Question
Problem B1. Download data for any two industry portfolio from Keneth R. French data library (Online Data Library), and corresponding factors and risk-free rate. Data
Problem B1. Download data for any two industry portfolio from Keneth R. French data library (Online Data Library), and corresponding factors and risk-free rate. Data set should include at least 252 observation, but there is no upper limit for the number of observation. Provide the descriptive statistics for this data set (mean, variance, standard deviation, skewness, kurtosis), and comment on the differences between the two industry portfolios. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Problem B2. Plot the distribution of returns using histogram and kernel density plot. Comment on the shape of the distribution, and compare the distribution of returns for the two industry portfolio of your choice. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Problem B3. Estimate the three-factor French-Fama model for each industry portfolio, and interpret the results (goodness-of-fit, significance, the meaning of the estimated coefficients, etc.).
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