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This project studies CAPM and Fama-French risk factor models using Python's numpy and pandas libraries.

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risk-factor-models financial-analysis financial-markets investment-analysis python

risk-factor-models's Introduction

The Application of Risk Factor Models to Understand Investment Risks

There are many aspects that play a role in making investment decisions, and measuring the systematic risks of an investment is a fundamental part of deciding on what stocks to include in your portfolio.

This project studies the Capital Asset Pricing Model (CAPM) and the Fama-French 3-Factor Model using Python's NumPy and Pandas libraries. These models are applied to a dataset that includes over 1,300 stocks. The stock data and the monthly market factor returns are downloaded from Wharton Research Data Services (WRDS). Please refer to the file wrds_instructions.pdf for instructions on how to download the datasets from WRDS.

Please see the ipynb file for more details on the project.

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