A new day a new question. I have now done a rolling window regression according to CAPM model and thus determined my time series alphas and betas. Now I want to do the whole thing with the Fama French 3 Factor Model- The variables for smb and hml I have given. However, I want to keep the variables of alpha and beta from the CAPM model and generate new variables for alpha, beta 2 and beta 3, also for a period of 24 months. And after that I have to do this regression again with Carhart 4 factor Model and given MOM factor. An overall question I have is: Does the Alpha and Beta 1 change when applying the Fama French model or does it stay the same like in the CAPM model and only the new Betas are following? The goal in the end is to create mean Alphas divide them into Quintiles based on their Turnover Ratio to see if more active fonds perform better.
clear
input double portfolioid float mofd double(smb hml Alpha Beta)
4 439 .0231 -.0058 .0011276676681867825 1.2582311269663249
4 440 -.0079 -.0375 -.00066037569874813 1.4018742984812849
4 441 -.041100000000000005 .0479 -.003203570453383219 1.4122109199175594
4 442 -.036000000000000004 .0015 -.005067735517733929 1.355875609082542
4 443 .0308 .0101 -.004276204678426189 1.3299128910546867
4 444 -.015300000000000001 -.0236 -.00264340576862393 1.2650903114961072
4 445 -.026099999999999998 .0467 -.004977918697552257 1.3431614071668685
4 446 -.0033 .0385 -.0013603183772131176 1.2780154835862378
4 447 -.052000000000000005 -.0103 -.0020266099299921167 1.2059703395801908
4 448 .0483 -.0437 -.0011593780606042707 1.31435990940695
4 449 .015 .0076 -.0017615356820123058 1.3171521637192598
4 450 -.0252 -.0013 -.0024929980839788132 1.1887365089356519
4 451 .0735 .013600000000000001 .0028820224147934476 1.052381136162448
4 452 .0268 -.0022 .004593126737425821 1.107596270636486
4 453 -.0079 .022000000000000002 .003565814453837919 1.1359603071001119
4 454 -.0506 .0098 .0015064737708275246 1.1076438503130182
4 455 -.0239 .0382 -.001450077625743531 1.113812080451299
4 456 -.009300000000000001 -.020499999999999997 .0025399518285950835 1.1037358810718263
4 457 .0032 -.0091 -.00008314149448057293 1.0701662544985826
4 458 -.0101 .0125 -.00264706689732443 1.071068086961803
4 459 .0048 .0034000000000000002 -.0046777288729113395 1.0582751471024578
4 460 -.0354 .041299999999999996 -.00914245381680592 1.091173464905962
4 461 -.0313 -.0217 -.00700097423044709 1.0418785338348306
4 462 -.0492 -.011699999999999999 -.008433296568919339 1.0577201843378217
4 463 -.0574 .051699999999999996 -.013204861540199477 1.2129156439573077
4 464 -.002 -.038 -.014364183593742185 1.196618857079138
4 465 -.032 -.026699999999999998 -.015444051513141611 1.1553881750332935
4 466 .0116 -.0352 -.01279344256693269 1.212134473367146
4 467 -.0031 -.046799999999999994 -.009466272067912462 1.3071835246479455
4 468 .0087 -.055999999999999994 -.007383238950604474 1.3275470634435544
4 469 -.0558 .016200000000000003 -.006018720126566169 1.3215990484788809
4 470 -.0384 -.028900000000000002 -.006023297375925912 1.3569408906521836
4 471 .032 .023700000000000002 -.0032789059631669858 1.381550354500943
4 472 .0363 .026699999999999998 -.004582010000065449 1.359300783394689
4 473 .0348 -.04190000000000001 -.0033608506502379766 1.3781827796152266
4 474 .0222 .005 .0007751663600516108 1.3989994612642689
4 475 -.013000000000000001 -.0088 -.0004450044521979099 1.4382687226428141
4 476 .0315 -.029900000000000003 .0006037295772227964 1.4079304046767325
4 477 -.06860000000000001 -.0313 .0023284462734532926 1.435825313138035
4 478 .0796 -.0801 .009645787785370119 1.4936431929735288
4 479 .0724 -.094 .016357732373009762 1.6044313280489981
4 480 .0435 .0006 .01597773318892428 1.5946455737985565
4 481 .2232 -.1311 .027394798933897874 1.6992565318944537
4 482 -.16699999999999998 .0797 .022705446549832985 1.6150227037789622
4 483 -.0787 .0929 .02714756186533702 1.5311388726294246
4 484 -.050499999999999996 .0387 .02905797453659893 1.5113798309819366
4 485 .13720000000000002 -.1018 .0325332487512009 1.5407386848023146
4 486 -.0276 .0855 .03539859656314524 1.5129316398483346
4 487 -.009399999999999999 -.0129 .03952823818555333 1.4413293810263585
4 488 -.0194 .0682 .04010228565448254 1.508162664132336
4 489 -.036699999999999997 .047 .0395180477500601 1.7276303539624807
4 490 -.031200000000000002 .1229 .03805323807267757 1.8454745871451168
4 491 .015 .0611 .039059513800083615 1.8075571043821559
4 492 .0708 -.056600000000000004 .03618047031114062 1.7719855556708064
4 493 -.011699999999999999 .1391 .04044433959165882 1.6364718551310553
4 494 .0054 .0622 .04133914859278934 1.6409544591072212
4 495 .0024 -.0438 .041312379120544175 1.6210791411003753
4 496 .0305 .028300000000000002 .04032862324377629 1.5982747032873128
4 497 .064 -.022799999999999997 .039515050400760664 1.605425821043517
4 498 -.0415 .0556 .03921126931429379 1.6096129702114477
4 499 .0216 .032799999999999996 .037104918792983395 1.6387696597258556
4 500 -.0654 .0182 .036233238601829657 1.666017326014775
4 501 .06860000000000001 -.07150000000000001 .03443272530766962 1.650894618243433
4 502 .0040999999999999995 .0069 .02526996563362867 1.5044371281541726
4 503 .0513 .004699999999999999 .019073450673706516 1.3709393835160322
4 504 .0115 .0339 .018588612534819627 1.3731733858779236
4 505 -.016200000000000003 .038900000000000004 .007151904262588452 1.2501049977419219
4 506 .0431 .011200000000000002 .014357413609561769 1.3780569644227463
4 507 .059000000000000004 .0421 .014499444223885 1.3921632021599477
4 508 -.037000000000000005 .0255 .013921937092171734 1.3902319525124722
4 509 .0355 .015 .01271685737387346 1.3300269472123742
4 510 -.052199999999999996 -.0362 .012079164666963182 1.347059628385688
4 511 -.0226 .0229 .00716736984339204 1.246875507800501
4 512 .0275 .0131 .00788063315810916 1.176088227792914
4 513 -.0298 -.0645 .00681633879941004 1.1024467023764373
4 514 .032 -.0159 .006783476955592701 .9574366968811625
4 515 -.0045000000000000005 .0388 .0008174012149019787 .9282927484776891
4 516 .0139 -.008199999999999999 .00277341205796916 .9519475110158521
4 517 -.0027 -.014499999999999999 .0017975961479823905 .9865480266990998
4 518 .0073 -.0158 .002657955196104919 .9887523775601875
4 519 .0111 -.0009 .0009851211820280752 .9489484757852131
4 520 .048 .0009 .0048100191602722 1.009931924480321
4 521 .015 .0070999999999999995 .005723510274338288 1.0162651853427491
4 522 .0558 -.0204 .005084054580076671 1.0257052402606504
4 523 .0265 .0176 .0074259662326077325 .9974451764705381
4 524 .006 .009300000000000001 .01017841319013133 .9094270020647715
4 525 .028900000000000002 .0169 .011344522290153904 .9356177934221122
4 526 .0225 .0139 .0119847233815383 .9530052601641461
4 527 -.027999999999999997 .0278 .00846514544659567 .9041195373359033
4 528 .0263 .0166 .00872006067702675 .9031825818984502
4 529 -.011899999999999999 .0044 .007937297081933515 .8981742842069178
4 530 .019 -.0005 .008264231995338047 .9179754072471189
4 531 -.025699999999999997 -.0167 .002626290973518384 1.0048314540166439
4 532 -.0019 -.0026 .004769733071080048 1.0056063740699328
4 533 .023399999999999997 .0163 .004288828037580048 1.0288279960686055
4 534 -.0377 .045599999999999995 .0030103450348373043 1.0308271783454848
4 535 -.015700000000000002 .0124 .0010676980608890965 1.0389759514987018
4 536 .029300000000000003 .004699999999999999 -.00198054981620948 1.2362266866201386
4 537 .0039000000000000003 -.008199999999999999 -.0002576709104457238 1.3656707315021561
4 538 .041299999999999996 .0194 .001719370536849455 1.5219219722006376
end
clear
input double portfolioid float mofd double(smb hml Alpha Beta)
4 439 .0231 -.0058 .0011276676681867825 1.2582311269663249
4 440 -.0079 -.0375 -.00066037569874813 1.4018742984812849
4 441 -.041100000000000005 .0479 -.003203570453383219 1.4122109199175594
4 442 -.036000000000000004 .0015 -.005067735517733929 1.355875609082542
4 443 .0308 .0101 -.004276204678426189 1.3299128910546867
4 444 -.015300000000000001 -.0236 -.00264340576862393 1.2650903114961072
4 445 -.026099999999999998 .0467 -.004977918697552257 1.3431614071668685
4 446 -.0033 .0385 -.0013603183772131176 1.2780154835862378
4 447 -.052000000000000005 -.0103 -.0020266099299921167 1.2059703395801908
4 448 .0483 -.0437 -.0011593780606042707 1.31435990940695
4 449 .015 .0076 -.0017615356820123058 1.3171521637192598
4 450 -.0252 -.0013 -.0024929980839788132 1.1887365089356519
4 451 .0735 .013600000000000001 .0028820224147934476 1.052381136162448
4 452 .0268 -.0022 .004593126737425821 1.107596270636486
4 453 -.0079 .022000000000000002 .003565814453837919 1.1359603071001119
4 454 -.0506 .0098 .0015064737708275246 1.1076438503130182
4 455 -.0239 .0382 -.001450077625743531 1.113812080451299
4 456 -.009300000000000001 -.020499999999999997 .0025399518285950835 1.1037358810718263
4 457 .0032 -.0091 -.00008314149448057293 1.0701662544985826
4 458 -.0101 .0125 -.00264706689732443 1.071068086961803
4 459 .0048 .0034000000000000002 -.0046777288729113395 1.0582751471024578
4 460 -.0354 .041299999999999996 -.00914245381680592 1.091173464905962
4 461 -.0313 -.0217 -.00700097423044709 1.0418785338348306
4 462 -.0492 -.011699999999999999 -.008433296568919339 1.0577201843378217
4 463 -.0574 .051699999999999996 -.013204861540199477 1.2129156439573077
4 464 -.002 -.038 -.014364183593742185 1.196618857079138
4 465 -.032 -.026699999999999998 -.015444051513141611 1.1553881750332935
4 466 .0116 -.0352 -.01279344256693269 1.212134473367146
4 467 -.0031 -.046799999999999994 -.009466272067912462 1.3071835246479455
4 468 .0087 -.055999999999999994 -.007383238950604474 1.3275470634435544
4 469 -.0558 .016200000000000003 -.006018720126566169 1.3215990484788809
4 470 -.0384 -.028900000000000002 -.006023297375925912 1.3569408906521836
4 471 .032 .023700000000000002 -.0032789059631669858 1.381550354500943
4 472 .0363 .026699999999999998 -.004582010000065449 1.359300783394689
4 473 .0348 -.04190000000000001 -.0033608506502379766 1.3781827796152266
4 474 .0222 .005 .0007751663600516108 1.3989994612642689
4 475 -.013000000000000001 -.0088 -.0004450044521979099 1.4382687226428141
4 476 .0315 -.029900000000000003 .0006037295772227964 1.4079304046767325
4 477 -.06860000000000001 -.0313 .0023284462734532926 1.435825313138035
4 478 .0796 -.0801 .009645787785370119 1.4936431929735288
4 479 .0724 -.094 .016357732373009762 1.6044313280489981
4 480 .0435 .0006 .01597773318892428 1.5946455737985565
4 481 .2232 -.1311 .027394798933897874 1.6992565318944537
4 482 -.16699999999999998 .0797 .022705446549832985 1.6150227037789622
4 483 -.0787 .0929 .02714756186533702 1.5311388726294246
4 484 -.050499999999999996 .0387 .02905797453659893 1.5113798309819366
4 485 .13720000000000002 -.1018 .0325332487512009 1.5407386848023146
4 486 -.0276 .0855 .03539859656314524 1.5129316398483346
4 487 -.009399999999999999 -.0129 .03952823818555333 1.4413293810263585
4 488 -.0194 .0682 .04010228565448254 1.508162664132336
4 489 -.036699999999999997 .047 .0395180477500601 1.7276303539624807
4 490 -.031200000000000002 .1229 .03805323807267757 1.8454745871451168
4 491 .015 .0611 .039059513800083615 1.8075571043821559
4 492 .0708 -.056600000000000004 .03618047031114062 1.7719855556708064
4 493 -.011699999999999999 .1391 .04044433959165882 1.6364718551310553
4 494 .0054 .0622 .04133914859278934 1.6409544591072212
4 495 .0024 -.0438 .041312379120544175 1.6210791411003753
4 496 .0305 .028300000000000002 .04032862324377629 1.5982747032873128
4 497 .064 -.022799999999999997 .039515050400760664 1.605425821043517
4 498 -.0415 .0556 .03921126931429379 1.6096129702114477
4 499 .0216 .032799999999999996 .037104918792983395 1.6387696597258556
4 500 -.0654 .0182 .036233238601829657 1.666017326014775
4 501 .06860000000000001 -.07150000000000001 .03443272530766962 1.650894618243433
4 502 .0040999999999999995 .0069 .02526996563362867 1.5044371281541726
4 503 .0513 .004699999999999999 .019073450673706516 1.3709393835160322
4 504 .0115 .0339 .018588612534819627 1.3731733858779236
4 505 -.016200000000000003 .038900000000000004 .007151904262588452 1.2501049977419219
4 506 .0431 .011200000000000002 .014357413609561769 1.3780569644227463
4 507 .059000000000000004 .0421 .014499444223885 1.3921632021599477
4 508 -.037000000000000005 .0255 .013921937092171734 1.3902319525124722
4 509 .0355 .015 .01271685737387346 1.3300269472123742
4 510 -.052199999999999996 -.0362 .012079164666963182 1.347059628385688
4 511 -.0226 .0229 .00716736984339204 1.246875507800501
4 512 .0275 .0131 .00788063315810916 1.176088227792914
4 513 -.0298 -.0645 .00681633879941004 1.1024467023764373
4 514 .032 -.0159 .006783476955592701 .9574366968811625
4 515 -.0045000000000000005 .0388 .0008174012149019787 .9282927484776891
4 516 .0139 -.008199999999999999 .00277341205796916 .9519475110158521
4 517 -.0027 -.014499999999999999 .0017975961479823905 .9865480266990998
4 518 .0073 -.0158 .002657955196104919 .9887523775601875
4 519 .0111 -.0009 .0009851211820280752 .9489484757852131
4 520 .048 .0009 .0048100191602722 1.009931924480321
4 521 .015 .0070999999999999995 .005723510274338288 1.0162651853427491
4 522 .0558 -.0204 .005084054580076671 1.0257052402606504
4 523 .0265 .0176 .0074259662326077325 .9974451764705381
4 524 .006 .009300000000000001 .01017841319013133 .9094270020647715
4 525 .028900000000000002 .0169 .011344522290153904 .9356177934221122
4 526 .0225 .0139 .0119847233815383 .9530052601641461
4 527 -.027999999999999997 .0278 .00846514544659567 .9041195373359033
4 528 .0263 .0166 .00872006067702675 .9031825818984502
4 529 -.011899999999999999 .0044 .007937297081933515 .8981742842069178
4 530 .019 -.0005 .008264231995338047 .9179754072471189
4 531 -.025699999999999997 -.0167 .002626290973518384 1.0048314540166439
4 532 -.0019 -.0026 .004769733071080048 1.0056063740699328
4 533 .023399999999999997 .0163 .004288828037580048 1.0288279960686055
4 534 -.0377 .045599999999999995 .0030103450348373043 1.0308271783454848
4 535 -.015700000000000002 .0124 .0010676980608890965 1.0389759514987018
4 536 .029300000000000003 .004699999999999999 -.00198054981620948 1.2362266866201386
4 537 .0039000000000000003 -.008199999999999999 -.0002576709104457238 1.3656707315021561
4 538 .041299999999999996 .0194 .001719370536849455 1.5219219722006376
end
