- 使用MAD法（5）处理异常值
- 使用均值方差归一法标准化因子值
- 空值填充0
- 算因子的截面收益率（加入控制变量industry dummies和ln market cap）
- beta（因子收益率序列）和se序列，计算得到t值序列
- 分析tvalue_abs_mean,tvalue_mean,tvalue>2,beta_mean和beta_cumsum
-
Notifications
You must be signed in to change notification settings - Fork 0
Tomgit1122/Factor-Detection
Folders and files
| Name | Name | Last commit message | Last commit date | |
|---|---|---|---|---|
Repository files navigation
About
No description, website, or topics provided.
Resources
Stars
Watchers
Forks
Releases
No releases published
Packages 0
No packages published