This release adds a new expected return model for our abnormal return calculator (ARC):

  • Capital Asset Pricing Model (CAPM) with all corresponding test statistics

Further, we worked on making our other factor models more accessible:

  • Fama–French three-factor model (FFM3)

  • Carhart four-factor model (FFM4)

You find sample data sets for the CAPM, FFM3, and FFM4 on our ARC instruction page.

Finally, housekeeping tasks were performed and a bug in the printout mechanism was fixed that had shown values of 0 as empty cells.


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