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Questions based on sim and multi-index model

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Reference no: EM132680279

Request you to please answer the below questions based on SIM and Multi-Index Model. (Please use Yahoo finance)

1. Select 10 publicly trading companies with trading history of at least five years.

2. Get monthly return data for the ten companies for at least five years (60 months). The returns should be based on adjusted prices and dividends, if any.

Get latest five years.

3. Get market index return and Fama-French factors, monthly corresponding to the stocks' returns. These are the Rm-Rf, SMB and HML factors.

4. Run regression of each stock's returns on the market index return, i.e., estimate SIM.

5. Run regression of each stock's returns on the three FF factors.

Reference no: EM132680279

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