rshowcase

# In my portfolio, I show how the popular Fama-MacBeth (1973) procedure is constructed in R.
# The procedure is used to estimate risk premia and determine the validity of asset pricing models.
# Google shows that the original paper has currently over 9000 citations (Mar 2015), making the methodology one of the most  
# influential papers in asset pricing studies. It's used by thousands of finance students each year, but I'm unable to find a 
# complete description of it from the web. 
#
# While the methodology is not statistically too complex (although the different standard errors can get complex),
# it can pose some serious data management challenges to students and researchers.
#
# The goal of the methodology is to estimate risk premia in the financial markets. While newer, more sophisticated methods for

mrry

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