[学习资料] F-Score会计异常 [推广有奖]

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liyongxws 发表于 2021-4-26 09:47:54 |AI写论文

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The value anomaly with the F-Score.F-Score会计异常

* Details: 1. Create the variable that go into the F-Score estimation.
*          2. Merge with the returns and the Fama-French factors.
*          3. Create the long/short portfolio based on the BE/ME ratio.
*          4. Assess it performance against the market and measure its alpha
*             and its association with the risk factors.
*