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3. Estimate the risk premium and test the CAPM using 10 decile portfolios as test assets for the whole period of 5 years. [10 marks]
3. Estimate the risk premium and test the CAPM using 10 decile portfolios as test assets for the whole period of 5 years. [10 marks] (9) Re-estimate the betas (or, post-rank betas) for each of ten decile portfolios using the monthly excess returns (and excess market returns) data of the whole 5-year period. Store the result in the MATALB matrix Post_Betas (1 by 10). Print the matrix, and copy in your MATALB code here. Explain your codes and results. [5 marks] (10)Test the CAPM by estimating the risk premium (lambdas) for the cross-sectional regressions using 10 decile portfolios as test assets. Store the results in the MATALB matrix Lambdas (2 by 2) where 1st row is the value and 2nd is the t-statistics. Print the both matrices, and copy in your MATALB code here. Explain your codes and results. [5 marks] 3. Estimate the risk premium and test the CAPM using 10 decile portfolios as test assets for the whole period of 5 years. [10 marks] (9) Re-estimate the betas (or, post-rank betas) for each of ten decile portfolios using the monthly excess returns (and excess market returns) data of the whole 5-year period. Store the result in the MATALB matrix Post_Betas (1 by 10). Print the matrix, and copy in your MATALB code here. Explain your codes and results. [5 marks] (10)Test the CAPM by estimating the risk premium (lambdas) for the cross-sectional regressions using 10 decile portfolios as test assets. Store the results in the MATALB matrix Lambdas (2 by 2) where 1st row is the value and 2nd is the t-statistics. Print the both matrices, and copy in your MATALB code here. Explain your codes and results. [5 marks]
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