Empirical Analysis for APMA Seminar, Fall 2019. Contributors: Felipe Fritsch, Daniel Moreno, Thomas Chadrycki.
Replicating empirical analysis and adding additional graphs from: "Speculative Betas", Hong & Sraer, 2016.
Files for Empirical Analysis:
- Dataset with stata file extension uploaded as ''20_beta_sorted_portfolios.dta''
- Python notebook with all the analysis listed as ''Empirical Analysis - Replication.ipynb''
Files for Derivations:
- Derivation for equilibrium in terms of excess returns (i.e.: deriving equilibrium SML), coded into latex using a Python Notebook, listed as 'Derivation_SML.ipynb'