Answered step by step
Verified Expert Solution
Link Copied!

Question

00
1 Approved Answer

Retrieve from yahoo finance the adjusted monthly closing prices for MSFT , BAC, JNJ , COST, and XOM from November 2 0 1 3 to

Retrieve from yahoo finance the adjusted monthly closing prices for MSFT, BAC, JNJ, COST, and XOM from November 2013 to December 2023, form an equally weighted portfolio, and calculate the monthly portfolio returns. You should have 120 data points (monthly returns). Download the FamaFrench 3 factor file and the Momentum factor file from Kenneth French's website or use the data files posted under the Multifactor Data folder in the Miscellaneous tab. Transform the data from KF into decimal format by dividing each cell by 100 Run three regressions where the dependent variable is the monthly excess return of your portfolio and the models are CAPM, Fama French 3 Factor, and Carhart 4 Factor. Write a 250 paragraph about the results.
image text in transcribed

Step by Step Solution

There are 3 Steps involved in it

Step: 1

blur-text-image

Get Instant Access with AI-Powered Solutions

See step-by-step solutions with expert insights and AI powered tools for academic success

Step: 2

blur-text-image

Step: 3

blur-text-image

Ace Your Homework with AI

Get the answers you need in no time with our AI-driven, step-by-step assistance

Get Started

Students also viewed these Finance questions