{"repo":"x512/getfactormodels","free":true,"listed":false,"github":"https://github.com/x512/getfactormodels","clone":"git clone https://github.com/x512/getfactormodels.git","description":"Retrieve data for various multi-factor asset pricing models.","language":"Python","stars":19,"topics":["asset-pricing","finance","financial-analysis","pricing-models"],"license":"AGPL-3.0","category":"cli-tools","readme_excerpt":"getfactormodels ) A command-line tool to retrieve data for multi-factor asset pricing models. Models - The 3-factor, 5-factor, and 6-factor models of Fama & French [[1]](#1) [[3]](#3) [[4]](#4) - Mark Carhart's 4-factor model [[2]](#2) - Pastor and Stambaugh's liquidity factors [[5]](#5) - Mispricing factors of Stambaugh and Yuan [[6]](#6) - The $q$ -factor model of Hou, Mo, Xue and Zhang [[7]](#7) - The augmented $q^5$ -factor model of Hou, Mo, Xue and Zhang [[8]](#8) - Intermediary Capital Ratio (ICR) of He, Kelly & Manela [[9]](#9) - The DHS behavioural factors of Daniel, Hirshleifer & Sun [[10]](#10) - The HML $^{DEVIL}$ factor of Asness & Frazzini [[11]](#11) - Betting Against beta , A. Frazzini, L. Pedersen (2014) [[12]](#12) - Quality Minus Junk , Asness, Frazzini & Pedersen (2017) [[13]](#13) - The 6-factor model of Barillas and Shanken [[14]](#14) Thanks to: Kenneth French, Robert Stambaugh, Lin Sun, Zhiguo He, AQR Capital Management (AQR.com) and Hou, Xue and Zhang (global-q.org), for their research and for the datasets they provide. Installation [!IMPORTANT] getfactormodels is pre-alpha (until version 0.1.0), don't rely on it for anything. But a huge thanks to anyone who has tried it! Requires: - Python =3.10 The easiest way to install getfactormodels is with pip: Quick start CLI Example getfactormodels -m qmj -f d --output qmj.ipc View output Another: getfactormodels -m q -f q -o qfactors qtrly.md Python getfactormodels.model() Model classes - Some other examples:","default_branch":null,"files":null,"tree":[],"storefront":"/r/x512","claimed":false,"request_supported":{"post":"https://gitbuyer.com/r/x512/getfactormodels/request-supported","requests":0},"note":"indexed from public GitHub; nothing is for sale on this page. Clone it from GitHub. Paid listings live at /search."}