程序代写案例-ACFI901
ACFI901-Assessment
Visit Kenneth French’s website1 to download monthly data for the factors of Fama
and French 3 factor model (Fama/French 3 Research Factors) which include the
excess return on market portfolio, the size premium, the value premium, and the
risk-free rate of the economy. There are also data available for certain portfolio
returns. You may choose EITHER the FIVE size-sorted portfolios (Lo 20, Qnt 2,
Qnt 3, Qnt 4, Hi 20), OR the FIVE value-sorted portfolios (Lo 20, Qnt 2, Qnt 3,
Qnt 4, Hi 20), or FIVE out of the 30 industry classi…cation portfolios for the tasks
below. Use monthly data for the full sample available. In all cases use
value-weighted returns. You should then proceed and estimate (for each portfolio)
the simple Capital Asset Pricing Model (CAPM) and the Fama French 3-factor
model (F-F-3M).
The word limit for this assessment is 3,000 words. References, Tables, Figures,
Equations are NOT included in the word count. The assessment should be written
(and submitted) in MS Word. Make sure that you use the MS Word Equation
Editor in order to clearly present mathematical notation and equations. You should
clearly present the results in easy-to-read Tables and Figures, which should be
accompanied by clear/detailed notes that explain the content. Make sure that you
number the Tables/Figures in order to easily refer to them.
The following points are meant to give you some general directions, so you do not
necessarily have to use them to structure your document. You should include an
introduction in the context of which you explain the two models (see point 1 below)
1http://mba.tuck.dartmouth.edu/pages/faculty/ken.french/data_library.html
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and your motivation (main reasons) for choosing the speci…c …ve portfolios to
analyse. In the same section, you should include a description and the main
objectives of you analysis. You should then provide a clear description of your data
(see point 2 below). The main part of your document should be the empirical
analysis, in the context of which you estimate, test and interpret the two models,
for each of the portfolios chosen. You should conclude the assessment with a section
that summarises the …ndings that you consider to be the most important ones.
You will have to submit the EViews work…le you used. This …le should include the
data you use, as well as the equations you estimate and any other relevant output.
Guidance/Ideas
1. Write
(a) the CAPM as a regression model
(b) the F-F-3M as a regression model
Explain the rationale of each model in your own words and clearly de…ne
all the components (dependent and independent variables in each case)
involved.
2. Clearly de…ne and explain the data you use.
3. Present any relevant descriptive statistics and/or plots for the data you use.
Present the data clearly in Tables and/or Figures.
4. Estimate the CAPM and the F-F-3M.
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(a) Test the individual and joint signi…cance of the variables in each model.
Comment upon the results.
(b) Interpret the results of each regression.
(c) Test the statistical adequacy of each regression, by running (and
commenting upon) any diagnostic test you think is relevant.
5. For each portfolio you use, test the validity of the CAPM and the F-F-3M. In
other words, does the data in each case support the theory provided by the
CAPM and the F-F-3M?
6. For each of the …ve portfolios compare the performance of the CAPM against
the F-F-3M. Explain which one you would choose in each case.
7. For each of the CAPM and the F-F-3M, compare and interpret the results you
get from each portfolio.
8. For each F-F-3M regression, test whether the estimation results change before
and after a certain date (such as the …nancial crisis of 2008). Comment upon
the results.
9. You may run any estimation/test you …nd relevant that is not covered by the
above.
10. You may draw links with existing results in the literature, but any reference
you provide should be relevant to your own results. Listing a high volume of
irrelevant articles/books/studies is NOT going to increase your grade.
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Avoid:
Using screenshots for Tables, Figures, mathematical notation.
Providing comments that are not directly relevant to the main objectives of
this assessment.
Being repetitive.
Using long sentences that are di¢ cult to be understood.
Marking Criteria:
Understanding and explanation of theoretical concepts (25%)
Validity of the statistical analysis (25%)
Interpretation of the results (25%)
Presentation/communication of the results (25%)
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