Longitudinal Analysis of Barra Multi Factor Model Using R

Abstract

Barra multi factor model has been widely used in this mature capital market. Many investors use this model to obtain the estimates of the market risk and excess returns. In this paper, Barra multi factor model framework is constructed by longitudinal data analysis, linear mixed effects model, in Korea stock market since the idea of each company is correlated and then consideration of random effect is appropriate. This application might be quite useful to fit a data and gives a good explanation.