Consider the monthly simple returns of CRSP decile 1, 2, 5, 9 and 10 portfolios based on the market capitalization of NYSE/AMEX/NASDAQ. The data span is from January 1961 to September 2011. For the return series of Decile 2 and Decile 10,

1-Compute the sample mean, standard deviation, skewness, minimum and maximum of each series.

2- Test the null hypothesis that the first 12 lags of autocorrelations are 0 at the 5% level. Draw your conclusion.

Answer rating: 100% (QA)

Answer To solve this problem we will use the provided monthly simple returns data for the CRSP decil... View the full answer