Consider the monthly stock returns of S\&P composite index from January 1940 to September 2011 in Problem 2. Perform the following tests and draw conclusions using the \(5 \%\) significance level.

(a) Test \(H_{0}: \mu=0\) versus \(H_{a}: \mu eq 0\), where \(\mu\) denotes the mean return.

(b) Test \(H_{0}: m_{3}=0\) versus \(H_{a}: m_{3} eq 0\), where \(m_{3}\) denotes the skewness.

(c) Test \(H_{0}: K=3\) versus \(H_{a}: K eq 3\), where \(K\) denotes the kurtosis.

Data From Problem 2:

Answer the same questions as Problem 1 but using monthly returns for General Electric (GE), CRSP value-weighted index (VW), CRSP equal-weighted index (EW), and S\&P composite index from January 1940 to September 2011. The returns include dividend distributions. Data file is \(\mathrm{m}-\mathrm{ge} 3 \mathrm{dx}-4011\). txt (date, ge, vw, ew, sp).

Data From Problem 1:

Consider the daily simple returns of American Express (AXP), CRSP value weighted index (VW), CRSP equal-weighted index (EW), and the S\&P composite index (SP) from September 01, 2001 to September 30, 2011. Returns of indices include dividends. The data are in the file \(d-a x p 3 d x-0111\). txt (date, axp, vw, ew, sp).