a)Estimate the Fama-French three-factor model and interpret the estimation results. (Note: The data for three factors can be obtainedfrom Ken French’s website:http://mba.tuck.dartmouth.edu/pages/faculty/ken.french/data library.html)
b)Perform the test for each stock:H0 : αi = 0, i = 1, 2, · · · , 5.
c)Perform the joint test for all stocks:H0 :α1 =α2 =···=α5 =0
Monthly returns for five stocks, the market index and the monthly risk-free rate in 2009 DATE _11691 _11908 _13303 _13987 _17137 mktret RF(%) Mkt-RF 2009-1-30
-0.1205
0.1139
-0.1373
-0.1603
-0.0179
-0.0812
0
-0.0812
2009-2-27
-0.1332
0.0848
-0.1981
-0.1012
-0.7082
-0.0910
0.01
-0.0911
2009-3-31
0.0128
-0.0368
0.0922
0.0028
1.0208
0.1095
0.02
0.1093
2009-4-30
0.3999
0.1217
0.2110
-0.0084
0.1649
0.1119
0.01
0.1118
2009-5-29
-0.0591
0.0957
-0.3716
0.0085
-0.0619
0.0521
0
0.0521
2009-6-30
-0.0529
0.0194
-0.0138
-0.0294
0.2972
0.0143
0.01
0.0142
2009-7-31
0.2466
0.1086
-0.0745
-0.0090
-0.0909
0.0872
0.01
0.0871
2009-8-31
-0.0070
-0.1426
0.0044
0.0262
1.0240
0.0433
0.01
0.0432
2009-9-30
0.1181
0.1904
-0.0051
0.0456
-0.1542
0.0508
0.01
0.0507
2009-10-30
-0.1016
-0.0185
-0.0746
-0.0302
-0.0981
-0.0259
0
-0.0259
2009-11-30
0.0706
-0.0051
0.1000
0.0810
-0.0440
0.0556
0
0.0556
2009-12-31
0.1205
0.0121
0.0359
-0.0654
-0.0569
0.0375
0.01
0.0374


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