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The following data contains the monthly stock returns of Berkshire Hathaway for the period October 2010 to September 2015. You also have the monthly returns
The following data contains the monthly stock returns of Berkshire Hathaway for the period October 2010 to September 2015. You also have the monthly returns of the one-month T-bill (RF) and the factors in the Fama-French model (MKT-RF, SMB, and HML). Estimate a Fama-French three factor model and report the regression output in the same excel sheet
Date | Berkshire Hathaway Return | RF | Mkt-RF | SMB | HML |
Oct-10 | -0.0418 | 0.0001 | 0.0388 | 0.0101 | -0.0223 |
Nov-10 | 0.0075 | 0.0001 | 0.006 | 0.0369 | -0.0058 |
Dec-10 | 0.0021 | 0.0001 | 0.0682 | 0.0085 | 0.0347 |
Jan-11 | 0.0164 | 0.0001 | 0.0199 | -0.024 | 0.0068 |
Feb-11 | 0.0725 | 0.0001 | 0.0349 | 0.0162 | 0.0173 |
Mar-11 | -0.0457 | 0.0001 | 0.0045 | 0.0268 | -0.0116 |
Apr-11 | -0.0044 | 0 | 0.029 | -0.0034 | -0.0215 |
May-11 | -0.0479 | 0 | -0.0127 | -0.0068 | -0.0212 |
Jun-11 | -0.0225 | 0 | -0.0175 | -0.0014 | -0.0026 |
Jul-11 | -0.0397 | 0 | -0.0236 | -0.0144 | -0.0118 |
Aug-11 | -0.0155 | 0.0001 | -0.0599 | -0.033 | -0.0158 |
Sep-11 | -0.0270 | 0 | -0.0759 | -0.0372 | -0.0098 |
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