Instructions for Q19-20

Instructions for Q19-20

Use the data set UPS_KO.csvLinks to an external site. file to answer the following questions:

• Date: This column represents date from 09/2014 to 08/2019.
• Mkt_RF: This column represents market premium (i.e., Market return - risk_free rate).
• SMB: This column represents the value of the size factor.
• HML: This column represents the value of the value factor.
• RF: This column represents risk free rate.
• UPS: This column represents the return of UPS.
• KO: This column represents the return of KO.

Sample Period : 04/2015 to 11/2018 (Inclusive)

Estimate a three-factor model by regressing return in excess of the risk free rate on Mkt_rf; SMB; and HML for both UPS and KO for the sample period.

Based on the three factor model, which firm has a higher level of performance? What is this firm's return (performance level)?

Note:Rememberto filterthe datafor the sample period, before solving the problem.