You observe the following values for a company's share price during November: Share Price () 100 Date 1st November 2nd November 3rd November 102 108 113 122 126 128 10th November 124 11th November 116 12th November 112 15th November 103 4th November 5th November 8th November 9th November Date 16th November 17th November 18th November 19th November 22nd November 23rd November 24th November 25th November 26th November 29th November 30th November a) Using a Runs Test and a 5% significance level, test the null hypothesis that the number of runs is consistent with independent draws from a daily returns distribution. i. Share Price () 98 101 97 91 100 97 101 98 108 117 120 b) You are conducting some research on quantitative equity portfolio management. ii. State which factor in the Fama-French-Carhart model is missing in the original Fama-French Three Factor model? How could an equity portfolio manager construct this factor? Describe a behavioural bias which could help to explain the persistence of the factor returns you identified in part i). c) You decide to focus your research on earnings announcements. i. State the strong form of the Efficient Markets Hypothesis, making sure to relate your answer to earnings announcements. Why might this be a difficult hypothesis to test empirically? Describe an empirical method that could help alleviate the problem you identified in part i).