Question
Download the monthly and daily Fama-French factors from Prof. French's data library at: http://mba.tuck.dartmouth.edu/pages/faculty/ ken.french/data_library.html. Assume that you are holding an SMB portfolio. Answer the
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Download the monthly and daily Fama-French factors from Prof. French's data library at: http://mba.tuck.dartmouth.edu/pages/faculty/ ken.french/data_library.html. Assume that you are holding an SMB portfolio. Answer the following three questions:
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What is the total return from January 1, 1989 to December 31, 2016 using daily data?
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What is the total return from January 1, 1989, to December 31, 2016, using monthly data?
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Are they the same? If they are different, explain some reasons that lead to their differences.
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Based on the program to test the January effect, write a Python program to test week-day effect.
(need python codes for those question.)
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Big Data Systems A 360-degree Approach
Authors: Jawwad ShamsiMuhammad Khojaye
1st Edition
0429531575, 9780429531576
