Dear all,
I am writing my thesis on the topic of CSR and the covid-19 crisis period and I am following the paper by lins et al(2017). The authors included factor loadings as a control variable. However I am struggling to get this factor loadings. Does anyone know how to calculate these factor loadings.
I thought I have to use the following commands to calculate them but I am not sure about it.
I am wondering when I predict those factors does factor1 take the loadings of mktrf or does stata take the loading of returns?
Thank you in advance!
I am writing my thesis on the topic of CSR and the covid-19 crisis period and I am following the paper by lins et al(2017). The authors included factor loadings as a control variable. However I am struggling to get this factor loadings. Does anyone know how to calculate these factor loadings.
I thought I have to use the following commands to calculate them but I am not sure about it.
Code:
factor returns mktrf smb hml umd predict factor1 factor2 factor3 factor4
Thank you in advance!
