Question
Data Go to Kenneth Frenchs data library (google it) and get the following monthly returns from 1963-07 until 2020-07 (each line corresponds to a different
Data Go to Kenneth Frenchs data library (google it) and get the following monthly returns from 1963-07 until 2020-07 (each line corresponds to a different data file):
T-Bills and Market Excess Return
3 portfolios formed on size (lowest 30%, intermediate 40%, highest 30%)
3 portfolios formed on BE/ME (lowest 30%, intermediate 40%, highest 30%)
a) Consider the portfolios formed on the smallest 30% stocks. What are its Fama-French 3-factor beta and abnormal return? Consider the portfolio formed on the largest 30% of stocks. What is its Fama-French 3-factor beta and abnormal return?
b) Consider the portfolios formed on the 30% lowest BE/ME stocks. What are its Fama-French 3-factor beta and abnormal return? Consider the portfolio formed on the largest 30% BE/ME of stocks. What is its Fama-French 3-factor beta and abnormal return?
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