Question: Data Go to Kenneth Frenchs data library (google it) and get the following monthly returns from 1963-07 until 2020-07 (each line corresponds to a different

Data Go to Kenneth Frenchs data library (google it) and get the following monthly returns from 1963-07 until 2020-07 (each line corresponds to a different data file):

T-Bills and Market Excess Return

3 portfolios formed on size (lowest 30%, intermediate 40%, highest 30%)

3 portfolios formed on BE/ME (lowest 30%, intermediate 40%, highest 30%)

a) Consider the portfolios formed on the smallest 30% stocks. What are its Fama-French 3-factor beta and abnormal return? Consider the portfolio formed on the largest 30% of stocks. What is its Fama-French 3-factor beta and abnormal return?

b) Consider the portfolios formed on the 30% lowest BE/ME stocks. What are its Fama-French 3-factor beta and abnormal return? Consider the portfolio formed on the largest 30% BE/ME of stocks. What is its Fama-French 3-factor beta and abnormal return?

Step by Step Solution

There are 3 Steps involved in it

1 Expert Approved Answer

Step: 1 Unlock blur-text-image

Question Has Been Solved by an Expert!

Get step-by-step solutions from verified subject matter experts

Step: 2 Unlock

Step: 3 Unlock

Students Have Also Explored These Related Finance Questions!

Data Go to Kenneth Frenchs data library (google it) and get the following monthly returns from 1963-07 until 2020-07 (each line corresponds to a different data file): T-Bills and Market Excess Return...

Go to Kenneth French's data library (google it) and get the following monthly returns from 1963-07 until 2020-07 (each line corresponds to a different data file): T-Bills and Market Excess Return 3...

Problem 3: Go to Ken Frenchs data library (google it) and get the following data: Monthly returns, from 196307 to present, to 1) the three Farma-French factors and T-bills (link: Farma/French...

Question 3: Go to Ken Frenchs data library (google it) and get the following data: Monthly returns, from 196307 to present, to 1) the three FamaFrench factors and T-bills (link: Fama/French Factors),...

Go to Ken French's data library (google it)and get the following data: Monthly returns, from 196307 to present,to1) the three Fama-French factors and T-bills, 2) the momentum factor, and 3) the 6...

A. Choose a stock that interests you. Utilizing Bloomberg (or other financial websites) as a source of data, collect the following information: a. Current stock price b. The last dividend paid (D0)...

Go to Ken Frenchs data library and get the following data: Monthly returns, from 196307 to present, to 1) the three Fama-French factors and T-bills (link: Fama/French Factors), 2) the momentum...

A.Choose a stock that interests you. utilizing Bloomberg as a source of data, collect the following information: a. the stock's Beta b.the rate of return on the market(S&P 500 index) c.the risk-free...

I need the answer for assignment number 2 Assign ment #2 Stock Valuation A. Choose a stock that interests you. Utilizing Bloomberg (or other financial websites) as a source of data, collect the...

Part 1. Univariate Statistics. Please go to Professor Kenneth French's data library website and obtained monthly returns data on the "Fama/French 3 Factors" and the risk free rate for the period from...

In Rolling Stone magazine, several fans and rock stars, including Pearl Jam, were bemoaning the high price of concert tickets. One superstar argued, "It just isn't worth $75 to see me play. No one...

When determining the costs of each component of a firm's capital structure, the firm must evaluate the following: a) Total cost of new funds b) Average cost of new funds c) Marginal cost of new funds...

Simplify each of the following by rationalizing the denominator. e 217 (b) 22 4+5 9 ST 5 5 (d) 26-3 + 7 4-33 33+4

Which answer option is not one of the five pitfalls that hinder innovation? Multiple Choice judging ideas too quickly obeying rules that do not exist failing to act hiring the wrong people

4. What themes unify areas of study within the fi eld of communication?

How would your communication differ if you acted according to a linear model of communication, as opposed to a transactional one? Apply what youve learned in this chapter by analyzing the following...

3. What areas of study and teaching compose the discipline of communication today?