FIN 470A/560A代做、代写Research Methods、代做R程序语言、代写R

日期：2019-10-02 10:11

FIN 470A/560A

Research Methods in Finance

R Group Assignment 3

Due September 30, 2019

[This Version: 09-22-2019]

1. Download monthly return data for decile portfolios formed from a characteristic from

Ken French’s Data Library. Also download monthly data for the three Fama-French

factors (market, size, value) and risk-free return.

2. Compute the monthly excess return for each decile portfolio.

3. Estimate a Fama-French three-factor regression for each decile portfolio excess return.

Report the results (coefficient estimates, standard errors, t-statistics, R2

statistics) in

a table. Discuss the results.

4. Do the results indicate that the Fama-French three-factor model adequately captures

systematic risk?

5. Provide the R code in an appendix.