Explanatory Power of the Four-Factor Model on FOMC Assignment

Assignment Task

Download the ten (10) industry portfolio returns and pricing factors from French’s data library and investigate in which industry the four-factor model exhibits the greatest explanatory power on FOMC announcement days, over September 1994 to March 2011. The dates of FOMC meeting days can be found in the appendix of Lucca and Moench (2015).

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