056962 4 2005 Oct-05 0.506898
4 4 2005/11/1 187039.89 377055.31 0.004474 0.004474 4 2005 Nov-05 0.506898
5 4 2005/12/1 172459.95 347663.47 -0.077951 -0.077951 4 2005 Dec-05 0.506898
6 4 2008/1/1 580150.52 745712.95 -0.108434 -0.108434 4 2008 Jan-08 0.415926
7 4 2008/2/1 622616.49 800297.8 0.073198 0.073198 4 2008 Feb-08 0.415926
8 4 2008/3/1 535071.26 687769.04 -0.140609 -0.140609 4 2008 Mar-08 0.415926
9 4 2008/4/1 473658.93 608830.96 -0.114774 -0.114774 4 2008 Apr-08 0.415926
10 4 2008/5/1 451445.96 580278.89 -0.046897 -0.046897 4 2008 May-08 0.415926
- \beta\SMONRETBETA_BFDT12__(1).txt
股票代码_StkCd 日期_Date 风险因子_流通市值加权_持有期收益_Beta_TMV_H
1 2005/1/31 0.9075
1 2005/2/28 0.7836
1 2005/3/31 0.8823
1 2005/4/29 0.8277
1 2005/5/31 0.7782
1 2005/6/30 0.7628
1 2005/7/29 0.7914
1 2005/8/31 0.7783
1 2005/9/30 0.8098
- \full_data\pfdata_beta_0.csv
StkCd Date-year Date-month Msmvosd Msmvttl Mretwd Mretnd bemeA Beta
0 4 2005 7 166211.4 335066.97 -0.109375 -0.109375 0.506898 1.5095
1 4 2005 8 196621.0 396369.95 0.182957 0.182957 0.506898 1.5595
2 4 2005 9 197454.14 398049.48 0.004237 0.004237 0.506898 1.4627
3 4 2005 10 186206.75 375375.78 -0.056962 -0.056962 0.506898 1.4694
4 4 2005 11 187039.89 377055.31 0.004474 0.004474 0.506898 1.378
5 4 2005 12 172459.95 347663.47 -0.077951 -0.077951 0.506898 1.2646
6 4 2008 1 580150.52 745712.95 -0.108434 -0.108434 0.415926 1.153
7 4 2008 2 622616.49 800297.8 0.073198 0.073198 0.415926 1.1246
8 4 2008 3 535071.26 687769.04 -0.140609 -0.140609 0.415926 0.992
9 4 2008 4 473658.93 608830.96 -0.114774 -0.114774 0.415926 1.1501
10 4 2008 5 451445.96 580278.89 -0.046897 -0.046897 0.415926 1.1479
- idnum [组合的代号 00-44(str)]
- num [组合所包含的数据的条目数量(int)]
- rankMsmv [组合所代表的市值属性大小 0最小，4最大(int)]
- rankBktomk [组合所代表的账面市值比属性大小 0最小，4最大(int)]
- Mretwd [平均考虑现金红利再投资的月个股回报率(float)]
- Mretnd [平均不考虑现金红利再投资的月个股回报率(float)]
- Msmvosd [平均月个股流通市值(float)] - 个股的流通股数与月收盘价的乘积
- Msmvttl [平均月个股总市值(float)] - 个股的发行总股数与月收盘价的乘积
- Bktomk [平均账面市值比(float)]
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