代做The Cross-Section of Volatility and Expected Returns代写R语言

日期：2024-05-24 05:31

Final Assignment

This is an individual assignment. All the tasks need to be finished by using R. Present your results in the word file, copy and paste all your R code in the end of this word file, and then submit your word file via the Turnitin link in iLearn before Week 13 Sunday June 2 11:57pm. Please note that your report will go through similarity check. Generally, a high similarity would be fine, but nearly identical R code will be considered plagiarism.

Please read the paper “The Cross-Section of Volatility and Expected Returns” by Ang et al. (2006) carefully and complete the following tasks. (Be mindful with the different date format!)

a. Download all stocks return data from CRSP for the period Jan 2009 to Dec 2011. Download Fama French 3 factors (They are all in percentages, be careful!) daily data from French Data Library

(https://mba.tuck.dartmouth.edu/pages/faculty/ken.french/data_library.html). Merge the two data sets. Calculate excess return for all stocks, remove observations with negative price, remove observations with return over 30% or under -30%. Report summary statistics (Number of observations, Min, 25% quantile, Median, 75% quantile, Max, Standard Deviation) for the stock excess return, stock market capitalization, MKR (Market risk premium), SMB, and HML. Draw a time-series line plot for MKR, SMB, and HML. (10 mark)

b. Download VIX index for the period Jan 2009 to Dec 2011. Calculate the innovation in VIX (in percentage). Report summary statistics (Number of observations, Min, 25% quantile, Median, 75% quantile, Max, Standard Deviation)  for VIX and innovation in VIX. Draw a time series line plot for VIX. (5 mark)

c. Merge your stock returns, Fama French 3 factors, and VIX data. Test whether aggregate volatility is priced (Table 1 in Ang et al. 2006) as follows:

1. Estimate the beta on innovation βΔVIX in VIX for each stock in month t-1 by estimating:

2. Form. 5 portfolios based on βΔVIX in month t-1 from lowest (quintile 1) to highest (quintile 5).

3. Calculate and report value weighted average return and βΔVIX for the portfolios in month t.

4. Conduct a t-test between portfolio 5 and portfolio 1.

Please report the five portfolios return and βΔVIX ’s Mean and Standard Deviation, t-test statistics between P1 and P5. What conclusion can you get from your results? Is it consistent with Ang et al.’s finding? (20 mark)

d. Test whether idiosyncratic volatility is priced (Table VI panel B in Ang et al. 2006) as follows:

1. Estimate the volatility of the residual for each stock in month t-1 by estimating:

2. Form. 5 portfolios based on idiosyncratic volatility in month t-1 from lowest (quintile 1) to highest (quintile 5).

3. Calculate and report value weighted average return and idiosyncratic volatility for the portfolios in month t.

4. Conduct a t-test between portfolio 5 and portfolio 1.

Please report the five portfolios return’s Mean and Standard Deviation, t-test statistics between P1 and P5. What conclusion can you get from your results? Is it consistent with Ang et al.’s finding? (10 mark)