fama-macbeth

Additional linear models including instrumental variable and panel data models that are missing from statsmodels.

Fama-French models, idiosyncratic volatility, event study

Factor Modeling

An empircal research of CAPM model based on A-share data, implementing Black-Jensen-Scholes (1972) and Fama-MacBeth (1973) methods.

Dashawn Ramel Bledsoe is the creator of BLEI‑E (Biometric‑Linked Equity Intelligence), the first multi‑asset risk engine that transforms athlete‑driven biometric, behavioral, and virality signals into quantitative factor exposures mapped directly to tradeable equity beta. His research establishes a new domain at the intersection of quantitative fin

From-scratch replication of Loughran and McDonald (2011) — SEC 10-K sentiment analysis with the LM Master Dictionary, and Fama-MacBeth regressions on filing-period excess returns.

Momentum, value, size, quality and low-vol, priced with quintile sorts, Fama-MacBeth and rank IC. The universe is synthetic on purpose: it knows the right answer.

G10 cross-currency basis + FX carry/value/momentum factor model: a from-scratch research stack (CIP/OIS basis, Fama-MacBeth cross-sectional fair value, dollar-neutral portfolios, variance targeting, realistic costs, Newey-West inference, honest tail/skew diagnostics).

End-to-end Python implementation of Dickerson, Mueller & Robotti (JFE 2023). Implements Dick-Nielsen TRACE cleaning, KRS misspecification-robust two-pass CSR, BKRS jackknife bias-corrected Sharpe ratios, and Fama-MacBeth regressions to rigorously identify priced risk factors in U.S. corporate bonds. Prevents false discoveries.

Carhart-4 Fama-MacBeth pricing on a survivorship-corrected 2,049-stock point-in-time Taiwan universe, with a pre-registered macro test, walk-forward ML, and a transaction-cost appendix.

Does the OECD production network predict equity returns once country and sector are controlled for? An answer that depends on the numeraire, with a process log of the defects found auditing the study's own repairs.

Taiwan equity factor research platform with reproducible IC analysis, T+1 backtesting, and Streamlit dashboards.

Cross-sectional momentum factor research on 102 US stocks. Fama-MacBeth with Newey-West standard errors, pre-registered null hypothesis, skip-1 verification, momentum crash reproduction. Honest null result — mega-cap survivor universe guts the short leg.

Replicate the Loughran and McDonald 2011 sentiment analysis study using 10-K filings and domain-specific financial dictionaries.