1. First Window (2018/01 – 2020/12): 36-Month Stock Returns & Fama-French 3 Factors

Showing the first 50 rows of the merged dataset for the top 50 stocks selected in 2020/12:

window1_merged <- read.csv("first_window_merged_201801_202012.csv")
knitr::kable(head(window1_merged, 50))
CO_ID Date Close_Month ROI_Month Shares Market.Cap. ROI.Ln_Month Market Last.Trade.Date Market.Risk.Premium Size.Factor..3.Factor. Book.to.Market.Factor Risk.free.Interest.Rate
1101 201801 19.01 3.2922 4246509 159881 3.2392 TSE 20180131 4.2437 -2.3603 0.552 1.045
1216 201801 48.18 6.0609 5682015 397741 5.8840 TSE 20180131 4.2437 -2.3603 0.552 1.045
1301 201801 73.25 4.8631 6365740 658854 4.7486 TSE 20180131 4.2437 -2.3603 0.552 1.045
1303 201801 55.40 2.8240 7930821 635259 2.7851 TSE 20180131 4.2437 -2.3603 0.552 1.045
1326 201801 78.29 5.8253 5861186 638869 5.6619 TSE 20180131 4.2437 -2.3603 0.552 1.045
1402 201801 17.21 -2.7986 5352875 139442 -2.8386 TSE 20180131 4.2437 -2.3603 0.552 1.045
1590 201801 391.28 -13.4578 189024 87518 -14.4540 TSE 20180131 4.2437 -2.3603 0.552 1.045
2002 201801 18.67 0.6060 15734860 391798 0.6042 TSE 20180131 4.2437 -2.3603 0.552 1.045
2207 201801 286.56 7.2031 546179 207275 6.9558 TSE 20180131 4.2437 -2.3603 0.552 1.045
2303 201801 9.27 0.3518 12624318 179897 0.3514 TSE 20180131 4.2437 -2.3603 0.552 1.045
2308 201801 118.00 2.4391 2597543 381839 2.4098 TSE 20180131 4.2437 -2.3603 0.552 1.045
2317 201801 78.95 -3.1512 17328738 1597710 -3.2020 TSE 20180131 4.2437 -2.3603 0.552 1.045
2327 201801 57.22 9.6318 350706 135723 9.1956 TSE 20180131 4.2437 -2.3603 0.552 1.045
2330 201801 206.02 11.1111 25930380 6612247 10.5361 TSE 20180131 4.2437 -2.3603 0.552 1.045
2345 201801 95.49 10.3775 555403 64982 9.8734 TSE 20180131 4.2437 -2.3603 0.552 1.045
2357 201801 154.81 0.5368 742760 208716 0.5351 TSE 20180131 4.2437 -2.3603 0.552 1.045
2379 201801 79.14 6.8808 506506 59008 6.6547 TSE 20180131 4.2437 -2.3603 0.552 1.045
2382 201801 38.51 2.5847 3862627 245277 2.5520 TSE 20180131 4.2437 -2.3603 0.552 1.045
2395 201801 150.57 8.3137 697321 158989 7.9860 TSE 20180131 4.2437 -2.3603 0.552 1.045
2408 201801 58.82 4.1996 3001015 238281 4.1137 TSE 20180131 4.2437 -2.3603 0.552 1.045
2412 201801 76.47 2.3585 7757446 841683 2.3311 TSE 20180131 4.2437 -2.3603 0.552 1.045
2454 201801 194.15 1.7006 1581442 472851 1.6865 TSE 20180131 4.2437 -2.3603 0.552 1.045
2474 201801 203.50 1.8291 770391 257311 1.8127 TSE 20180131 4.2437 -2.3603 0.552 1.045
2603 201801 12.67 5.5045 4012355 69213 5.3585 TSE 20180131 4.2437 -2.3603 0.552 1.045
2633 201801 17.84 1.4893 5628293 134235 1.4783 TSE 20180131 4.2437 -2.3603 0.552 1.045
2801 201801 10.44 3.3232 9413000 160962 3.2693 TSE 20180131 4.2437 -2.3603 0.552 1.045
2880 201801 10.38 3.8806 11046519 192209 3.8072 TSE 20180131 4.2437 -2.3603 0.552 1.045
2881 201801 28.47 6.9036 10233603 554661 6.6758 TSE 20180131 4.2437 -2.3603 0.552 1.045
2882 201801 36.09 2.0560 12563210 685951 2.0352 TSE 20180131 4.2437 -2.3603 0.552 1.045
2884 201801 9.92 1.5876 10185500 195562 1.5748 TSE 20180131 4.2437 -2.3603 0.552 1.045
2885 201801 8.05 1.4493 11889197 166449 1.4388 TSE 20180131 4.2437 -2.3603 0.552 1.045
2886 201801 15.91 5.1975 13599823 344076 5.0669 TSE 20180131 4.2437 -2.3603 0.552 1.045
2891 201801 13.91 3.9026 19496989 415286 3.8282 TSE 20180131 4.2437 -2.3603 0.552 1.045
2892 201801 12.20 3.0690 12216393 246160 3.0228 TSE 20180131 4.2437 -2.3603 0.552 1.045
2912 201801 204.83 1.5845 1039622 299931 1.5720 TSE 20180131 4.2437 -2.3603 0.552 1.045
3008 201801 3065.83 -0.3730 134140 537231 -0.3740 TSE 20180131 4.2437 -2.3603 0.552 1.045
3034 201801 67.22 7.9296 608511 74543 7.6307 TSE 20180131 4.2437 -2.3603 0.552 1.045
3045 201801 75.52 3.7209 3420832 381423 3.6533 TSE 20180131 4.2437 -2.3603 0.552 1.045
4904 201801 50.99 3.4013 3258500 247646 3.3448 TSE 20180131 4.2437 -2.3603 0.552 1.045
4938 201801 46.88 9.7223 2614090 206513 9.2782 TSE 20180131 4.2437 -2.3603 0.552 1.045
5871 201801 54.33 13.2796 1264229 124021 12.4689 TSE 20180131 4.2437 -2.3603 0.552 1.045
5876 201801 22.07 -0.4458 4079103 136650 -0.4468 REG 20180131 4.2437 -2.3603 0.552 1.045
5880 201801 9.81 4.5179 12202703 211717 4.4191 TSE 20180131 4.2437 -2.3603 0.552 1.045
6415 201801 146.52 -8.5296 87763 54589 -8.9152 TSE 20180131 4.2437 -2.3603 0.552 1.045
6505 201801 95.49 7.3594 9525959 1181219 7.1010 TSE 20180131 4.2437 -2.3603 0.552 1.045
9910 201801 71.14 1.8452 667940 92176 1.8281 TSE 20180131 4.2437 -2.3603 0.552 1.045
1101 201802 18.68 -1.7266 4246509 157121 -1.7416 TSE 20180227 -2.6902 0.9889 -0.022 1.045
1216 201802 47.49 -1.4284 5682015 392059 -1.4389 TSE 20180227 -2.6902 0.9889 -0.022 1.045
1301 201802 73.25 -0.0001 6365740 658854 0.0000 TSE 20180227 -2.6902 0.9889 -0.022 1.045
1303 201802 55.75 0.6243 7930821 639224 0.6222 TSE 20180227 -2.6902 0.9889 -0.022 1.045 
final_coefficients_excess_202012 <- read.csv("fama_french_window1_excess_returns.csv")
knitr::kable(final_coefficients_excess_202012)
CO_ID Alpha Market.beta.MKT Size.beta.SMB Value.beta.HML R_squared
1101 -0.2465380 0.6149261 -0.0994349 0.4995791 0.4216031
1216 -1.0296056 0.4101856 0.0067307 0.2124790 0.2563247
1301 -1.8946910 0.9587438 -0.0142682 0.8172045 0.6721980
1303 -2.0310127 0.9697011 0.2008742 0.6478451 0.7287088
1326 -2.3132984 0.8945646 -0.1395106 0.9769879 0.6493031
1402 -1.6277518 0.9103620 -0.3576322 1.1521068 0.5694414
1590 0.0981351 1.0022973 0.8637869 -0.2973092 0.2176115
2002 -1.6929341 0.6975835 -0.2687032 0.7079664 0.6669669
2207 -0.0996759 1.2803069 -0.0050378 0.1107615 0.3379142
2303 1.6522471 1.7192457 -0.7914189 -0.7433713 0.5321322
2308 -0.1236188 1.3494280 -0.5649109 -0.2532571 0.5542269
2317 -2.5588795 1.0984508 -0.3604925 0.6669130 0.5602118
2327 0.4801155 2.3439736 2.3349901 -0.6539713 0.4020123
2330 0.6038113 1.3750025 -0.9213354 -0.7918232 0.8698256
2345 2.0925548 1.1608054 1.0644131 -1.0892362 0.2552574
2357 -1.4257823 0.4071724 -0.2527556 0.9911669 0.2340969
2379 2.3108135 0.9991301 -0.0277431 -0.8237702 0.3758516
2382 -0.2160894 0.6474153 0.0835854 -0.7459668 0.6269135
2395 -0.0115159 0.9534317 -0.0322211 -0.0729055 0.5214376
2408 -1.4177242 1.5790146 0.7821902 0.2316436 0.4228701
2412 -0.6187282 0.0442490 0.0036721 0.0792766 0.0170056
2454 1.4117594 1.1320231 0.9104520 -1.4795227 0.4268804
2474 -2.7939206 0.9953447 -0.6240968 0.2122019 0.3777188
2603 -0.5202234 1.6679498 -0.4501005 4.1330315 0.5209738
2633 -0.4620412 0.5029862 0.3346686 0.4746320 0.1792917
2801 -0.9956734 0.5434531 -0.0866286 0.5275299 0.3517720
2880 -0.8478456 0.5919313 0.0179368 0.2825987 0.5647112
2881 -1.8493560 0.7600356 0.2011058 0.4777513 0.7250673
2882 -2.1449634 0.6687497 0.2240392 0.3666973 0.6333624
2884 -0.2285940 0.7508143 -0.0506512 0.3176184 0.4620070
2885 -0.6419032 0.8423617 -0.2191606 1.0658923 0.7086166
2886 -0.4512949 0.4596096 -0.1884528 0.1244884 0.4065527
2891 -1.6834798 0.7717738 0.0974637 0.4610042 0.6683097
2892 -1.0084638 0.6690283 0.2500656 0.0558477 0.6605264
2912 -1.0895463 0.1975932 -0.0445527 0.5058513 0.1177991
3008 -2.0223030 0.9512203 0.0833406 -0.4480630 0.2499700
3034 2.1466838 1.2752713 -0.7127037 -1.3668690 0.5856379
3045 -1.1107462 0.2329438 0.0034858 0.1341431 0.1805440
3711 -2.2197806 1.5505216 -0.3586340 -0.6956508 0.7422263
4904 -1.2135142 0.1543547 0.2126158 -0.0600608 0.0959957
4938 -1.6005410 0.8068358 -0.5851283 0.6028953 0.4401228
5347 -0.3138552 1.5864163 0.3312758 -0.7504907 0.6996516
5871 -0.3481774 1.4331292 0.4139018 1.0397090 0.7270384
5876 -0.0302109 0.3303396 0.2458560 0.4095492 0.0933267
5880 -0.5540100 0.5766902 0.1634015 0.1242258 0.6929195
6415 2.2387910 1.1430727 2.2752940 -0.5372241 0.3413722
6488 -0.1807945 1.9088081 0.7010938 0.2138121 0.3688491
6505 -2.0975146 0.7392524 -0.4559182 1.1294659 0.4403072
6770 91.5127000 NA NA NA 0.0000000
9910 -0.1611927 1.0963319 0.5221082 0.9575117 0.3989016