Construct a portfolio of stocks from the UK market and using EViews analyze its performance based on the estimates from the Fama French (1992, 1993) and Carhart (1997) models. You are required to answer the two questions listed below. Please follow the instructions in these questions.

Requirements

Select 10 stocks listed on the UK market and explain your choice. You may apply such selection criteria as market indicators (P/E, P/BV, DY ratios, etc.) or any other selection rule, which you can reasonably justify. The period of analysis should be the last full 10 calendar years from January 2008 to December 2017 and the data frequency should be monthly. Download the stock price data from Bloomberg and construct a portfolio from your stocks. Calculate the monthly returns of this portfolio in the entire 10-year period: 2008-2017. Using Eviews perform estimation of parameters of Fama French and Carhart models in the entire sample (10 years) covering 120 monthly observations. The data for the Fama French and Carhart models factors for the UK market can be found at the Xfi Centre for Finance and Investment Divide the whole sample into 10 annual periods and investigate how the estimation results change in these sub-samples in the case of your portfolio. Discuss the econometric issues, which are related to your estimations. Please note that the required data sample (until December 2017) is determined by the current availability of the Fama French and Carhart model factors.

Discuss your estimation results in terms of the evaluation of your portfolio performance in the whole period and in all 10 annual sub-periods. Analyze the existence of small stocks effect, value premium effect, and momentum effect in your portfolio and explain your results in line with the asset pricing theories