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  1. Empirical-Asset-Pricing Empirical-Asset-Pricing Public

    Univariate, Bivariate sorting and Fama-MacBeth regression

    Python 4

  2. Fuzzy-matching-two-company-name-lists Fuzzy-matching-two-company-name-lists Public

    Used Sparse Matrix Method for fuzzy matching two company name lists which is faster than Python Packages.

    Python

  3. Fama-French-and-Hou-Xue-Zhang-Factors-Replication Fama-French-and-Hou-Xue-Zhang-Factors-Replication Public

    This repository replicates the monthly return versions of the Fama-French (1992, 2015, 2018) and Hou-Xue-Zhang (2015, 2020) asset pricing factors using CRSP and Compustat data.

    Python 4

  4. GMM-Asset-Pricing GMM-Asset-Pricing Public

    Python implementation of two-stage GMM estimation and testing for multifactor asset pricing models, including risk premia, pricing errors, and cross-sectional regressions.

    Jupyter Notebook 1