Consider the data for Coles-Myers in the files cmi.xls. The files contain 4 variables from 1984Q1...

 

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Consider the data for Coles-Myers in the files "cmi.xls". The files contain 4 variables from 1984Q1 to 2003Q3. Variable Name P DIVY ALLORD DELBILL Description Coles-Myer Share Price Index Coles-Myer Dividend Yield ALL ORDS-SFE-SPI 200 AUSTRALIA DEALER BILL 90 DAY- MIDDLE RATE Construct a model for the excess returns to shares of Coles-Myers as follows: EXCOLES = ₁ + 0₂ EXMKT+U (1) where, DELB = LOG(1 + DELBILL/400) EXCOLES = LOG(P/P(-1)) - DELB EXMKT = LOG(ALLORD/ALLORD(-1)) - DELB (a) Looking at the variables EXCOLES and EXMKT, what do these variables measure? [1] (b) Plot the excess returns of Coles Myer shares. Copy and paste your graph. [1] Visually make an assessment of sub-sample periods where you think it is reasonable to expect the parameters of the model to have remained constant. [2] (c) Estimate the above CAPM Model in equation (1). Copy and paste the regression output. [1] Write down the regression estimates and interpret the results. [2] (d) Perform a test to assess the stability of the CAPM parameters by using the break date of 1989Q1. Copy and paste your test results. [1] State the null and alternative hypotheses. What is your conclusion? [3] (e) Repeat your analysis in part (d) but use the break date of 1998Q1. Copy and paste your results and state your conclusion. [1.1] (f) Based on your results in part (d) and (e), is your answer in (c) robust to structural breaks? [1] (g) is the residual in regression (1) free from autocorrelation at lag order 10? Copy and paste your results and explain your findings.[1.1] (h) is the residual in regression (1) homoskedastic? Copy and paste your results and explain your findings.[1,1] (i) Is the residual in regression (1) normally distributed? Copy and paste your results and explain your findings.[1,1] Consider the data for Coles-Myers in the files "cmi.xls". The files contain 4 variables from 1984Q1 to 2003Q3. Variable Name P DIVY ALLORD DELBILL Description Coles-Myer Share Price Index Coles-Myer Dividend Yield ALL ORDS-SFE-SPI 200 AUSTRALIA DEALER BILL 90 DAY- MIDDLE RATE Construct a model for the excess returns to shares of Coles-Myers as follows: EXCOLES = ₁ + 0₂ EXMKT+U (1) where, DELB = LOG(1 + DELBILL/400) EXCOLES = LOG(P/P(-1)) - DELB EXMKT = LOG(ALLORD/ALLORD(-1)) - DELB (a) Looking at the variables EXCOLES and EXMKT, what do these variables measure? [1] (b) Plot the excess returns of Coles Myer shares. Copy and paste your graph. [1] Visually make an assessment of sub-sample periods where you think it is reasonable to expect the parameters of the model to have remained constant. [2] (c) Estimate the above CAPM Model in equation (1). Copy and paste the regression output. [1] Write down the regression estimates and interpret the results. [2] (d) Perform a test to assess the stability of the CAPM parameters by using the break date of 1989Q1. Copy and paste your test results. [1] State the null and alternative hypotheses. What is your conclusion? [3] (e) Repeat your analysis in part (d) but use the break date of 1998Q1. Copy and paste your results and state your conclusion. [1.1] (f) Based on your results in part (d) and (e), is your answer in (c) robust to structural breaks? [1] (g) is the residual in regression (1) free from autocorrelation at lag order 10? Copy and paste your results and explain your findings.[1.1] (h) is the residual in regression (1) homoskedastic? Copy and paste your results and explain your findings.[1,1] (i) Is the residual in regression (1) normally distributed? Copy and paste your results and explain your findings.[1,1]

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a EXCOLES and EXMKT variables measure the following EXCOLES Excess returns to shares of ColesMyers It represents the logarithmic difference between th... View the full answer