(1)Download Boeing (BA) from finance.yahoo.comhistorical prices from 4/8/2019 to 4/7/2 at the daily frequency for the Stock assigned to you in the Table below. You can do this by doing a quote lookup with your stock symbol, then go to historical data (make sure frequency is DAILY) and download data.

(2)Plot these returns as a function of time. Is there a significant linear or non-linear trend?

Now I want you to use monthly data, so you will need to download again from yahoo.finance.com in monthly frequency historical prices (adjusted as before) from Mar. 2011 to Feb. 2021. You then need to create the excess returns for the above time period.

As independent or explanatory variables we use the excess return of the market, with the market defined as the value-weighted return on all NYSE, AMEX, and NASDAQ stocks (this excess return of the market should be symbolized by Mkt-RF). The data can be downloaded from Ken French's website at : http://mba.tuck.dartmouth.edu/pages/faculty/ken.french/data_library.html

MKT-RF: the excess return of the market, with the market defined as the value-weighted return on all NYSE, AMEX, and NASDAQ stocks

(3)Calculate the sample average and standard deviation of the stock excess return and of the Mkt-RF factor. Discuss and compare the results in terms of the risk-return trade-off.

(4)Calculate the correlation coefficient between the fund excess returns and the Mkt-RF factor. Discuss the result.

(5)Calculate the OLS estimators of the intercept and slope coefficients in the regression model , where represents the equity fund monthly return, the MKT factor return and and represent the intercept and slope coefficients, respectively. Provide an interpretation of the estimated intercept and slope coefficients

(6)Test the null hypothesis that against the alternative that at 5% significance level.

(7)Test the null hypothesis that against the alternative that at 1% significance level.

Fama and French developed the "three-factor model" that explains variation in stock returns based on three factors. For this part of the project, you will estimate this model to explain the time-variation of returns for your stock.

The three factors (or independent variables) are:

MKT: the excess return of the market, with the market defined as the value-weighted return on all NYSE, AMEX, and NASDAQ stocks

SMB (Small-Minus-Big): return on a portfolio of small capitalization stocks minus the return on a portfolio of large capitalization stocks

HML (High-Minus-Low): return on a portfolio of high book-to-market ratio stocks (also called value stocks) minus the return of a low book-to-market ratio stocks (called growth stocks)

These three variables are known as the Fama-French factors.The data can be downloaded from Ken French's website at: http://mba.tuck.dartmouth.edu/pages/faculty/ken.french/data_library.html.

The aim of the SMB and HML factors is to measure the premium (i.e., positive spread) that derives from investing in small vs large cap stocks and value vs growth stocks.

Estimate the linear factor model

(8)Calculate the correlation between the MKT, SMB, and HML and discuss whether there could a problem of collinearity in the regression. Discuss the magnitude and sign of your coefficients.

(9)Test the null hypothesis that against the alternative that at 5% significance level. Is there evidence that your stock provides significantly positive risk-adjusted returns?

(10) Test the significance of MKT, SMB, and HML at the 1% level of confidence.