For this project, you will need to collect data on five firms from an industry of your choice. The firms have to have the market cap below $1 billion, stock price above $1 per share, and price history of at least a year (e.g., 2020). The data you will need are the data on daily closing prices (which you will have to turn into returns) and trading volume. i. Use the Roll measure to calculate the effective spread for each stock. If the Roll measure is undefined, modify it the optimal way we discussed in class. How does the effective spread calculated using the Roll measure compares to quoted spread you observe on Google Finance or anywhere else? Please tabulate the tickers, Rolls, and observed spreads. (15 points) ii. Use the Amihud measure to calculate the price impact for each stock. Provide an economic interpretation of one or two numbers (i.e., if Amihud measure is 0.05, it is 0.05 of what and when do we see it?) Please tabulate the tickers, Amihuds, and average dollar volumes (in millions). (15 points) iii. What are the total dollar costs from trading $15 million in these stocks? (Assume you trade $3 million worth of each). Assume that you first buy them in one day and then sell during another day, the true price is always at the midpoint and the price impact starts from the bid or the ask. (Hint: One way to make your life easier is 1 to compute the average bid-ask spread and the average price impact for your stocks first) (15 points) iv. What has the average return to the stocks you chose to be before you start making profit