Visit Professor Kenneth Frenchs data library website: http://mba.tuck.dartmouth.edu/pages/ faculty/ken.french/data_library.html and download the monthly returns of 6 portfolios
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Visit Professor Kenneth French’s data library website: http://mba.tuck.dartmouth.edu/pages/
faculty/ken.french/data_library.html and download the monthly returns of “6 portfolios formed on size and book-to-market (2 × 3).” Choose the value-weighted series for the period from January 1930–December 2016 (1,020 months). Split the sample in half and compute the average, SD, skew, and kurtosis for each of the six portfolios for the two halves. Do the six splithalves statistics suggest to you that returns come from the same distribution over the entire period?
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