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

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

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


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


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

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