CAN SOME ONE PLEASE DO PART 4C in EXCEL with Instruction!!!!!!!
Average Returns (Arithmetic) Mkt-RF SMB HML RF 8.26% 2.43% 4.02% 3.22% Average Returns (Geometric) Mkt-RF SMB HML RF 6.55% 1.85% 3.31% 3.22% 4(b.) Mkt-RF SMB HML 0.053385 0.03177708 0.035357 1.546478 0.7654042 1.137968 4. Go to Kenneth French's website (http://mba.tuck.dartmouth.edu/pages/faculty/ken.french/data _library.html) and look for the link "Fama French Factors. Download the monthly returns of the Fam: French three factors from 1926:07 to 2020:12 to Excel. a. Estimate the annualized arithmetic average return and geometric average return of RF, MKT-RF, SMI and HML using the whole period from 1926:07 to 2020:12. (You can simply multiply the average monthly return by 12 to annualize it.) b. Calculate the standard deviation and the Sharpe ratio of MKT, SMB and HML using the whole period from 1926:07 to 2020:12. (You do not need to subtract RF to calculate the Sharpe ratio of SMB and HML as they are zero-investment portfolios.) c. You decide to check if SMB and HML are subsumed by MKT-RF. In other words, you want to check whether SMB and HML can be explained by MKT-RF. Estimate the following two models for the whole period from 1926:07 to 2020:12 and report the regression output. i SMB, = a +bx (MKT-RF) + ii. HML = a + b (MKT-RF) + e Based on the regression output, write down in your own words the relation between SMB, HML and MKT-RF. Are SMB and HML related to MKT-RF in a significant way (i.c., are b's statistically significant)? Does MKR-RF explain SMB and HML well (i.e., are a's statistically significant)? Average Returns (Arithmetic) Mkt-RF SMB HML RF 8.26% 2.43% 4.02% 3.22% Average Returns (Geometric) Mkt-RF SMB HML RF 6.55% 1.85% 3.31% 3.22% 4(b.) Mkt-RF SMB HML 0.053385 0.03177708 0.035357 1.546478 0.7654042 1.137968 4. Go to Kenneth French's website (http://mba.tuck.dartmouth.edu/pages/faculty/ken.french/data _library.html) and look for the link "Fama French Factors. Download the monthly returns of the Fam: French three factors from 1926:07 to 2020:12 to Excel. a. Estimate the annualized arithmetic average return and geometric average return of RF, MKT-RF, SMI and HML using the whole period from 1926:07 to 2020:12. (You can simply multiply the average monthly return by 12 to annualize it.) b. Calculate the standard deviation and the Sharpe ratio of MKT, SMB and HML using the whole period from 1926:07 to 2020:12. (You do not need to subtract RF to calculate the Sharpe ratio of SMB and HML as they are zero-investment portfolios.) c. You decide to check if SMB and HML are subsumed by MKT-RF. In other words, you want to check whether SMB and HML can be explained by MKT-RF. Estimate the following two models for the whole period from 1926:07 to 2020:12 and report the regression output. i SMB, = a +bx (MKT-RF) + ii. HML = a + b (MKT-RF) + e Based on the regression output, write down in your own words the relation between SMB, HML and MKT-RF. Are SMB and HML related to MKT-RF in a significant way (i.c., are b's statistically significant)? Does MKR-RF explain SMB and HML well (i.e., are a's statistically significant)
