stock-returns

Ledoit-Wolf covariance matrix estimator of stock returns

Measuring the Market Risk Premium

R&D Alpha: Empirical evidence on the relation between R&D investment intensity and long-term stock returns

A small utility built with R to graph the historical returns of a portfolio of stocks, ETFs or other securities

This projects aims to implement a Markov Switching Model for stock returns using the Bayesian framework.

R&D Alpha: Empirical evidence on the relation between R&D investment intensity and long-term stock returns

The article evaluates the effect of the enforcement activities of the Federal Antimonopoly Service of Russia on the market value of companies in the oil industry [reputational costs] (In Russian)

Predictive analysis and GARCH model on stock returns. I demonstrate how to use the PACF (partial autocorrelation function) and ACF (autocorrelation function) on a non stationary time series.

BEML and Glaxo stock risk & returns

Analyzing Stock Returns, Caffeine Effects, Cold Incidence, and Job Satisfaction

Entropy, Market Structure, and Stock Returns: A Panel Data Analysis of Informational Complexity in Emerging Markets A reproducible econometric and machine learning framework

CRSP-based analysis of long-run US stock returns, measuring 10-year, 30-year, and full-life holding-period outcomes while explicitly accounting for delistings and survivorship bias.

The code lets you get a QQ plot for Daily returns of IBM observations from Jan 1 2005 till Dec 31 2019

Asset Pricing Models Based on Stock Return Analysis : CAPM and Fama-French Three-Factor Model

Compare performance of stocks and portfolios against a benchmark.

Statistical learning workflow for stock return prediction with model comparison, portfolio diagnostics, and reproducible sample outputs.

Returns on SIP