Ken French’s Economics Assingment Help With Solution

Posted on April 11, 2017

Ken French’s Economics Assingment Help With Solution

 

Your task is to perform tests of the CAPM and of the Fama and French (1993) three factor model. From
Ken French’s website:
download the monthly returns for the 25 portfolios formed on size and book-to-market. Also download
the Fama-French factors. Use the data on risk-free returns included in the factor data from Ken French’s website. Also download the data on 30 industry portfolios.
 
1. Using the test statistics J0 and J1from your slides test that all intercepts in the CAPM are jointly zero using the 25 size and book-to-market portfolio returns as the dependent variable. Do the tests for the full sample, and for two equal-length subperiods. Also report the average returns, and the values of the regression coefficients and corresponding t-statistics of the intercepts and factor loadings for each portfolio. How does the CAPM perform? How large are the deviations economically? Describe and interpret your results.
 

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2. Now repeat your analysis for question 1 for the three-factor model. How do your findings compare to those based on the CAPM? What do you conclude from these findings?
 
3. Finally, repeat your tests in questions 1 and 2 based on the industry portfolios. How do the CAPM and the three-factor model perform on the industry portfolios? Why might the results differ from those based on the size and BTM sorted portfolios?
 

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