168 views

Uploaded by Radu

This is an assignment pattern for producing assignments.

save

- Dcf
- Capital Market 1
- FIN 534 Homework Chapter 9
- Chapter 06 IM 10th Ed-MANAJEMEN KEUANGAN
- Calculating Beta
- Corporate Finance Cheatsheet
- Fin 639 Project- Square Pharma
- Capital Assets Pricing Model (CAPM)
- Notes of Port Folio Managemnt
- The Capital Asset Pricing Model
- Finance Manuals.
- Capital asset pricing model
- Momentum Markowitz and Smart Beta
- ProjectDescription_2016
- Engle Slides
- Ross Ch 13
- topSIPFund-sharekhan
- Blackrock Global Allocation
- Asset Pricing Full
- Module_Equi
- 09603100701335457
- Apna Project Reliance Money
- Lecture 5 - Optimization.xls
- TOPIC 1 - THE HUMAN RACE AND RISK CHAP 1 VAUGHAN.PPT
- Capital Market Theories
- Risk Management in an Options Context
- jmkg.67.1.063.pdf
- 10-5-1--119-131
- Questions Wall Street Oasis
- Barad ASA-Risk Premia
- Arse Nie boca
- Chim_organica
- US Consumer Confidence
- Elementele - Euclid
- IBMR2017.pdf
- Invata Acum
- Moneda Si Credit II
- Rumba sheet music
- Istoria Bisericii Universale
- Ion Vladuca Mic Dictionar Apologetic
- Finger Combinations
- Plan de Marketing pentru EA
- IBMR2017
- Accounting Question
- uniatie - doc
- Assignment
- Pocket Tax Guide
- Costing - Sample Problems Template
- Curs 2 Globalizare 2011
- Analiza evoluţiei datoriei publice în România şi implicaţiile ei asupra economiei
- cap5-curs
- Assignment 2
- Sf. Ioan Damaschin
- Empire of Rome
- Cam Artur

**Go to the data library of Ken French, These returns are
**

expressed as a %, so you need to divide them by 100 to be

consistent with the stock returns from WRDS. Import this data

into EXCEL.

For each line in the WRDS EXCEL file, find the appropriate

Market return, SMB, HML, and risk-free rate from the French

EXCEL file, i.e. you need to merge both files by date. A

“VLOOKUP” might help you.

The 3rd file is the subsample of 100 stocks, that are used for

some questions.

Question 1

After you merged both datasets as described in the

Instructions: Compute the market capitalization as

[abs(PRC) * SHROUT] for each stock in each month. Why

are some prices negative? (You might need to lookup the

definition of PRC in WRDS, for example with an internet

search, to answer this question.)

Why can prices at time “t” be negative? [select every answer

that you think is correct]:

Question 2

For each of the hundred stocks, compute the average excess

return and the standard deviation over the period from January

2000 to December 2010 (to calculate such summary statistics

the PivotTable is very useful). Which stock has the highest

average excess return? (Reminder: excess return is the

difference between the return and the risk-free rate)

Question 3

Now compute the Sharpe ratio for each stock over this period.

Which stock looks most attractive to you in terms of the

tradeoff between return and risk over this period?

. Question 9 Now run a so called Fama-MacBeth regression (2nd step). then compute the average coefficient on Market Cap as well as the Fama-MacBeth t-statistic. which is the security market line (SML). Which stock has the largest beta estimate? Insert the PERMNO of the stock with the largest Beta coefficient below.Question 4 Do you observe any pattern regarding the Sharpe ratio of a stock and its average market cap (computed per PERMNO over the whole sample period)? Run a simple cross-sectional regression to check. where: X is the monthly estimated slope coefficient when explaining Returns by MarketCap and T is the number of observations (the number of months in the sample). the estimated SML) that is closest to what you find: Question 8 Now run a cross-sectional regression.e. Question 6 Make a scatter plot with on the vertical axis the historical average excess return of all stocks and on the horizontal axis the stock’s beta estimates over the full sample period. Question 5 Now run a formal CAPM (“market model”) time-series regression for each of the 100 firms (you can use the "LINEST" function in EXCEL to do so). Estimate the market model over the entire sample period. Question 7 Please indicate the Coefficient of determination (R2) from the regression in Question 6 (i. that is: each month regress excess returns on MarketCap only. Explain the wholesample average excess returns of each stock by the wholesample average MARKETCAP of each stock and the estimated beta (from Question 5). which is avg(X)/[stddev(X)/sqrt(T)]. Also add a linear trend line. Does this plot support the CAPM predictions?Indicate every correct statement from the list below. What do you find? Select every answer that corresponds with your findings.

Report the Fama-MacBeth test statistic. N=12). sqrt(N)*avg(X)/stddev(X).Question 10 As before. run a so called Fama-MacBeth regression and compute the Fama-MacBeth t-statistic.23 Use all slope coefficients from 2005 (i.e.e.Round the value to two decimal digits. Question 12 Are your results so far consistent with the data you received from Ken French’s website (using data from Jan-2000 to Dec2010)? Question 13 3. in February to December you use the market cap estimated in January of each year for each stock. smaller stocks are also associated with higher risk.e. 12. i. and the CAPM-beta (estimated over the whole sample) as a control variable. redo the Fama-MacBeth regressions. . enter like: 4. i. and X is the monthly estimated slope coefficient on MarketCap when explaining Returns by MarketCap and CAPM-Beta (i.e. the slope coefficients from the previous regression). use the MarketCap as of January for each year. i. to explain monthly returns (as before). Hence. Question 11 Of course. But this time explain Returns by MarketCap as of January for each year.e. and use the dot to separate decimal from non-decimal digits. where N is the number of observations (the number of months).

- DcfUploaded byNikhil Adhye
- Capital Market 1Uploaded byPraveen Malineni
- FIN 534 Homework Chapter 9Uploaded byJenna Kiragis
- Chapter 06 IM 10th Ed-MANAJEMEN KEUANGANUploaded byRizkyAdiPoetra
- Calculating BetaUploaded byUrooj Khan
- Corporate Finance CheatsheetUploaded byLynette
- Fin 639 Project- Square PharmaUploaded byPushpa Barua
- Capital Assets Pricing Model (CAPM)Uploaded byMohiit Walter
- Notes of Port Folio ManagemntUploaded bymirgasara
- The Capital Asset Pricing ModelUploaded byFaisal Khan
- Finance Manuals.Uploaded byusernamet-aken
- Capital asset pricing modelUploaded byJanani Rani
- Momentum Markowitz and Smart BetaUploaded bydoncalpe
- ProjectDescription_2016Uploaded byengpeilynn
- Engle SlidesUploaded byStephan Lewis
- Ross Ch 13Uploaded bymiftahulamalah
- topSIPFund-sharekhanUploaded byபிரபாகரன் ஆறுமுகம்
- Blackrock Global AllocationUploaded byJonathan de la Cruz
- Asset Pricing FullUploaded byBhupendra Rai
- Module_EquiUploaded byKS
- 09603100701335457Uploaded byhenry72
- Apna Project Reliance MoneyUploaded byrahul_simple22
- Lecture 5 - Optimization.xlsUploaded bymzhao8
- TOPIC 1 - THE HUMAN RACE AND RISK CHAP 1 VAUGHAN.PPTUploaded byRied-Zall Hasan
- Capital Market TheoriesUploaded byPranita Bhavar
- Risk Management in an Options ContextUploaded byskbsantosh
- jmkg.67.1.063.pdfUploaded bysukande
- 10-5-1--119-131Uploaded bynlucaroni
- Questions Wall Street OasisUploaded byScot Holloway
- Barad ASA-Risk PremiaUploaded byalex_x48835

- Arse Nie bocaUploaded byRadu
- Chim_organicaUploaded byRadu
- US Consumer ConfidenceUploaded byRadu
- Elementele - EuclidUploaded byRadu
- IBMR2017.pdfUploaded byRadu
- Invata AcumUploaded byRadu
- Moneda Si Credit IIUploaded byRadu
- Rumba sheet musicUploaded byRadu
- Istoria Bisericii UniversaleUploaded byRadu
- Ion Vladuca Mic Dictionar ApologeticUploaded byRadu
- Finger CombinationsUploaded byRadu
- Plan de Marketing pentru EAUploaded byRadu
- IBMR2017Uploaded byRadu
- Accounting QuestionUploaded byRadu
- uniatie - docUploaded byRadu
- AssignmentUploaded byRadu
- Pocket Tax GuideUploaded byRadu
- Costing - Sample Problems TemplateUploaded byRadu
- Curs 2 Globalizare 2011Uploaded byRadu
- Analiza evoluţiei datoriei publice în România şi implicaţiile ei asupra economieiUploaded byRadu
- cap5-cursUploaded byRadu
- Assignment 2Uploaded byRadu
- Sf. Ioan DamaschinUploaded byRadu
- Empire of RomeUploaded byRadu
- Cam ArturUploaded byRadu