Question: Question 2-20 points Download the return data for GameStop on Canvas and estimate a four-factor (Carhart) pricing model. a. Write down the appropriate four-factor pricing

 Question 2-20 points Download the return data for GameStop on Canvasand estimate a four-factor (Carhart) pricing model. a. Write down the appropriatefour-factor pricing model, i.e., one that includes only variables that are statistically

Question 2-20 points Download the return data for GameStop on Canvas and estimate a four-factor (Carhart) pricing model. a. Write down the appropriate four-factor pricing model, i.e., one that includes only variables that are statistically significant at the 95% (1.96 t-stat) level along with the risk-free rate. Include a screenshot of the regression output. [If you are having difficulty, describe how you would run the regression and determine significance for partial credit.) (10 points) b. Given the following expected returns for the factors, calculate the expected return for GameStop using the pricing model from part (a). Assume the risk-free rate is 1%. [If you are unable to estimate the model in part (a), write down a hypothetical model and calculate the expected return for partial credit.) (4 points) Factor Return Mkt - Rf 8% SMB 4% HML 12% MOM 16% a. Holding all else constant, suppose the market for GameStop was twice as big as your estimate from part(a). BRIEFLY describe what this would imply about GameStop's levels of systematic risk and idiosyncratic risk. (6 points) Date Jan-10 Feb-10 Mar-10 Apr-10 May-10 Jun-10 Jul-10 Aug-10 Sep-10 Oct-10 Nov-10 Dec-10 Jan-11 Feb-11 Mar-11 Apr-11 May-11 Jun-11 Jul-11 Aug-11 Sep-11 Oct-11 Nov-11 Dec-11 Jan-12 Feb-12 Mar-12 Apr-12 May-12 Jun-12 Jul-12 Aug-12 Sep-12 Oct-12 Nov-12 Dec-12 Jan-13 Feb-13 Mar-13 Apr-13 May-13 Jun-13 Jul-13 Aug-13 Sep-13 Oct-13 Nov-13 Dec-13 Jan-14 Feb-14 Mar-14 Apr-14 May-14 Jun-14 Jul-14 Aug-14 Sep-14 Oct-14 Nov-14 Dec-14 Rf 0 0 0.0001 0.0001 0.0001 0.0001 0.0001 0.0001 0.0001 0.0001 0.0001 0.0001 0.0001 0.0001 0.0001 0 0 0 0 0.0001 0 0 0 0 0 0 0 0 0.0001 0 0 0.0001 0.0001 0.0001 0.0001 0.0001 0 0 0 0 Rm-Rf -0.0336 0.034 0.0631 0.02 -0.0789 -0.0557 0.0693 -0.0477 0.0954 0.0388 0.006 0.0682 0.0199 0.0349 0.0046 0.029 -0.0127 -0.0175 -0.0235 -0.0599 -0.0759 0.1135 -0.0028 0.0074 0.0505 0.0442 0.0311 -0.0085 -0.0619 0.0389 0.0079 0.0255 0.0273 -0.0176 0.0078 0.0118 0.0557 0.0129 0.0403 0.0155 0.028 -0.012 0.0565 -0.0271 0.0377 0.0418 0.0313 0.0281 -0.0332 0.0465 0.0043 -0.0019 0.0206 0.0261 -0.0204 0.0424 -0.0197 0.0252 0.0255 -0.0006 SMB 0.0037 0.0119 0.0143 0.0486 0.0015 -0.0184 0.0017 -0.0303 0.0394 0.0104 0.0377 0.0069 -0.0252 0.0153 0.0259 -0.0038 -0.0057 -0.0013 -0.014 -0.0308 -0.0337 0.0336 -0.0013 -0.0063 0.0207 -0.0183 -0.0071 -0.0037 0.0009 0.0078 -0.0262 0.0042 0.0049 -0.0113 0.0054 0.0145 0.0036 -0.0041 0.0075 -0.0242 0.0162 0.0115 0.0187 0.003 0.0289 -0.0153 0.0118 -0.0058 0.0087 0.0031 -0.0185 -0.0421 -0.0191 0.0308 -0.0426 0.0038 -0.0378 0.0428 -0.0209 0.0252 HML 0.0029 0.0318 0.0216 0.0293 -0.024 -0.0452 -0.0033 -0.0191 -0.0327 -0.0251 -0.0102 0.0367 0.0075 0.0136 -0.0172 -0.0245 -0.0216 -0.0048 -0.0083 -0.0242 -0.0163 0.0013 -0.0033 0.0173 -0.0099 0.0032 0.0119 -0.008 -0.0078 0.0063 -0.0007 0.0121 0.0153 0.0368 -0.0094 0.0352 0.0091 0.0007 -0.002 0.0055 0.0265 -0.0002 0.0058 -0.0267 -0.0119 0.012 0.0031 -0.0005 -0.0202 -0.0037 0.0491 0.0111 -0.0012 -0.0068 -0.0002 -0.0058 -0.0131 -0.0182 -0.0287 0.0218 MOM -0.0536 0.0363 0.0371 0.0321 -0.0017 -0.0299 0.0190 -0.0018 0.0135 0.0166 0.0254 -0.0318 -0.0029 0.0208 0.0352 0.0006 -0.0057 0.0177 -0.0001 -0.0034 -0.0252 -0.0144 0.0401 0.0198 -0.0794 -0.0028 0.0151 0.0383 0.0663 -0.0076 0.0310 -0.0247 -0.0106 0.0008 0.0040 -0.0295 -0.0190 0.0131 0.0196 0.0027 -0.0174 0.0058 0.0178 0.0002 0.0296 0.0017 0.0044 0.0007 0.0174 0.0205 -0.0338 -0.0377 0.0121 0.0074 -0.0024 0.0079 0.0044 -0.0004 0.0106 0.0109 GME -0.0989 -0.1300 0.2738 0.1095 -0.0625 -0.1755 0.0671 -0.1057 0.0993 -0.0030 0.0137 0.1486 -0.0791 -0.0532 0.1288 0.1403 0.0896 -0.0468 -0.1159 0.0148 -0.0347 0.1069 -0.0958 0.0437 -0.0319 -0.0184 -0.0413 0.0421 -0.1507 -0.0428 -0.1275 0.2066 0.1006 0.0871 0.1608 -0.0442 -0.0753 0.0802 0.1271 0.2478 -0.0420 0.2675 0.1673 0.0290 -0.0112 0.1041 -0.1198 0.0266 -0.2881 0.0639 0.1104 -0.0345 -0.0461 0.0779 0.0371 0.0133 -0.0237 0.0379 -0.1080 -0.1061 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 Jan-15 Feb-15 Mar-15 Apr-15 May-15 Jun-15 Jul-15 Aug-15 Sep-15 Oct-15 Nov-15 Dec-15 Jan-16 Feb-16 Mar-16 Apr-16 May-16 Jun-16 Jul-16 Aug-16 Sep-16 Oct-16 Nov-16 Dec-16 Jan-17 Feb-17 Mar-17 Apr-17 May-17 Jun-17 Jul-17 Aug-17 Sep-17 Oct-17 Nov-17 Dec-17 Jan-18 Feb-18 Mar-18 Apr-18 May-18 Jun-18 Jul-18 Aug-18 Sep-18 Oct-18 Nov-18 Dec-18 Jan-19 Feb-19 Mar-19 Apr-19 May-19 Jun-19 Jul-19 Aug-19 Sep-19 Oct-19 Nov-19 Dec-19 0 0.0001 0.0001 0.0002 0.0002 0.0001 0.0001 0.0002 0.0002 0.0002 0.0002 0.0002 0.0001 0.0003 0.0004 0.0004 0.0003 0.0005 0.0006 0.0006 0.0007 0.0009 0.0009 0.0009 0.0008 0.0009 0.0011 0.0011 0.0012 0.0014 0.0014 0.0014 0.0016 0.0016 0.0015 0.0019 0.0018 0.0019 0.0021 0.0018 0.0019 0.0021 0.0021 0.0018 0.0019 0.0016 0.0018 0.0015 0.0012 0.0014 -0.0311 0.0614 -0.0112 0.0059 0.0136 -0.0153 0.0154 -0.0604 -0.0307 0.0775 0.0056 -0.0217 -0.0577 -0.0008 0.0696 0.0092 0.0178 -0.0005 0.0395 0.005 0.0025 -0.0202 0.0486 0.0181 0.0194 0.0357 0.0017 0.0109 0.0106 0.0078 0.0187 0.0016 0.0251 0.0225 0.0312 0.0106 0.0558 -0.0365 -0.0235 0.0029 0.0265 0.0048 0.0319 0.0344 0.0006 -0.0768 0.0169 -0.0955 0.0841 0.034 0.011 0.0396 -0.0694 0.0693 0.0119 -0.0258 0.0143 0.0206 0.0387 0.0277 -0.0056 0.0053 0.0302 -0.0301 0.0093 0.0284 -0.0409 0.0047 -0.0261 -0.0199 0.0367 -0.0284 -0.0334 0.0084 0.0083 0.0067 -0.0026 0.0065 0.0262 0.0116 0.0203 -0.0442 0.0546 0.0011 -0.0104 -0.0199 0.0116 0.0071 -0.0259 0.0215 -0.0147 -0.016 0.0447 -0.0194 -0.0059 -0.0131 -0.031 0.003 0.0405 0.0114 0.0528 0.0118 -0.0221 0.0108 -0.0224 -0.0489 -0.0069 -0.0254 0.0294 0.021 -0.0306 -0.0177 -0.0125 0.002 -0.0206 -0.0242 -0.0099 0.0027 0.0085 0.0071 -0.035 -0.0189 -0.0043 0.0184 -0.0119 -0.0076 -0.0419 0.0263 0.0051 -0.0021 -0.0053 -0.0252 0.0198 -0.0056 0.0106 0.033 -0.0172 -0.0146 -0.0123 0.0324 -0.012 0.0404 0.0815 0.0349 -0.0277 -0.0178 -0.0325 -0.0205 -0.0369 0.0143 -0.0033 -0.023 0.0311 0.0007 -0.0006 0.0027 -0.0124 -0.0102 -0.0014 0.0046 -0.0315 -0.0227 0.0058 -0.0387 -0.017 0.0359 0.002 -0.0188 -0.0056 -0.0272 -0.042 0.02 -0.0215 -0.0082 0.003 -0.0493 0.0678 -0.0209 -0.0187 0.0193 0.0381 -0.0283 0.0300 -0.0732 0.0603 0.0307 0.1029 -0.0209 0.0535 -0.0403 0.0221 0.0341 0.0134 -0.0406 -0.0513 -0.0626 0.0214 0.0411 -0.0308 -0.0317 -0.0053 0.0069 -0.0407 -0.0038 -0.0098 -0.0163 -0.0092 0.0044 0.0146 -0.0032 0.0166 0.0355 -0.0118 0.0430 -0.0071 -0.0163 0.0394 0.0397 -0.0128 0.0027 0.0380 -0.0238 -0.0167 0.0522 -0.0006 -0.0184 -0.0133 0.0185 -0.0865 0.0086 0.0214 -0.0255 0.0760 -0.0214 0.0272 0.0764 -0.0685 0.0029 -0.0260 -0.0227 0.0429 0.0488 0.0365 0.0153 0.1264 -0.0021 0.0673 -0.0735 -0.0214 0.1179 -0.2396 -0.1893 -0.0653 0.1759 0.0415 0.0337 -0.1128 -0.0739 0.1644 -0.0827 -0.0151 -0.1283 0.0420 0.0231 -0.0305 -0.0020 -0.0618 0.0062 -0.0242 -0.0068 0.0037 -0.1471 0.1373 -0.0954 0.0235 -0.0427 -0.0635 -0.0666 -0.1714 0.0816 -0.0330 0.1326 -0.0110 -0.0791 0.1794 -0.0439 -0.0644 -0.0483 -0.1014 0.0317 -0.0991 -0.1486 -0.1237 -0.2784 -0.2651 -0.0124 0.3904 -0.0145 0.1654 -0.0410 Question 2-20 points Download the return data for GameStop on Canvas and estimate a four-factor (Carhart) pricing model. a. Write down the appropriate four-factor pricing model, i.e., one that includes only variables that are statistically significant at the 95% (1.96 t-stat) level along with the risk-free rate. Include a screenshot of the regression output. [If you are having difficulty, describe how you would run the regression and determine significance for partial credit.) (10 points) b. Given the following expected returns for the factors, calculate the expected return for GameStop using the pricing model from part (a). Assume the risk-free rate is 1%. [If you are unable to estimate the model in part (a), write down a hypothetical model and calculate the expected return for partial credit.) (4 points) Factor Return Mkt - Rf 8% SMB 4% HML 12% MOM 16% a. Holding all else constant, suppose the market for GameStop was twice as big as your estimate from part(a). BRIEFLY describe what this would imply about GameStop's levels of systematic risk and idiosyncratic risk. (6 points) Date Jan-10 Feb-10 Mar-10 Apr-10 May-10 Jun-10 Jul-10 Aug-10 Sep-10 Oct-10 Nov-10 Dec-10 Jan-11 Feb-11 Mar-11 Apr-11 May-11 Jun-11 Jul-11 Aug-11 Sep-11 Oct-11 Nov-11 Dec-11 Jan-12 Feb-12 Mar-12 Apr-12 May-12 Jun-12 Jul-12 Aug-12 Sep-12 Oct-12 Nov-12 Dec-12 Jan-13 Feb-13 Mar-13 Apr-13 May-13 Jun-13 Jul-13 Aug-13 Sep-13 Oct-13 Nov-13 Dec-13 Jan-14 Feb-14 Mar-14 Apr-14 May-14 Jun-14 Jul-14 Aug-14 Sep-14 Oct-14 Nov-14 Dec-14 Rf 0 0 0.0001 0.0001 0.0001 0.0001 0.0001 0.0001 0.0001 0.0001 0.0001 0.0001 0.0001 0.0001 0.0001 0 0 0 0 0.0001 0 0 0 0 0 0 0 0 0.0001 0 0 0.0001 0.0001 0.0001 0.0001 0.0001 0 0 0 0 Rm-Rf -0.0336 0.034 0.0631 0.02 -0.0789 -0.0557 0.0693 -0.0477 0.0954 0.0388 0.006 0.0682 0.0199 0.0349 0.0046 0.029 -0.0127 -0.0175 -0.0235 -0.0599 -0.0759 0.1135 -0.0028 0.0074 0.0505 0.0442 0.0311 -0.0085 -0.0619 0.0389 0.0079 0.0255 0.0273 -0.0176 0.0078 0.0118 0.0557 0.0129 0.0403 0.0155 0.028 -0.012 0.0565 -0.0271 0.0377 0.0418 0.0313 0.0281 -0.0332 0.0465 0.0043 -0.0019 0.0206 0.0261 -0.0204 0.0424 -0.0197 0.0252 0.0255 -0.0006 SMB 0.0037 0.0119 0.0143 0.0486 0.0015 -0.0184 0.0017 -0.0303 0.0394 0.0104 0.0377 0.0069 -0.0252 0.0153 0.0259 -0.0038 -0.0057 -0.0013 -0.014 -0.0308 -0.0337 0.0336 -0.0013 -0.0063 0.0207 -0.0183 -0.0071 -0.0037 0.0009 0.0078 -0.0262 0.0042 0.0049 -0.0113 0.0054 0.0145 0.0036 -0.0041 0.0075 -0.0242 0.0162 0.0115 0.0187 0.003 0.0289 -0.0153 0.0118 -0.0058 0.0087 0.0031 -0.0185 -0.0421 -0.0191 0.0308 -0.0426 0.0038 -0.0378 0.0428 -0.0209 0.0252 HML 0.0029 0.0318 0.0216 0.0293 -0.024 -0.0452 -0.0033 -0.0191 -0.0327 -0.0251 -0.0102 0.0367 0.0075 0.0136 -0.0172 -0.0245 -0.0216 -0.0048 -0.0083 -0.0242 -0.0163 0.0013 -0.0033 0.0173 -0.0099 0.0032 0.0119 -0.008 -0.0078 0.0063 -0.0007 0.0121 0.0153 0.0368 -0.0094 0.0352 0.0091 0.0007 -0.002 0.0055 0.0265 -0.0002 0.0058 -0.0267 -0.0119 0.012 0.0031 -0.0005 -0.0202 -0.0037 0.0491 0.0111 -0.0012 -0.0068 -0.0002 -0.0058 -0.0131 -0.0182 -0.0287 0.0218 MOM -0.0536 0.0363 0.0371 0.0321 -0.0017 -0.0299 0.0190 -0.0018 0.0135 0.0166 0.0254 -0.0318 -0.0029 0.0208 0.0352 0.0006 -0.0057 0.0177 -0.0001 -0.0034 -0.0252 -0.0144 0.0401 0.0198 -0.0794 -0.0028 0.0151 0.0383 0.0663 -0.0076 0.0310 -0.0247 -0.0106 0.0008 0.0040 -0.0295 -0.0190 0.0131 0.0196 0.0027 -0.0174 0.0058 0.0178 0.0002 0.0296 0.0017 0.0044 0.0007 0.0174 0.0205 -0.0338 -0.0377 0.0121 0.0074 -0.0024 0.0079 0.0044 -0.0004 0.0106 0.0109 GME -0.0989 -0.1300 0.2738 0.1095 -0.0625 -0.1755 0.0671 -0.1057 0.0993 -0.0030 0.0137 0.1486 -0.0791 -0.0532 0.1288 0.1403 0.0896 -0.0468 -0.1159 0.0148 -0.0347 0.1069 -0.0958 0.0437 -0.0319 -0.0184 -0.0413 0.0421 -0.1507 -0.0428 -0.1275 0.2066 0.1006 0.0871 0.1608 -0.0442 -0.0753 0.0802 0.1271 0.2478 -0.0420 0.2675 0.1673 0.0290 -0.0112 0.1041 -0.1198 0.0266 -0.2881 0.0639 0.1104 -0.0345 -0.0461 0.0779 0.0371 0.0133 -0.0237 0.0379 -0.1080 -0.1061 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 Jan-15 Feb-15 Mar-15 Apr-15 May-15 Jun-15 Jul-15 Aug-15 Sep-15 Oct-15 Nov-15 Dec-15 Jan-16 Feb-16 Mar-16 Apr-16 May-16 Jun-16 Jul-16 Aug-16 Sep-16 Oct-16 Nov-16 Dec-16 Jan-17 Feb-17 Mar-17 Apr-17 May-17 Jun-17 Jul-17 Aug-17 Sep-17 Oct-17 Nov-17 Dec-17 Jan-18 Feb-18 Mar-18 Apr-18 May-18 Jun-18 Jul-18 Aug-18 Sep-18 Oct-18 Nov-18 Dec-18 Jan-19 Feb-19 Mar-19 Apr-19 May-19 Jun-19 Jul-19 Aug-19 Sep-19 Oct-19 Nov-19 Dec-19 0 0.0001 0.0001 0.0002 0.0002 0.0001 0.0001 0.0002 0.0002 0.0002 0.0002 0.0002 0.0001 0.0003 0.0004 0.0004 0.0003 0.0005 0.0006 0.0006 0.0007 0.0009 0.0009 0.0009 0.0008 0.0009 0.0011 0.0011 0.0012 0.0014 0.0014 0.0014 0.0016 0.0016 0.0015 0.0019 0.0018 0.0019 0.0021 0.0018 0.0019 0.0021 0.0021 0.0018 0.0019 0.0016 0.0018 0.0015 0.0012 0.0014 -0.0311 0.0614 -0.0112 0.0059 0.0136 -0.0153 0.0154 -0.0604 -0.0307 0.0775 0.0056 -0.0217 -0.0577 -0.0008 0.0696 0.0092 0.0178 -0.0005 0.0395 0.005 0.0025 -0.0202 0.0486 0.0181 0.0194 0.0357 0.0017 0.0109 0.0106 0.0078 0.0187 0.0016 0.0251 0.0225 0.0312 0.0106 0.0558 -0.0365 -0.0235 0.0029 0.0265 0.0048 0.0319 0.0344 0.0006 -0.0768 0.0169 -0.0955 0.0841 0.034 0.011 0.0396 -0.0694 0.0693 0.0119 -0.0258 0.0143 0.0206 0.0387 0.0277 -0.0056 0.0053 0.0302 -0.0301 0.0093 0.0284 -0.0409 0.0047 -0.0261 -0.0199 0.0367 -0.0284 -0.0334 0.0084 0.0083 0.0067 -0.0026 0.0065 0.0262 0.0116 0.0203 -0.0442 0.0546 0.0011 -0.0104 -0.0199 0.0116 0.0071 -0.0259 0.0215 -0.0147 -0.016 0.0447 -0.0194 -0.0059 -0.0131 -0.031 0.003 0.0405 0.0114 0.0528 0.0118 -0.0221 0.0108 -0.0224 -0.0489 -0.0069 -0.0254 0.0294 0.021 -0.0306 -0.0177 -0.0125 0.002 -0.0206 -0.0242 -0.0099 0.0027 0.0085 0.0071 -0.035 -0.0189 -0.0043 0.0184 -0.0119 -0.0076 -0.0419 0.0263 0.0051 -0.0021 -0.0053 -0.0252 0.0198 -0.0056 0.0106 0.033 -0.0172 -0.0146 -0.0123 0.0324 -0.012 0.0404 0.0815 0.0349 -0.0277 -0.0178 -0.0325 -0.0205 -0.0369 0.0143 -0.0033 -0.023 0.0311 0.0007 -0.0006 0.0027 -0.0124 -0.0102 -0.0014 0.0046 -0.0315 -0.0227 0.0058 -0.0387 -0.017 0.0359 0.002 -0.0188 -0.0056 -0.0272 -0.042 0.02 -0.0215 -0.0082 0.003 -0.0493 0.0678 -0.0209 -0.0187 0.0193 0.0381 -0.0283 0.0300 -0.0732 0.0603 0.0307 0.1029 -0.0209 0.0535 -0.0403 0.0221 0.0341 0.0134 -0.0406 -0.0513 -0.0626 0.0214 0.0411 -0.0308 -0.0317 -0.0053 0.0069 -0.0407 -0.0038 -0.0098 -0.0163 -0.0092 0.0044 0.0146 -0.0032 0.0166 0.0355 -0.0118 0.0430 -0.0071 -0.0163 0.0394 0.0397 -0.0128 0.0027 0.0380 -0.0238 -0.0167 0.0522 -0.0006 -0.0184 -0.0133 0.0185 -0.0865 0.0086 0.0214 -0.0255 0.0760 -0.0214 0.0272 0.0764 -0.0685 0.0029 -0.0260 -0.0227 0.0429 0.0488 0.0365 0.0153 0.1264 -0.0021 0.0673 -0.0735 -0.0214 0.1179 -0.2396 -0.1893 -0.0653 0.1759 0.0415 0.0337 -0.1128 -0.0739 0.1644 -0.0827 -0.0151 -0.1283 0.0420 0.0231 -0.0305 -0.0020 -0.0618 0.0062 -0.0242 -0.0068 0.0037 -0.1471 0.1373 -0.0954 0.0235 -0.0427 -0.0635 -0.0666 -0.1714 0.0816 -0.0330 0.1326 -0.0110 -0.0791 0.1794 -0.0439 -0.0644 -0.0483 -0.1014 0.0317 -0.0991 -0.1486 -0.1237 -0.2784 -0.2651 -0.0124 0.3904 -0.0145 0.1654 -0.0410

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