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Lecture 15 Factor Models - MIT OpenCourseWare

Factor ModelsFactor ModelsMIT KempthorneFall 2013 MIT 15: Factor Models1 Factor ModelsLinear Factor ModelMacroeconomic Factor ModelsFundamental Factor ModelsStatistical Factor Models : Factor AnalysisPrincipal Components AnalysisStatistical Factor Models : principal Factor MethodOutline1 Factor ModelsLinear Factor ModelMacroeconomic Factor ModelsFundamental Factor ModelsStatistical Factor Models : Factor AnalysisPrincipal Components AnalysisStatistical Factor Models : principal Factor MethodMIT Models2 Factor ModelsLinear Factor ModelMacroeconomic Factor ModelsFundamental Factor ModelsStatistical Factor Models : Factor AnalysisPrincipal Components AnalysisStatistical Factor Models : principal Factor MethodLinear Factor ModelData:massets/instruments/indexes:i= 1,2.

Statistical Factor Models: Factor Analysis Principal Components Analysis Statistical Factor Models: Principal Factor Method. Fama-French Approach (Eugene Fama and Kenneth French) For every time period t;apply cross-sectional sorts to de ne factor realizations. For a given asset attribute, sort the assets at

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