Answered step by step
Verified Expert Solution
Question
1 Approved Answer
3. Fama French Portfolios ( 3 points total) a) Obtain return data for the four Fama French portfolios formed on size and book to market
3. Fama French Portfolios ( 3 points total) a) Obtain return data for the four Fama French portfolios formed on size and book to market (large cap value, large cap growth, small cap value, small cap growth) as shown in class. b) Recreate the graph from the slide deck that shows the performance of the portfolios for $1 invested in 1926 to present. Create another graph that shows the performance of the $1 invested in the four portfolios from 1995 to present. (Note: Log scale and indexing all values to the same point of origin (in this case $1 to clearly show investment performance of assets with drastically different values) c) Are size effect and the value effect still present in the data in the latter sample period
Step by Step Solution
There are 3 Steps involved in it
Step: 1
Get Instant Access to Expert-Tailored Solutions
See step-by-step solutions with expert insights and AI powered tools for academic success
Step: 2
Step: 3
Ace Your Homework with AI
Get the answers you need in no time with our AI-driven, step-by-step assistance
Get Started