data编程代做、Python，c/c++程序代写

日期：2023-10-27 10:46

mean ( ) s.d. ( ) min median max

(Optional)

Beta Estimation and Analysis

This experiment is to evaluation the performance of Capital Asset Pricing Model.

It mainly contains two tasks: first, estimating the in the CAPM; second, testing the perfomance of .

1. Data

1. This experiment use the data from CRSP, including the common stocks (with 10 and 11) trading on NYSE,

AMEX, and NASDAQ with 1, 2, and 3, respectively.

2. Sample period: from Jan. 1988 through Dec. 2012.

3. Market factor or market risk premium, and risk-free rate are provided in the Fama-French three-factor model

dataset;

2. Esitimate

2.1. Estimate

In this part, students need to estimate the using three different methods, one of which is optional, as follows:

First method: estimate the following the definition:

Second method:

Third method (optional):

2.2. Comparison of different

NYSE Full-sample

Intercept

-value

-value

Questions:

1. From the comparison of different s, what have you found?

2. Which esitmated or s are correct, and why?

3. Fama and MacBeth (1973) regression analysis

Note: In the column of , using only the sample from NYSE ( equals 1); in the column of

, using stocks from NYSE, AMEX, and NASDAQ (exchcd equals 1, 2, and 3).

Questions:

1. What have you found from the Fama and MacBeth regression analysis? Explain the evidence.

2. What have you found by comparing results using NYSE and Full-sample? Explain the evidence.

4. Questions

1. What’s the meaning of ?

2. What’s the implication of CAMP ?

5. Deadline for code submission

6:00PM, October 29, 2023