Reference no: EM134300
Econ 301 Assignment
1. Find at least three other variables that may affect the return of equity of your choice
2. Reason each of them well.
3. Estimate the following equation:
Firm Return = α + β ISE Return + γ1 Factor1 + γ2 Factor 2 +γ3 Factor3 +u
4. Are the estiamtes of γ1, γ2 and γ3 have the expected sign?
5. Test Ho: β = 0 versus β≠0;
6. Test Ho: β = 1 versus β≠0;
7. Test Ho: γ1 = 0 versus γ1≠0;
8. Test Ho: γ1 = γ2 versus not Ho;
9. Test Ho: γ1 = -γ2 versus not Ho;
10. Test Ho: γ1 = γ2=0 versus not Ho;
11. Test Ho: γ1 = γ2=γ3 versus not Ho;
12. Test Ho: γ1 = γ2=γ3=0 versus not Ho;
Answers the questions 2 to 12. What can you conclude?