Conduct panel regression analysis

Assignment Help Financial Econometrics

Reference no: EM133089933

You are required to complete all three tasks below. All the econometrics analyses set in the tasks should be carried out using Eviews and the saved Eviews workfiles need to be submitted along with the hard copy of the answers.

Task 1
You are asked to analyse the return of two investment funds using the Fama-French three-factor and five-factor asset pricing models and report your findings (maximum 1,500 words). See the attached Excel data file for return of the two funds and the five factors. Your answers should contain but not limit to the following:
• A description of the two investment funds analysed
• An overview of the Fama-French three-factor and five-factor asset pricing models and their empirical validity
• Summary of the model estimation results
• Interpretation of the results and implications for investors
• Discussion on the suitability of the model in analysing the returns of the investment fund

Task 2
You are asked to estimate GARCH model(s) on the daily log return of Crude Oil Price and report your findings (maximum 800 words). You should estimate in turn the simple GARCH (1,1) model, GARCH-in-mean model, TGARCH model and EGARCH model; perform the appropriate diagnostic tests; and comment on the results.

Task 3
You are asked to conduct panel regression analysis to examine the effect of corporate governance on firm performance. The dependent variable is ROA, the main independent variables (corporate governance variables) include Independent Directors, Board Size and Duality, the control variables are Leverage and Firm Size. You should consider pooled regression, fixed effect models and random effect models in your analysis, conduct the necessary diagnostic tests, and report your findings (maximum 800 words).

Attachment:- Data.rar

Reference no: EM133089933

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