factorIML: Factor: Illiquid minus Liquid
In eguidotti/eap: Guidotti Miscellaneous
factorIML R Documentation
Factor: Illiquid minus Liquid
Description
Factor: Illiquid minus Liquid
Usage
factorIML(illiq, sdret, ret, by, weight = 1, nyse = TRUE)
Arguments
illiq
the illiquidity measure
sdret
the standard deviation of returns
ret
the return at time T+1
by
the time index
weight
the weight for value-weighted portfolios
nyse
logical vector representing whether the stock is listed in NYSE. It is used for the computation of breakpoints.
Value
Factor returns for each by-time
eguidotti/eap documentation built on Sept. 4, 2024, 3:43 a.m.
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| factorIML | R Documentation |
Factor: Illiquid minus Liquid
Description
Factor: Illiquid minus Liquid
Usage
factorIML(illiq, sdret, ret, by, weight = 1, nyse = TRUE)
Arguments
illiq |
the illiquidity measure |
sdret |
the standard deviation of returns |
ret |
the return at time T+1 |
by |
the time index |
weight |
the weight for value-weighted portfolios |
nyse |
logical vector representing whether the stock is listed in NYSE. It is used for the computation of breakpoints. |
Value
Factor returns for each by-time
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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