Comparing Factor Models with Price-Impact Costs

%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%% Replication package for "Comparing Factor Models with Price-Impact Costs'' by Sicong Li, Victor DeMiguel, and Alberto Martin-Utrera. %%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%% To replicate the main analysis in the paper, please run the Python code "TORUN-SaveMainBodyTablesFigures.py". To obtain this Table 8 of the main body of the manuscript, one needs to run the Python code "TORUN-SaveMultipleModelComparisonResults.py". Running each code generates a .tex file that could be compiled to generate a .pdf file that illustrates the results. The package also contains a detailed readme file to help users to run the codes. The replicated tables and figures are not always identical to those reported in the paper. This is because we have perturbed some of the data (e.g., the individual firm returns) in order to protect the proprietary nature of the data. We include two .pdf files that contain the full set of results replicated from this package.