SMB And HML Finance Assingment Help With Solution
Question 1 (Estimating the CAPM) (10 marks)
Create a new Eviews workfile and import 8 series from Sheet1 of USstocks_monthly which contains monthly data starting in January 1973 and ending in June 2014. The series are:
U_KO: Coca-Cola share price
U_IBM: IBM share price
U_XRX: Xerox share price
U_GE: General Electric share price
RF: the 1 month US Treasury Bill rate
MKT_RF: the excess return on the market, is the value-weight return on all NYSE, AMEX, and NASDAQ stocks (from CRSP) minus the one-month Treasury bill rate (from Ibbotson Associates)
SMB: SMB (Small Minus Big) is the average return on the three small portfolios minus the average return on the three big portfolios.
HML: (High Minus Low) is the average return on the two value portfolios minus the average return on the two growth portfolios
How it Works
How It works ?
Step 1:- Click on Submit your Assignment here or shown in left side corner of every page and fill the quotation form with all the details. In the comment section, please mention product code mentioned in end of every Q&A Page. You can also send us your details through our email id email@example.com with product code in the email body. Product code is essential to locate your questions so please mentioned that in your email or submit your quotes form comment section.
Step 2:- While filling submit your quotes form please fill all details like deadline date, expected budget, topic , your comments in addition to product code . The date is asked to provide deadline.
Step 3:- Once we received your assignments through submit your quotes form or email, we will review the Questions and notify our price through our email id. Kindly ensure that our email id firstname.lastname@example.org and email@example.com must not go into your spam folders. We request you to provide your expected budget as it will help us in negotiating with our experts.
Step 4:- Once you agreed with our price, kindly pay by clicking on Pay Now and please ensure that while entering your credit card details for making payment, it must be done correctly and address should be your credit card billing address. You can also request for invoice to our live chat representatives.
Step 5:- Once we received the payment we will notify through our email and will deliver the Q&A solution through mail as per agreed upon deadline.
Step 6:-You can also call us in our phone no. as given in the top of the home page or chat with our customer service representatives by clicking on chat now given in the bottom right corner.
Features for Assignment Help
We believe in providing no plagiarism work to the students. All are our works are unique and we provide Free Plagiarism report too on requests.
We believe in providing perfect, relevant and 100% accurate solutions to the student as per questions asked. All our experts are perfect in providing that so as to give unique experience to the students.
We are the only service providers boasting of providing original, relevant and accurate solutions. Our three stage quality process help students to get perfect solutions.
All our works are kept as confidential as we respect the integrity and privacy of our clients.
- Physics Assignment Help
- Chemistry Assignment Help
- Engineering Assignment Help
- Psychology Assignment Help
- Online exam Help
- Marketing Assignment Help
- Arts Assignment Help
- Sociology Assignment Help
- Project Management Assignment
- Case Study Help
- Nursing Assignment Help
- Research Assignment Help
- Operations Management Assignment help
- Accounting Assignment Help
- Biology Assignment Help
- Mathematics Assignment Help
- English Assignment Help
- Business Plan Help
- Essay Writing Help
- Human Resource Assignment Help
- Accounting Homework Help
- Computer Science Assignment Help
- Finance Assignment Help
- Economics Assignment Help
- Statistics Homework Help
- Management Assignment Help
- Strategy Management Assignment Help
- Auditing Assignment Help
- Information Management Assignment Help
- Online Assignment Writing help
- Best Assignment Help
- Humanities Assignment help
- Corporate Finance Assignment help
- Financial Management Assignment Help
- Supply Chain Management Assignment Help
- Taxation Homework Help
- MBA operations management assignment help
- History Assignment help
- Geography Assignment Help
- Anthropology Assignment help
- Archaeology Assignment help
- Counselling assignment help
- Criminology assignment help
- Linguistics Assignment Help
- Architecture Assignment Help
- Philosophy Assignment Help
- Physics and Astronomy Assignment Help
- Physiotherapy Assignment Help
- Politics Assignment Help
(a) Generate excess returns over the RF series for two share prices of interest to you.
(b) Estimate the CAPM (single market factor) model for your selected stocks and interpret the estimated beta coefficient.
(c) How would you answer an analyst who tells you that returns are completely unrelated to the market (have no systematic risk)?
(d) Comment on the explanatory power of the model.
(e) Is the data autocorrelated? Are the errors homoskedastic?
(f) The Newey-West correction is a procedure that adjusts the covariance matrix of the estimators to account for autocorrelation and heteroskedasticity. Using eviews, re-estimate the model using robust (Newey-West) standard errors. What do you observe about the estimated standard errors?
(g) Re-formulate the model so that you can test the hypothesis that beta is unity using the standard t-test, and conduct the hypothesis test.
Question 2 (Testing the APT Model) ( 10 marks)
(a) Re-estimate the CAPM models using your data, but this time include the unanticipated variables SMB and HML. Report the results.
(b) Are the coefficients on SMB and HML individually significantly different from zero? Interpret the coefficients.
(c) Conduct an F test that the coefficients on SMB and HML are jointly zero. What answer do you get? Is the CAPM regression a good model of the share prices?
(e) If the CAPM model omits relevant variables, what does this imply for the estimated coefficients? What problem might we expect to see in the regression residuals?
(f) What is the F-statistic of the regression? Write down the exact null and alternative hypotheses for the standard F-test testing the significance of the model. What is the number of restrictions for this test? Check the computation of the F-statistic using the R-square of the regression.
Product Code :Fin330
To get answer for this question, kindly click here (Note: Don’t forget to write the product code in comment section)
You can also email us at firstname.lastname@example.org but please mentioned product code in the mail body while sending emails.You can browse more questions to get answer in our Q&A sections here.