Question
Consider the monthly stock returns of the Coca-Cola Company (KO) from January 1961 to September 2011. The simple returns are available from CRSP and in
Consider the monthly stock returns of the Coca-Cola Company (KO) from January 1961 to September 2011. The simple returns are available from CRSP and in the file m-ko-6111.txt. Transform the simple returns to log returns.
(a) Is the expected monthly log return zero? Is there any serial correlation in the log returns? Is there any ARCH effect in the log returns?
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Handbook Of Asian Finance REITs Trading And Fund Performance
Authors: David Lee, Greg N. Gregoriou
1st Edition
0128009861, 978-0128009864
