官方服务：
资源简介：
Factor loadings of individual sorts.
应用场景：
创建时间：
2018-09-11
相关数据集
commoditydata.csv
This is the research data used for the paper: Commodity momentum and reversal: Do they exist, and if so, why? The data set including commodity futures data and Fama-French asset pricing factors from S
DataCite Commons2022-11-13 更新130
Fama-MacBeth first-stage time-series regression data
This file includes 3 excels on Fama-MacBeth first-stage time-series regression data. The first excel includes portfolios “s1b1”-“s1b5” and “s2b1”-“s2b5”; the second excel includes portfolios “s3b1”-“s
DataCite Commons2020-09-02 更新90
Resolving Macroeconomic Uncertainty in Stock and Bond Markets
We establish an empirical link between the ex-ante uncertainty about macroeconomic fundamentals and the ex-post resolution of this uncertainty in financial markets. We measure macroeconomic uncertaint
NBER2006-06-01 更新40
Asset Prices When Agents are Marked-to-Market
"Risk management" in securities markets refers to the oversight of portfolio managers and professional traders when they trade on behalf of investors in security markets. Monitoring of their trading p
NBER2006-03-01 更新110
Characteristics of Mutual Fund Portfolios: Where Are the Value Funds?
This paper provides a comprehensive analysis of portfolios of active mutual funds and ETFs through the lens of risk (anomaly) factors. We show that these funds do not systematically tilt their portfol
NBER2018-12-01 更新80
