Question: Homework 3 Use data FIN 5 0 9 5 3 5 Fall 2 0 2 4 . parquet and famafrench 5 factors.pkl . Only submit

Homework 3 Use data FIN509535 Fall2024.parquet and famafrench5factors.pkl. Only submit your .py file, with your name in the file name DO NOT submit the data. Use print commands to clearly state what question you are answering and what is your answer. Your code should take no more than a minute to run: points will be deducted for homeworks that take several minutes to run. RECALL: that excess returns have been led forward by one month in the .parquet, whereas the Fama French factors are timed with the month the return was realized. Hence you need to shift forward the eom for excess returns by one month. Questions 1.[Recommend using .pivot()] (a) How many stocks have at least 100 nonmissing observations? [Report as an integer] Work only with these stocks for the rest of the homework (b) What is the average number of nonmissing observations? [Report with only one decimal place] (c) What is the median number of nonmissing observations [Report as an integer] For the remaining questions, estimate the CAPM by regressing each stocks excess return on Mkt-RF 2. What is the minimum, median, and maximum R2 from these regressions? [Report with 4 decimal places] 3. What is the minimum, median, and maximum p-value for the CAPM beta from these regressions? [Report with 4 decimal places] 4. What is the correlation between the F p-value and the CAPM beta p-value? [Report with 4 decimal places]

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