[R-sig-finance] Using R in equity research

[Vadim Ogranovich]

> > I notice that most financial users of R and S-Plus tend to 
> be focused 
> > on derivatives and time-series applications. I haven't seen many 
> > approaching time series data from a multi-factor relationship 
> > perspective. Anyone else seen good applications, 
> publications on that 
> > kind of analysis?
> 
> For what I know, it is used fairly extensive in portfolio 
> management (for equity as well as other portfolio) but I 
> don't have a quick reference I could point you to for more.  
> 
> Suggestions, anyone?

I guess I am missing something in the question since the subject has
been under very intensive study since the seminal paper by Fama and
French where they introduced their three factor model (I don't have the
reference handy, but I guess Google will turn up hundreds of
references). The literature simply exploded since then.

Thanks,
Vadim