GitHub - thiago-os/Dissecting: Code to generate all tables and figures of "Dissecting Market Expectations in the Cross-Section of Book-to-Market Ratios", Critical Finance Review (forthcoming).

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Code to generate all tables and figures of "Dissecting Market Expectations in the Cross-Section of Book-to-Market Ratios", Critical Finance Review (forthcoming).

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Name		Name	Last commit message	Last commit date
Latest commit History 3 Commits
local		local
CFR.ipynb		CFR.ipynb
README.txt		README.txt
Table model v2.xlsx		Table model v2.xlsx
pls.py		pls.py

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How to generate all results:
1. Open the file pls.py (on Spyder, for example).
2. Run the file pls.py (this will take a day probably...).
2.1. Save the results of all different models generated by pls.py with the name CFR72.mod for example (as a pickle).
3. Open the file CFR.ipynb on Jupyter notebook.
4. Run the file CFR.ipynb on Jupyter notebok to obtain all the graphs and tables in the paper from the pickles in step 2.1.

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Code to generate all tables and figures of "Dissecting Market Expectations in the Cross-Section of Book-to-Market Ratios", Critical Finance Review (forthcoming).

machine-learning asset-pricing predictability return-forecast out-of-sample equity-premium book-to-markets

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