Determine the extent to which returns in these assets

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Reference no: EM132311687

Financial Econometrics Assignment -

Carry out a set of regressions where the independent variable is 1-day returns in the various assets whose prices are in the file below using STATA and determine the extent to which returns in these assets can be explained by Fama and French 3-factor model.

For the avoidance of doubt, you will be running 8 different regressions. The dependent variable in each regression will be returns from each asset below.

CCMP - Index

FB US - Equity

MCD US - Equity

EEM US - Equity

DXY - Curncy

LIVX100 - Index

IYR US - Equity

LVS US - Equity

The independent variables will be the returns in the file below. THIS IS A 3-FACTOR MODEL. THE RISK-FREE RATE IS NOT A FACTOR.

Submit a single PDF that explains your methodology, summarizes results, and includes conclusions, econometric output and takeaways. Interpret and report alpha, beta coefficients, and r-squared statistics. Conclude with any takeaways or things you learned from this exercise.

Attachment:- Assignment Files.rar

Reference no: EM132311687

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