紧急求助，求助关于投资经济学论文《资产定价的多因子解释》的相关作业题

【作者(必填)】EUGENE F. FAMA and KENNETH R. FRENCH

【文题(必填)】Multifactor Explanations of Asset Pricing Anomalies

【年份(必填)】1996

【全文链接或数据库名称(选填)】

Problem Set 2

(Investment Economic Research)

(All answer shouldbe written on the A4 Paper; Finish date: 22, June)

1.Reading Fama and French paper “Multifactorexplanations:”

(1) In Table I, which kinds of stocks havehigher average returns?

(2) Would a stockwith strong earnings growth be a “growth” stock by FF’s definition? Would astock with a small number of employees be “small”? How do FF define growth andvalue?)

(3) Does thespread in average returns in Table 1A present a puzzle, by itself?

(4). How areFF’s “SMB” and “HML” factors constructed?

(5). Whichgets better returns going forward, stocks that had great past growth in salesover the last 5 years, or stocks that had poor past growth in sales?

(6). Whichresults show the “long-term reversal” effect in average returns best? Which show the “momentum” effect best?

(7). It looks like we should all buy value, but wecan’t all buy value, someone has to hold the growth stocks. If we all try tobuy value, the value effect will disappearbecause we drive up the prices. How to Fama and French address this conundrum?(hint, p. 76, 77)

2. Get the 25 Fama French portfolios andthe factors from the email. Starting 196301 as FF did, but use all the data tothe present. Subtract the risk free rate rf from the 25 test assets to makethem excess returns. The factors rmrf hml smb are already excess returns.

FF didn’t show us that the CAPM does notwork on their portfolios. Evaluate the CAPM on these 25 portfolios, as follows.

(1). Run time series regressions of                                

i. Tabulate   ，  ，  ，  

ii. To see the patterns better, also makeplots of expected excess returns, alphas, and betas in the 25 portfolios in athree dimensional way. (x, y and z axis is value, size and mean valuerespectively) iii. Make a plot of average excess returns   (y axis) against betas(x axis), or average excess returns (y) against predicted values   .

(2) Does the CAPM work at all on the FF 25portfolios? Look at the statistical significance — are the ts on the alphasgreater than 2? Look at the economic significance — is there a pattern inaverage excess returns, and is that pattern mirrored in the betas so that    has any hope? Does itwork decently for some portfolios, but have trouble on a few, or is it prettymuch not working anywhere?

(3) Repeat the CAPM evaluation. Using datafrom 193201 to 196212. How does the CAPM work in the earlier sample? (You don’thave to present everything, just the graph or table that best captures thesimilarities or differences you see in theearlier data.)

According to the table I, small stocks tend to have higher returns than big stocks and high-book-to-market stocks have higher returns than low-BE/ME stocks.
Among the sorts in Table III, the three-factor model has the hardest time with the returns on the sales-rank portfolios. Recall that high sales-rank firms (strong past performers) have low future returns, and low sales-rank firms (weak past performers) have high future returns (Table II).
Given the evidence in FF (1995) that loadings on HML proxy for relative distress, we can infer that low BE/ME, E/P, and C/P are typical of strong stocks, while high BE/ME, E/P, and C/P are typical of stocks that are relatively distressed.
The three-factor model of (1) captures most of this pattern in average returns, largely because low sales-rank stocks behave like distressed stocks (they have stronger load ings on HML).
Yes. Table I also reports estimates of the three-factor time-series regression (2). If the three-factor model (1) describes expected returns, the regression intercepts should be close to 0.0. The estimated intercepts say that the model leaves a large negative unexplained return for the portfolio of stocks in the smallest size and lowest BE/ME quintiles, and a large positive unexplained return for the portfolio of stocks in the largest size and lowest BE/ME quintiles. Otherwise the intercepts are close to 0.0. The average of the 25 regression R2 is 0.93, so
small intercepts are distinguishable from zero.
SMB:the difference between the return on a portfolio of small stocks and the return
on a portfolio of large stocks    HML: the difference between the return on a portfolio of high-book-to-market stocks and the return on a portfolio of low-book-to-market stocks
The five-year sales rank for June of year t, 5-Yr SR(t), is the weighted average of the annual sales growth ranks for the prior five years. We find that past sales growth is negatively related to future return.

(6). Which results show the “long-term reversal” effect in average returns best? Which show“momentum” effect best?
According to the paper, the reversal of long-term returns, which has produced so much controversy ( DeBond and Thaler (1985, 1987), Chan (1988), Ball and Kothari (1989), Chopra, Lakonishok, and Ritter (1992)), falls neatly within the predictions of our three-factor model.So, three-factor model is the best.
One possible explanation is linked to human capital, an important asset for most investors. workers with specialized human capital in distressed firms have an incentive to avoid holding their firms' stocks.

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题目一中提到的表一

这里是用到的数据

According to the table I, small stocks tend to have higher returns than big stocks and high-book-to-market stocks have higher returns than low-BE/ME stocks
Among the sorts in Table III, the three-factor model has the hardest time with the returns on the sales-rank portfolios. Recall that high sales-rank firms (strong past performers) have low future returns, and low sales-rank firms (weak past performers) have high future returns (Table II).
Given the evidence in FF (1995) that loadings on HML proxy for relative distress, we can infer that low BE/ME, E/P, and C/P are typical of strong stocks, while high BE/ME, E/P, and C/P are typical of stocks that are relatively distressed.
The three-factor model of (1) captures most of this pattern in average returns, largely because low sales-rank stocks behave like distressed stocks (they have stronger load ings on HML).
Yes. Table I also reports estimates of the three-factor time-series regression (2). If the three-factor model (1) describes expected returns, the regression intercepts should be close to 0.0. The estimated intercepts say that the model leaves a large negative unexplained return for the portfolio of stocks in the smallest size and lowest BE/ME quintiles, and a large positive unexplained return for the portfolio of stocks in the largest size and lowest BE/ME quintiles. Otherwise the intercepts are close to 0.0. The average of the 25 regression R2 is 0.93, so
small intercepts are distinguishable from zero.
SMB:the difference between the return on a portfolio of small stocks and the return
on a portfolio of large stocks    HML: the difference between the return on a portfolio of high-book-to-market stocks and the return on a portfolio of low-book-to-market stocks
The five-year sales rank for June of year t, 5-Yr SR(t), is the weighted average of the annual sales growth ranks for the prior five years. We find that past sales growth is negatively related to future return.

According to the paper, the reversal of long-term returns, which has produced so much controversy ( DeBond and Thaler (1985, 1987), Chan (1988), Ball and Kothari (1989), Chopra, Lakonishok, and Ritter (1992)), falls neatly within the predictions of our three-factor model.So, three-factor model is the best.
One possible explanation is linked to human capital, an important asset for most investors. workers with specialized human capital in distressed firms have an incentive to avoid holding their firms' stocks.