For each of these countries, let MEDALS be the total number of medals won, POPM be population in millions, and GDPB be GDP in billions of 1995 dollars. There were 79 countries who competed in the 1996 Olympics and won at least one medal. Which of the three models predicts the excess return that is closed to the actual figure?Ģ) Textbook Chapter 5 Problem 5.8 (a) & (c) only. As for the values of mrp, smb3, hml3, smb5, hml5, rmw5, and cma5, use the actual figures included in data. (c) For this question, consider JP Morgan and Walmart only.įor each of these two stocks, predict the August 2021 expected excess return on the basis of the coefficients estimated from CAPM, Fama-French 3-factor model, and Fama-French 5-factor model, respectively. What are your conclusions based on the tests? What is the relationship between the obtained t-statistic and F-statistic? Then conduct both a t-test and an F-test for the following null hypothesis: (b) For this question, consider Pfizer only.įirst, run the Fama-French 5-factor model shown below.
![fama french regression excel fama french regression excel](http://sellsidehandbook.com/wp-content/uploads/2018/11/fama-french-1132x509.jpg)
Similarly, we can test whether Fama-French 3 factor model reduces to CAPM.įor each of three stocks, by conducting appropriate F-tests, make conclusions about CAPM vs. In other words, we decide whether to reject the null hypothesis that the coefficients of RMW5 and CMA5 are simultaneously zero in the following regression model. Which is the best model among CAPM, Fama-French 3 factor model, and Fama-French 5 factor model? While it is difficult to determine a definite answer to this question, we can check which model is more appropriate for an individual security on the statistical basis.įor example, we can conduct a joint hypothesis test to decide whether Fama-French 5 factor model reduces to Fama-French 3 factor model. (a) For this question, consider the following three stocks only: HP, Verizon and Wells Fargo. Be sure to use monthly observations only up to July 2021. These rules are applied to each and every question including the multiple-choice type.ġ) Answer the following questions by conducting appropriate analyses to “data-stocks-FF-monthly.dta” saved during Class 5. Whether right or wrong, answers without explanations will receive no credit.
#Fama french regression excel full#
Please clearly explain your answer to receive full credit. Therefore, the maximum credit possible from this homework is 60 points. You might want to edit this document to insert enough spaceįor your answers and explanations before printing it.Įach question carries the same weight of 4 points. We will strive for excellence, honesty, integrity and originality in the work we submit, both individually and as a member of a group.” It adheres to the Carey Business School’s Academic Ethics Policy. Group Submission: “We,, ,, ,, and, pledge that the work we are submitting is of our own ideas. I will strive for excellence, honesty, integrity and originality in the work I submit.” Individual Submission: “I,, pledge that the work I am submitting is of my own ideas.
![fama french regression excel fama french regression excel](https://www.emse.fr/~pbreuil/capmes/Eng/img26.jpg)
Linear Econometrics for Finance: Homework 2