Question
Consider the monthly simple returns of CRSP decile 1, 2, 5, 9 and 10 portfolios based on the market capitalization of NYSE/AMEX/NASDAQ. The data span
Consider the monthly simple returns of CRSP decile 1, 2, 5, 9 and 10 portfolios based on the market capitalization of NYSE/AMEX/NASDAQ. The data span is from January 1961 to September 2011. For the return series of Decile 2 and Decile 10,
1-Compute the sample mean, standard deviation, skewness, minimum and maximum of each series.
2- Test the null hypothesis that the first 12 lags of autocorrelations are 0 at the 5% level. Draw your conclusion.
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Answer To solve this problem we will use the provided monthly simple returns data for the CRSP decil...
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Income Tax Fundamentals 2013
Authors: Gerald E. Whittenburg, Martha Altus Buller, Steven L Gill
31st Edition
1111972516, 978-1285586618, 1285586611, 978-1285613109, 978-1111972516
