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Added on: 0000-00-00 00:00:00Order Code: Question Task Id: 0
MAS7629
Economics Assignment:
1) Using data for your sub-period calculate and report in a table (Table 1) the descriptive statistics (mean, median, standard deviation, skewness, kurtosis, minimum and maximum) for both the price levels and price returns (relative prices) using logarithmic returns of your
selected NYSE stock. Briefly comment on the results.
2) Provide separate time series plots of each variable to present:
a) price levels
b) returns
c) squared returns. Briefly comment on the results.
3) Test for normality for the excess return series of your NYSE stock and the market
4) Estimate Fama-Frenchs three-factor empirical asset pricing model (Fama and French,1993) using the market excess return (Rm-Rf), SMB and HML factors. Report the estimation output in a table Test the individual significance of the slopes of the estimated risk
factors (Hint: a hypothesis test of the null that the estimate is equal to zero (0)). Test the joint significance of the slopes of the estimated risk factors (Hint: perform a test of the null hypothesis that each of the three slope estimates is jointly equal to zero (0)). Comment on the results.
5) Estimate the five-factor Fama-French (the full model) and the three-factor Fama-French empirical asset pricing models. Report the estimation output of the five-factor model in a table.Compare the statistical significance of these two empirical asset pricing models. (Hint: perform statistical testing of the unrestricted model the (full) five-factor Fama- French model and the restricted three-factor Fama-French model.) Comment on the results.
Uploaded By : celina
Posted on : April 10th, 2018
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