Estimate Jensen`s alpha (calendar-time portfolio return )

[SamJVictor]

Hi All

I need to calculate ​calculate calendar-time portfolio returns using Jensen-alpha or Farma & French 3 Factor model for SEO firms to estimate 3 year abnormal return.

I have googled for a couple of days to find a starting point to build the portfolios. Still couldn't find any sample code on this.

Can anybody share me a code or guide me to hoe to code this ?

Thanks in Advance

[loredana_cornea · Accepted solution]

http://www.lexjansen.com/nesug/nesug12/cc/cc12.pdf