Financial Econometrics Assessed Groupwork Assignment

Assignment Task

Question

1. For each of the three assets assigned to your group, estimate (using OLS) the following models using the whole sample. Moreover, report the estimated coefficients and interpret the results:

1. Capital Assest Pricing Model Ri- RF = b0+ b1 (RMkt - RF) + ui

2. Fama-French 3

Factor Model  Ri- RF = b0 + b1 (RMkt - RF) + b2SMB + b3HML + ui

3. Fama-French-Carhart 4

Factor Model  Ri- RF = b0 + b1 (RMkt - RF) + b2SMB + b3HML + b4MoM + ui

2. We have assumed that the models’ coefficients are stable across the sample. Challenge this assuption and re-estimate the CAPM for the different subperiods:

a) 2013/01 – 2019/01

b) 2019/02 – 2022/12

Do the slope coefficients vary across time? What does this mean?

3. Let’s compare the returns of the stocks under analysis with the returns of industry portfolios (NoDur, energy, shops, Hlth, etc). Build a model in which you regress the returns of your stocks over the returns of the industry portfolios for the different subperiods of Question 2. Report and discuss the results. Can you guess the sector(s) to which your stocks belongs to?

This Accounting and Finance Assignment Help has been solved by our Accounting and Finance Experts at My Uni Paper. Our Assignment Writing Experts are efficient to provide a fresh solution to this question. We are serving more than 10000+ Students in Australia, UK & US by helping them to score HD in their academics. Our Experts are well trained to follow all marking rubrics & referencing style.