/
Questions/
coursework/
Download 30 years’ worth of monthly data for the period January 1993 to December 2022 on a company: quantitave methods for financial management Course Work, UOK, UK
Looking For Plagiarism Free Answers For Your UK College/ University Assignments.
BUY NOWDownload 30 years’ worth of monthly data for the period January 1993 to December 2022 on a company: quantitave methods for financial management Course Work, UOK, UK
University | University of kent (UOK) |
---|---|
Subject | quantitative methods for financial management Course Work |
Assignment Question 1
Download 30 years’ worth of monthly data for the period January 1993 to December 2022 on a company of your choice from the CRSP database via WRDS, and download the Fama-French 3 Factors from the Kenneth French Data Library or from WRDS. You can access the Kenneth French Data Library directly here:
https://mba.tuck.dartmouth.edu/pages/faculty/ken.french/data_library.html
You will find the Fama-French 3 Factors in the “U.S. Research Returns” section of the website. Note that the returns data from the Kenneth French Data Library is in percentage form. Returns data downloaded from the CRSP database is in
decimal form. You should therefore either divide the data from the Kenneth French data library by 100 or multiply the returns on your company that you download from CRSP by 100.
Using multiple regression analysis, estimate the Fama-French 3 Factor model for your company and interpret your results. In interpreting and discussing your results and the fit of your model, you should conduct any hypothesis tests you feel are relevant, as well as undertake and interpret diagnostic tests (for example, testing for heteroscedasticity and serial correlation) on the residuals.
In addition to the textbook and the notes, you should find the following papers useful in motivating the analysis and interpreting your results (you do not need to provide a a detailed review of the papers in your answer): French, K.R. and E.F. Fama, 1993, Common risk factors in the returns on stocks and bonds. Journal of Financial Economics 33, 3-56. For the purposes of the assignment, you do not need to worry about the bond factors (sections 2.1.1, 4.1 and 4.3), the discussion of the findings for bond returns, nor the material in sections 5 and 6 (what Fama and French refer to as diagnostic testing in section 6 can be thought of more as robustness checks.)
French, K.R. and E.F. Fama, 2004, The Capital Asset Pricing Model: Theory and Evidence. Journal of Economic Perspectives 18, 25-46. The sections on “Early Empirical Tests”, “Recent Tests” and “Explanations: Irrational Pricing or Risk” should prove useful.
Get help by expert
Struggling with your University of Keeds' (UOK) quantitative methods for financial management coursework in the UK? Our specialized Finance Assignment Help UK service offers expert assistance tailored to UOK students' needs. From deciphering complex financial data to crafting impeccable assignments, our team provides comprehensive assignment writing help UK. Get access to 30 years' worth of monthly data (January 1993 to December 2022) on a company for your quantitative methods coursework at UOK. Let our experts guide you through this intricate course and ensure your academic success.
Recent solved questions
- ILM Level 5 Effective Communication Skills, Assignment , UK
- ILM Level 3 - Describe the factors that will influence the choice of leadership styles or behaviours in workplace situations Referral : Understanding Leadership styles, Assignment, UK
- FE6P04QA Assignment 1 - Information required for Proposal : Management Dissertation, UOL UK
- CMI Unit 502 Understand approaches to developing, managing, and leading teams: Principles of Developing, Managing and Leading Individuals and Teams to Achieve Success, Assignment, UK
- R033 Supporting individuals through life events, Set Assignment, OCR, UK
- Working in partnership in health and social care, Assignment, UK
- CMI Unit 5034 Problem solving tools and techniques for consultants, Assignment, UK
- CMI unit 701 strategic leadership, Essay, UK
- CIH Level 4: H409 - Research Skills for Housing, assignment, UK
- You are working for an energy company where you were asked to design a solution to promote sustainable transportation: Finding and Using Information, Assignment, OU, UK