MATLAB代码：基于杠杆率的股票投资组合资产定价分析

# 导入数据集

load predata.mat

load FamaFrench5Factors.mat

# 杠杆率后置一格

stk_axis = unique(predata.PERMNO);    

for i = 1 : length(stk_axis)

    index_stk = find(predata.PERMNO == stk_axis(i));

    databystk = predata(index_stk, : );

    databystk.Lev = circshift(databystk.LeverageRatio, 1);

    predata(index_stk, 2) = databystk( : , 2);

end

# 滚动分组, 计算平均杠杆率及回报率

time_axis = unique(predata.Date);

lev = [];

ret = [];

for i = 1 : length(time_axis) - 1

    index_t = find(predata.Date == time_axis(i+1));

    data_now = predata(index_t, : );

    temp = table2array(data_now( : , 5));

    a = prctile(temp, 20);

    b = prctile(temp, 40);

    c = prctile(temp, 60);

    d = prctile(temp, 80);

    tier1