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FIN 470A/560A程序代做、代写Research Methods程序

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FIN 470A/560A作业代做、代写Research Methods作业、代做R程序语言作业、代写R实验作业

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.


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编辑:code




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