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HumanRupert/ff3fm_ols.py

Created January 24, 2021 07:17
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ff3fm_ols.py
import statsmodels.api as sm
# join factors to returns dfs
data = factors.join(excess_returns).dropna()
y = data[["Returns"]]
x = data[["Mkt-RF","SMB","HML"]]
ols = sm.OLS(y,x)
result = ols.fit()
betas = result.params
print(betas)
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