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Published 20 hours ago • verified publisher icon stefan-jansen

Dependent variable of market beta estimation

Open mk0417 opened this issue 1 year ago • 0 comments

https://github.com/stefan-jansen/machine-learning-for-trading/blob/main/11_decision_trees_random_forests/00_data_prep.ipynb

Why minus market premium when estimating market beta? factor_data['return_1m'] -= factor_data['Mkt-RF']

The dependent variable should be the difference between stock return and risk-free rate factor_data['return_1m'] -= factor_data['RF']

mk0417 avatar Jun 19 '23 15:06 mk0417