Answered step by step
Verified Expert Solution
Link Copied!

Question

1 Approved Answer

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

Step by Step Solution

There are 3 Steps involved in it

Step: 1

blur-text-image

Get Instant Access to Expert-Tailored 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

Recommended Textbook for

International Finance Theory And Policy

Authors: Paul R. Krugman, Maurice Obstfeld, Marc J Melitz,

11th Edition

013451954X, 9780134519548

More Books

Students also viewed these Finance questions

Question

=+ (a) Show that a trifling set is negligible.

Answered: 1 week ago