getfactormodels 0.0.1__tar.gz

getfactormodels-0.0.1/.gitattributes

@@ -0,0 +1,23 @@
+# Binary files
+*.db     binary
+*.p      binary
+*.pkl    binary
+*.pickle binary
+*.pyc    binary export-ignore
+*.pyo    binary export-ignore
+*.pyd    binary
+
+# Jupyter notebook
+*.ipynb  text eol=lf
+
+# GitHub: treat .ipynb files as vendored code.
+*.ipynb linguist-vendored
+
+# Python: use Python's built-in diff
+*.pxd    text diff=python
+*.py     text diff=python
+*.py3    text diff=python
+*.pyw    text diff=python
+*.pyx    text diff=python
+*.pyz    text diff=python
+*.pyi    text diff=python

getfactormodels-0.0.1/.gitignore

@@ -0,0 +1,43 @@
+# .gitignore
+__pycache__/
+__pypackages__
+_build
+.coverage
+.direnv
+.eggs
+.eggs/
+.env
+.installed.cfg
+.mypy_cache
+.pytest_cache/
+.Python
+.pytype
+.svn
+.venv
+*.egg
+*.egg-info/
+build/
+develop-eggs/
+dist/
+eggs/
+env.bak/
+env/
+ENV/
+lib/
+lib64/
+MANIFEST
+sdist/
+var/
+venv.bak/
+venv/
+wheels/
+
+.nox/
+.tox/
+.vscode/
+.ruff_cache
+.cache/
+*_venv/
+
+**/*.csv
+**/*.xlsx

getfactormodels-0.0.1/LICENSE

@@ -0,0 +1,21 @@
+MIT License
+
+Copyright (c) 2023 S. Martin
+
+Permission is hereby granted, free of charge, to any person obtaining a copy
+of this software and associated documentation files (the "Software"), to deal
+in the Software without restriction, including without limitation the rights
+to use, copy, modify, merge, publish, distribute, sublicense, and/or sell
+copies of the Software, and to permit persons to whom the Software is
+furnished to do so, subject to the following conditions:
+
+The above copyright notice and this permission notice shall be included in all
+copies or substantial portions of the Software.
+
+THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND, EXPRESS OR
+IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES OF MERCHANTABILITY,
+FITNESS FOR A PARTICULAR PURPOSE AND NONINFRINGEMENT. IN NO EVENT SHALL THE
+AUTHORS OR COPYRIGHT HOLDERS BE LIABLE FOR ANY CLAIM, DAMAGES OR OTHER
+LIABILITY, WHETHER IN AN ACTION OF CONTRACT, TORT OR OTHERWISE, ARISING FROM,
+OUT OF OR IN CONNECTION WITH THE SOFTWARE OR THE USE OR OTHER DEALINGS IN THE
+SOFTWARE.

getfactormodels-0.0.1/PKG-INFO

@@ -0,0 +1,234 @@
+Metadata-Version: 2.1
+Name: getfactormodels
+Version: 0.0.1
+Summary: Retreive data for various multifactor asset pricing models.
+Keywords: finance,pricing models,financial analysis,econometrics,asset pricing,multifactor models
+Author-email: "S. Martin" <x512@pm.me>
+Requires-Python: >=3.7
+Description-Content-Type: text/markdown
+Classifier: Topic :: Office/Business :: Financial
+Classifier: Topic :: Office/Business :: Financial :: Investment
+Classifier: Topic :: Scientific/Engineering :: Mathematics
+Classifier: Topic :: Scientific/Engineering :: Information Analysis
+Classifier: Programming Language :: Python :: 3.11
+Classifier: Programming Language :: Python :: 3 :: Only
+Classifier: Operating System :: OS Independent
+Classifier: Environment :: Console
+Classifier: License :: OSI Approved :: MIT License
+Classifier: Intended Audience :: Financial and Insurance Industry
+Classifier: Development Status :: 2 - Pre-Alpha
+Requires-Dist: numpy >=1.18.5
+Requires-Dist: pandas >=1.4
+Requires-Dist: requests >=2.20.0
+Requires-Dist: pyarrow >=14.0.1
+Requires-Dist: openpyxl >=3.0.3
+Requires-Dist: tabulate >=0.8.7
+Requires-Dist: ruff ; extra == "dev"
+Requires-Dist: pytest-cov ; extra == "dev"
+Requires-Dist: pytest ; extra == "dev"
+Requires-Dist: pytest-randomly ; extra == "dev"
+Requires-Dist: isort ; extra == "dev"
+Requires-Dist: nox ; extra == "dev"
+Project-URL: Homepage, https://github.com/x512/getfactormodels
+Provides-Extra: dev
+
+<a name="readme-top"></a>
+
+# getfactormodels
+
+![Python 3.11](https://img.shields.io/badge/Python-3.7+-306998.svg?logo=python&logoColor=ffde57&style=flat-square)
+
+
+Reliably retrieve data for various multi-factor asset pricing models.
+
+## Models
+
+- The 3-factor, 5-factor, and 6-factor models of Fama & French <sup>[[1]](#1) [[3]](#3) [[4]](#4)</sup>
+- Mark Carhart's 4-factor model <sup>[[2]](#2)</sup>
+- Pastor and Stambaugh's liquidity factors <sup>[[5]](#5)</sup>
+- Mispricing factors of Stambaugh and Yuan<sup>[[6]](#6)</sup>
+- The $q$*-factor* model of Hou, Mo, Xue and Zhang<sup>[[7]](#7)</sup>
+- The augmented $q^5$*-factor* model of  Hou, Mo, Xue and Zhang<sup>[[8]](#8)</sup>
+- *Intermediary Capital Ratio* (ICR) of He, Kelly & Manela<sup>[[9]](#9)</sup>
+- The *DHS behavioural factors* of Daniel, Hirshleifer & Sun<sup>[[10]](#10)</sup>
+- The *HML* $^{DEVIL}$ factor of Asness & Frazzini<sup>[[11]](#11)</sup>
+- The 6-factor model of Barillas and Shanken<sup>[[12]](#12)</sup>
+
+
+_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 publically provide._
+
+
+## Installation
+
+`getfactormodels` requires Python ``>=3.7``
+
+* Install with pip:
+  ```shell
+  $ pip install getfactormodels   
+  ```
+
+## Usage
+
+#### Python
+
+After installing, import ``getfactormodels`` and call ``get_factors()`` with the ``model`` and ``frequency`` parameters. Optionally, specify a ``start_date`` and ``end_date``
+* For example, to retrieve the daily q-factor model data:
+
+    ```py
+    import getfactormodels as getfactormodels
+    
+    df = getfactormodels.get_factors(model='q', frequency='d')
+    ```
+    > _Trimmed output:_
+    ```txt
+    > df
+                 Mkt-RF      R_ME      R_IA     R_ROE      R_EG        RF
+    date                                                                  
+    1967-01-03  0.000778  0.004944  0.001437 -0.007118 -0.008563  0.000187
+    1967-01-04  0.001667 -0.003487 -0.000631 -0.002044 -0.000295  0.000187
+    1967-01-05  0.012990  0.004412 -0.005688  0.000838 -0.003075  0.000187
+    1967-01-06  0.007230  0.006669  0.008897  0.003603  0.002669  0.000187
+    1967-01-09  0.008439  0.006315  0.000331  0.004949  0.002979  0.000187
+    ...              ...       ...       ...       ...       ...       ...
+    2022-12-23  0.005113 -0.001045  0.004000  0.010484  0.003852  0.000161
+    2022-12-27 -0.005076 -0.001407  0.010190  0.009206  0.003908  0.000161
+    2022-12-28 -0.012344 -0.004354  0.000133 -0.010457 -0.004953  0.000161
+    2022-12-29  0.018699  0.008568 -0.008801 -0.012686 -0.002162  0.000161
+    2022-12-30 -0.002169  0.001840  0.001011 -0.004151 -0.003282  0.000161
+
+     [14096 rows x 6 columns]
+    ```
+
+    * or, retreive the monthly liquidity factors of Pastor and Stambaugh for the 1990s:
+
+    ```py
+      import getfactormodels as getfactormodels
+    
+      df = getfactormodels.get_factors(model='liquidity', frequency='m', start_date='1990-01-01', end_date='1999-12-31')
+    ```
+    > If you don't have time to type `liquidity`, type `liq`, or `ps`--there's a handy regex.
+
+    * or, saving the monthly 3-factor model of Fama & French to a file:
+
+    ```py
+      import getfactormodels as gfm
+
+      df = gfm.get_factors(model='ff3', frequency='m', output="ff3_data.csv")
+    ```
+     >The output parameter accepts a filename, path or directory, and can be one of csv, md, txt, xlsx, pkl.
+
+
+You can also import just the models that you need. 
+
+* For example, to import only the *ICR* and *q*-factor models: 
+
+    ```py
+      from getfactormodels import icr_factors, q_factors
+
+      # Passing a model function with no params defaults to monthly.
+      df = icr_factors()
+
+      # The 'q' models, and the 3-factor model of Fama-French also have weekly data.
+      df = q_factors(frequency="W", start_date="1992-01-01)
+    ```
+
+* If using ``ff_factors()``, then an additional ``model`` parameter should be specified:
+
+    ```py
+    from getfactormodels import ff_factors
+
+    # To get annual data for the 5-factor model:
+    data = ff_factors(model="5", frequency="Y", output=".xlsx")
+
+    # Daily 3-factor model data, since 1970 (not specifying an end date
+    # will return data up until today):
+    data = ff_factors(model="3", frequency="D", start_date="1970-01-01")
+    ```
+    > Output allows just an extension to be specified.
+
+* or import all the models:
+
+  ```py
+    from getfactormodels import models
+  ```
+
+* There's also the `FactorExtractor` class that the CLI uses (it doesn't really do a whole lot yet):
+
+  ```python
+    from getfactormodels import FactorExtractor
+
+    fe = FactorExtractor(model='carhart', frequency='m', start_date='1980-01-01', end_date='1980-05-01')
+    fe.get_factors()
+    fe.to_file('carhart_factors.md')
+    ```
+
+  * _The resulting ``carhart_factors.md`` file will look like this:_
+    
+    | date                |   Mkt-RF |     SMB |     HML |     MOM |     RF |
+    |:--------------------|---------:|--------:|--------:|--------:|-------:|
+    | 1980-01-31 00:00:00 |   0.0551 |  0.0162 |  0.0175 |  0.0755 | 0.008  |
+    | 1980-02-29 00:00:00 |  -0.0122 | -0.0185 |  0.0061 |  0.0788 | 0.0089 |
+    | 1980-03-31 00:00:00 |  -0.129  | -0.0664 | -0.0101 | -0.0955 | 0.0121 |
+    | 1980-04-30 00:00:00 |   0.0397 |  0.0105 |  0.0106 | -0.0043 | 0.0126 |
+
+
+#### Using the CLI
+* You can also use getfactormodels from the command line.
+
+    ```bash
+    $ getfactormodels -h
+
+    usage: getfactormodels [-h] -m MODEL [-f FREQ] [-s START] [-e END] [-o OUTPUT] [--no_rf]
+    ```
+
+* An example of how to use the CLI to retrieve the Fama-French 3-factor model data:
+    ```bash
+       getfactormodels --model ff3 --frequency M --start-date 1960-01-01 --end-date 2020-12-31 --output "filename.csv"
+    ```
+    > Accepted file extensions are .csv, .txt, .xlsx, and .md. If no extension is given, the output file will be .csv. The --output flag allows a filename, filepath or a directory. If only an extension is provided (including the . else it'll be passed as a filename), a name will be generated.
+    
+* Here's another example that retrieves the annual Fama-French 5-factor data without the RF column:
+
+  ```sh
+    getfactormodels -m 5 -f Y -s 1960-01-01 -e 2020-12-31 --no_rf -o ~/some_dir/filename.xlsx
+  ```
+    > `--no_rf` will return the factor model without an RF column.
+
+## References
+1. <a id="1"></a> E. F. Fama and K. R. French, ‘Common risk factors in the returns on stocks and bonds’, *Journal of Financial Economics*, vol. 33, no. 1, pp. 3–56, 1993. [PDF](https://people.duke.edu/~charvey/Teaching/BA453_2006/FF_Common_risk.pdf)
+2. <a id="2"></a> M. Carhart, ‘On Persistence in Mutual Fund Performance’, *Journal of Finance*, vol. 52, no. 1, pp. 57–82, 1997. [PDF](https://onlinelibrary.wiley.com/doi/full/10.1111/j.1540-6261.1997.tb03808.x)
+3. <a id="3"></a> E. F. Fama and K. R. French, ‘A five-factor asset pricing model’, *Journal of Financial Economics*, vol. 116, no. 1, pp. 1–22, 2015. [PDF](https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2287202)
+4. <a id="4"></a> E. F. Fama and K. R. French, ‘Choosing factors’, *Journal of Financial Economics*, vol. 128, no. 2, pp. 234–252, 2018. [PDF](https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2668236)
+5. <a id="5"></a>L. Pastor and R. Stambaugh, ‘Liquidity Risk and Expected Stock Returns’, *Journal of Political Economy*, vol. 111, no. 3, pp. 642–685, 2003. [PDF](https://papers.ssrn.com/sol3/papers.cfm?abstract_id=279804)
+6. <a id="6"></a>R. F. Stambaugh and Y. Yuan, ‘Mispricing Factors’, *The Review of Financial Studies*, vol. 30, no. 4, pp. 1270–1315, 12 2016. [PDF](https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2626701)
+7. <a id="7"></a>K. Hou, H. Mo, C. Xue, and L. Zhang, ‘Which Factors?’, *National Bureau of Economic Research, Inc*, 2014. [PDF](https://academic.oup.com/rof/article/23/1/1/5133564)
+8. <a id="8"></a>K. Hou, H. Mo, C. Xue, and L. Zhang, ‘An Augmented q-Factor Model with Expected Growth*’, *Review of Finance*, vol. 25, no. 1, pp. 1–41, 02 2020. [PDF](https://academic.oup.com/rof/article/25/1/1/5727769)
+9. <a id="9"></a>Z. He, B. Kelly, and A. Manela, ‘Intermediary asset pricing: New evidence from many asset classes’, *Journal of Financial Economics*, vol. 126, no. 1, pp. 1–35, 2017. [PDF](https://cpb-us-w2.wpmucdn.com/voices.uchicago.edu/dist/6/2325/files/2019/12/jfepublishedversion.pdf)
+10. <a id="10"></a>K. Daniel, D. Hirshleifer, and L. Sun, ‘Short- and Long-Horizon Behavioral Factors’, *Review of Financial Studies*, vol. 33, no. 4, pp. 1673–1736, 2020. [PDF](https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3086063)
+11. <a id="11"></a>C. Asness and A. Frazzini, ‘The Devil in HML’s Details’, *The Journal of Portfolio Management*, vol. 39, pp. 49–68, 2013. [PDF](https://stockmarketmba.com/docs/Asness_Frazzini_AdjustHML.pdf)
+12. <a id="12"></a>F. Barillas and J. Shanken, ‘Comparing Asset Pricing Models’, *Journal of Finance*, vol. 73, no. 2, pp. 715–754, 2018. [PDF](https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2700000)
+
+**Data sources:**
+
+* K. French, "Data Library," Tuck School of Business at Dartmouth.
+  [Link](https://mba.tuck.dartmouth.edu/pages/faculty/ken.french/data_library.html)
+* R. Stambaugh, "Liquidity" and "Mispricing" factor datasets, Wharton School, University of Pennsylvania.
+[Link](https://finance.wharton.upenn.edu/~stambaug/)
+* Z. He, "Intermediary Capital Ratio and Risk Factor" dataset, University of Chicago. 
+[Link](https://voices.uchicago.edu/zhiguohe/data-and-empirical-patterns/intermediary-capital-ratio-and-risk-factor/)
+* K. Hou, G. Xue, R. Zhang, "The Hou-Xue-Zhang q-factors data library," at global-q.org.
+[Link](http://global-q.org/factors.html)
+* AQR Capital Management's Data Sets.
+* Lin Sun, DHS Behavioural factors [Link](https://sites.google.com/view/linsunhome)
+
+<p align="right">(<a href="#readme-top">back to top</a>)</p>
+
+## License
+
+![License](https://img.shields.io/badge/MIT-blue?style=for-the-badge&logo=license&colorA=grey&colorB=blue)
+
+*The code in this project is released under the [MIT License]().*
+
+[![Imports: isort](https://img.shields.io/badge/%20imports-isort-%231674b1?style=flat-square&labelColor=ef8336)](https://pycqa.github.io/isort/)
+[![Ruff](https://img.shields.io/badge/-ruff-%23261230?style=flat-square&logo=ruff&logoColor=d7ff64)](https://simpleicons.org/?q=ruff)
+

getfactormodels-0.0.1/README.md

@@ -0,0 +1,199 @@
+<a name="readme-top"></a>
+
+# getfactormodels
+
+![Python 3.11](https://img.shields.io/badge/Python-3.7+-306998.svg?logo=python&logoColor=ffde57&style=flat-square)
+
+
+Reliably retrieve data for various multi-factor asset pricing models.
+
+## Models
+
+- The 3-factor, 5-factor, and 6-factor models of Fama & French <sup>[[1]](#1) [[3]](#3) [[4]](#4)</sup>
+- Mark Carhart's 4-factor model <sup>[[2]](#2)</sup>
+- Pastor and Stambaugh's liquidity factors <sup>[[5]](#5)</sup>
+- Mispricing factors of Stambaugh and Yuan<sup>[[6]](#6)</sup>
+- The $q$*-factor* model of Hou, Mo, Xue and Zhang<sup>[[7]](#7)</sup>
+- The augmented $q^5$*-factor* model of  Hou, Mo, Xue and Zhang<sup>[[8]](#8)</sup>
+- *Intermediary Capital Ratio* (ICR) of He, Kelly & Manela<sup>[[9]](#9)</sup>
+- The *DHS behavioural factors* of Daniel, Hirshleifer & Sun<sup>[[10]](#10)</sup>
+- The *HML* $^{DEVIL}$ factor of Asness & Frazzini<sup>[[11]](#11)</sup>
+- The 6-factor model of Barillas and Shanken<sup>[[12]](#12)</sup>
+
+
+_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 publically provide._
+
+
+## Installation
+
+`getfactormodels` requires Python ``>=3.7``
+
+* Install with pip:
+  ```shell
+  $ pip install getfactormodels   
+  ```
+
+## Usage
+
+#### Python
+
+After installing, import ``getfactormodels`` and call ``get_factors()`` with the ``model`` and ``frequency`` parameters. Optionally, specify a ``start_date`` and ``end_date``
+* For example, to retrieve the daily q-factor model data:
+
+    ```py
+    import getfactormodels as getfactormodels
+    
+    df = getfactormodels.get_factors(model='q', frequency='d')
+    ```
+    > _Trimmed output:_
+    ```txt
+    > df
+                 Mkt-RF      R_ME      R_IA     R_ROE      R_EG        RF
+    date                                                                  
+    1967-01-03  0.000778  0.004944  0.001437 -0.007118 -0.008563  0.000187
+    1967-01-04  0.001667 -0.003487 -0.000631 -0.002044 -0.000295  0.000187
+    1967-01-05  0.012990  0.004412 -0.005688  0.000838 -0.003075  0.000187
+    1967-01-06  0.007230  0.006669  0.008897  0.003603  0.002669  0.000187
+    1967-01-09  0.008439  0.006315  0.000331  0.004949  0.002979  0.000187
+    ...              ...       ...       ...       ...       ...       ...
+    2022-12-23  0.005113 -0.001045  0.004000  0.010484  0.003852  0.000161
+    2022-12-27 -0.005076 -0.001407  0.010190  0.009206  0.003908  0.000161
+    2022-12-28 -0.012344 -0.004354  0.000133 -0.010457 -0.004953  0.000161
+    2022-12-29  0.018699  0.008568 -0.008801 -0.012686 -0.002162  0.000161
+    2022-12-30 -0.002169  0.001840  0.001011 -0.004151 -0.003282  0.000161
+
+     [14096 rows x 6 columns]
+    ```
+
+    * or, retreive the monthly liquidity factors of Pastor and Stambaugh for the 1990s:
+
+    ```py
+      import getfactormodels as getfactormodels
+    
+      df = getfactormodels.get_factors(model='liquidity', frequency='m', start_date='1990-01-01', end_date='1999-12-31')
+    ```
+    > If you don't have time to type `liquidity`, type `liq`, or `ps`--there's a handy regex.
+
+    * or, saving the monthly 3-factor model of Fama & French to a file:
+
+    ```py
+      import getfactormodels as gfm
+
+      df = gfm.get_factors(model='ff3', frequency='m', output="ff3_data.csv")
+    ```
+     >The output parameter accepts a filename, path or directory, and can be one of csv, md, txt, xlsx, pkl.
+
+
+You can also import just the models that you need. 
+
+* For example, to import only the *ICR* and *q*-factor models: 
+
+    ```py
+      from getfactormodels import icr_factors, q_factors
+
+      # Passing a model function with no params defaults to monthly.
+      df = icr_factors()
+
+      # The 'q' models, and the 3-factor model of Fama-French also have weekly data.
+      df = q_factors(frequency="W", start_date="1992-01-01)
+    ```
+
+* If using ``ff_factors()``, then an additional ``model`` parameter should be specified:
+
+    ```py
+    from getfactormodels import ff_factors
+
+    # To get annual data for the 5-factor model:
+    data = ff_factors(model="5", frequency="Y", output=".xlsx")
+
+    # Daily 3-factor model data, since 1970 (not specifying an end date
+    # will return data up until today):
+    data = ff_factors(model="3", frequency="D", start_date="1970-01-01")
+    ```
+    > Output allows just an extension to be specified.
+
+* or import all the models:
+
+  ```py
+    from getfactormodels import models
+  ```
+
+* There's also the `FactorExtractor` class that the CLI uses (it doesn't really do a whole lot yet):
+
+  ```python
+    from getfactormodels import FactorExtractor
+
+    fe = FactorExtractor(model='carhart', frequency='m', start_date='1980-01-01', end_date='1980-05-01')
+    fe.get_factors()
+    fe.to_file('carhart_factors.md')
+    ```
+
+  * _The resulting ``carhart_factors.md`` file will look like this:_
+    
+    | date                |   Mkt-RF |     SMB |     HML |     MOM |     RF |
+    |:--------------------|---------:|--------:|--------:|--------:|-------:|
+    | 1980-01-31 00:00:00 |   0.0551 |  0.0162 |  0.0175 |  0.0755 | 0.008  |
+    | 1980-02-29 00:00:00 |  -0.0122 | -0.0185 |  0.0061 |  0.0788 | 0.0089 |
+    | 1980-03-31 00:00:00 |  -0.129  | -0.0664 | -0.0101 | -0.0955 | 0.0121 |
+    | 1980-04-30 00:00:00 |   0.0397 |  0.0105 |  0.0106 | -0.0043 | 0.0126 |
+
+
+#### Using the CLI
+* You can also use getfactormodels from the command line.
+
+    ```bash
+    $ getfactormodels -h
+
+    usage: getfactormodels [-h] -m MODEL [-f FREQ] [-s START] [-e END] [-o OUTPUT] [--no_rf]
+    ```
+
+* An example of how to use the CLI to retrieve the Fama-French 3-factor model data:
+    ```bash
+       getfactormodels --model ff3 --frequency M --start-date 1960-01-01 --end-date 2020-12-31 --output "filename.csv"
+    ```
+    > Accepted file extensions are .csv, .txt, .xlsx, and .md. If no extension is given, the output file will be .csv. The --output flag allows a filename, filepath or a directory. If only an extension is provided (including the . else it'll be passed as a filename), a name will be generated.
+    
+* Here's another example that retrieves the annual Fama-French 5-factor data without the RF column:
+
+  ```sh
+    getfactormodels -m 5 -f Y -s 1960-01-01 -e 2020-12-31 --no_rf -o ~/some_dir/filename.xlsx
+  ```
+    > `--no_rf` will return the factor model without an RF column.
+
+## References
+1. <a id="1"></a> E. F. Fama and K. R. French, ‘Common risk factors in the returns on stocks and bonds’, *Journal of Financial Economics*, vol. 33, no. 1, pp. 3–56, 1993. [PDF](https://people.duke.edu/~charvey/Teaching/BA453_2006/FF_Common_risk.pdf)
+2. <a id="2"></a> M. Carhart, ‘On Persistence in Mutual Fund Performance’, *Journal of Finance*, vol. 52, no. 1, pp. 57–82, 1997. [PDF](https://onlinelibrary.wiley.com/doi/full/10.1111/j.1540-6261.1997.tb03808.x)
+3. <a id="3"></a> E. F. Fama and K. R. French, ‘A five-factor asset pricing model’, *Journal of Financial Economics*, vol. 116, no. 1, pp. 1–22, 2015. [PDF](https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2287202)
+4. <a id="4"></a> E. F. Fama and K. R. French, ‘Choosing factors’, *Journal of Financial Economics*, vol. 128, no. 2, pp. 234–252, 2018. [PDF](https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2668236)
+5. <a id="5"></a>L. Pastor and R. Stambaugh, ‘Liquidity Risk and Expected Stock Returns’, *Journal of Political Economy*, vol. 111, no. 3, pp. 642–685, 2003. [PDF](https://papers.ssrn.com/sol3/papers.cfm?abstract_id=279804)
+6. <a id="6"></a>R. F. Stambaugh and Y. Yuan, ‘Mispricing Factors’, *The Review of Financial Studies*, vol. 30, no. 4, pp. 1270–1315, 12 2016. [PDF](https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2626701)
+7. <a id="7"></a>K. Hou, H. Mo, C. Xue, and L. Zhang, ‘Which Factors?’, *National Bureau of Economic Research, Inc*, 2014. [PDF](https://academic.oup.com/rof/article/23/1/1/5133564)
+8. <a id="8"></a>K. Hou, H. Mo, C. Xue, and L. Zhang, ‘An Augmented q-Factor Model with Expected Growth*’, *Review of Finance*, vol. 25, no. 1, pp. 1–41, 02 2020. [PDF](https://academic.oup.com/rof/article/25/1/1/5727769)
+9. <a id="9"></a>Z. He, B. Kelly, and A. Manela, ‘Intermediary asset pricing: New evidence from many asset classes’, *Journal of Financial Economics*, vol. 126, no. 1, pp. 1–35, 2017. [PDF](https://cpb-us-w2.wpmucdn.com/voices.uchicago.edu/dist/6/2325/files/2019/12/jfepublishedversion.pdf)
+10. <a id="10"></a>K. Daniel, D. Hirshleifer, and L. Sun, ‘Short- and Long-Horizon Behavioral Factors’, *Review of Financial Studies*, vol. 33, no. 4, pp. 1673–1736, 2020. [PDF](https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3086063)
+11. <a id="11"></a>C. Asness and A. Frazzini, ‘The Devil in HML’s Details’, *The Journal of Portfolio Management*, vol. 39, pp. 49–68, 2013. [PDF](https://stockmarketmba.com/docs/Asness_Frazzini_AdjustHML.pdf)
+12. <a id="12"></a>F. Barillas and J. Shanken, ‘Comparing Asset Pricing Models’, *Journal of Finance*, vol. 73, no. 2, pp. 715–754, 2018. [PDF](https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2700000)
+
+**Data sources:**
+
+* K. French, "Data Library," Tuck School of Business at Dartmouth.
+  [Link](https://mba.tuck.dartmouth.edu/pages/faculty/ken.french/data_library.html)
+* R. Stambaugh, "Liquidity" and "Mispricing" factor datasets, Wharton School, University of Pennsylvania.
+[Link](https://finance.wharton.upenn.edu/~stambaug/)
+* Z. He, "Intermediary Capital Ratio and Risk Factor" dataset, University of Chicago. 
+[Link](https://voices.uchicago.edu/zhiguohe/data-and-empirical-patterns/intermediary-capital-ratio-and-risk-factor/)
+* K. Hou, G. Xue, R. Zhang, "The Hou-Xue-Zhang q-factors data library," at global-q.org.
+[Link](http://global-q.org/factors.html)
+* AQR Capital Management's Data Sets.
+* Lin Sun, DHS Behavioural factors [Link](https://sites.google.com/view/linsunhome)
+
+<p align="right">(<a href="#readme-top">back to top</a>)</p>
+
+## License
+
+![License](https://img.shields.io/badge/MIT-blue?style=for-the-badge&logo=license&colorA=grey&colorB=blue)
+
+*The code in this project is released under the [MIT License]().*
+
+[![Imports: isort](https://img.shields.io/badge/%20imports-isort-%231674b1?style=flat-square&labelColor=ef8336)](https://pycqa.github.io/isort/)
+[![Ruff](https://img.shields.io/badge/-ruff-%23261230?style=flat-square&logo=ruff&logoColor=d7ff64)](https://simpleicons.org/?q=ruff)

getfactormodels-0.0.1/getfactormodels/__init__.py

@@ -0,0 +1,43 @@
+# -*- coding: utf-8 -*-
+# MIT License
+#
+# Copyright (c) 2023 S. Martin
+#
+# Permission is hereby granted, free of charge, to any person obtaining a copy
+# of this software and associated documentation files (the "Software"), to deal
+# in the Software without restriction, including without limitation the rights
+# to use, copy, modify, merge, publish, distribute, sublicense, and/or sell
+# copies of the Software, and to permit persons to whom the Software is
+# furnished to do so, subject to the following conditions:
+#
+# The above copyright notice and this permission notice shall be included in all
+# copies or substantial portions of the Software.
+#
+# THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND, EXPRESS OR
+# IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES OF MERCHANTABILITY,
+# FITNESS FOR A PARTICULAR PURPOSE AND NONINFRINGEMENT. IN NO EVENT SHALL THE
+# AUTHORS OR COPYRIGHT HOLDERS BE LIABLE FOR ANY CLAIM, DAMAGES OR OTHER
+# LIABILITY, WHETHER IN AN ACTION OF CONTRACT, TORT OR OTHERWISE, ARISING FROM,
+# OUT OF OR IN CONNECTION WITH THE SOFTWARE OR THE USE OR OTHER DEALINGS IN THE
+# SOFTWARE.
+__version__ = "0.0.1"
+
+from .__main__ import FactorExtractor, get_factors
+from .models import models  # noqa: F401
+from .models.models import (barillas_shanken_factors, carhart_factors,
+                            dhs_factors, ff_factors, hml_devil_factors,
+                            icr_factors, liquidity_factors, mispricing_factors,
+                            q_classic_factors, q_factors)
+
+__all__ = ["FactorExtractor",
+           "ff_factors",
+           "icr_factors",
+           "q_factors",
+           "q_classic_factors",
+           "mispricing_factors",
+           "dhs_factors",
+           "liquidity_factors",
+           "hml_devil_factors",
+           "barillas_shanken_factors",
+           "carhart_factors",
+           "get_factors", ]