Use a regression model to study the effects of trading days

Assignment Help Financial Management

Reference no: EM131224678

Consider the daily simple return of CRSP equal-weighted index, including distributions, from January 1980 to December 1999 in file d-ew8099.txt (date, ew). Indicator variables for Mondays, Tuesdays, Wednesdays, and Thursdays are in the first four columns of wkdays8099.txt.

Use a regression model to study the effects of trading days on the index return. What is the fitted model?

Are the weekday effects significant in the returns at the 5% level?

Use the HAC estimator of the covariance matrix to obtain the t-ratio of regression estimates.

Does it change the conclusion of weekday effect? Are there serial correlations in the regression residuals?

If yes, build a regression model with time series error to study weekday effects.

Reference no: EM131224678

Questions Cloud

Is there a friday effect on the daily simple returns : Is there a Friday effect on the daily simple returns of S&P composite index? -Estimate the model and test the hypothesis that there is no Friday effect. Draw your conclusion.

Develop philosophy that supports advanced nursing practice : Develop a philosophy that supports advanced nursing practice reflecting the values, beliefs, and cultural competencies relative to nursing practice, science, and theory

Describe the primary functions of management : Describe actions to improve communications, manage conflict, develop strong organizational culture, and improve the ethical behavior in organizations.

Calculate the firm labor demand : Calculate the firm's labor demand for the following production functions. Assume that output is 100 and the rental cost of capital is 1. In each of the following cases, calculate the amount of labor the firm would use when the wage rate is 1, 2 ..

Use a regression model to study the effects of trading days : Use a regression model to study the effects of trading days on the index return. What is the fitted model? - Are the weekday effects significant in the returns at the 5% level?

Problem regarding the online bidding website : Suppose you own and manage a hotel which has 100 rooms. Your total costs (including all staff wages, utilities, insurance, lease payments, etc.) are $10,000 / night, such that your average total costs per room are $100 per night. You work with a..

Build a time series model for the series : Consider the demand for electricity of a manufacturing sector in the United States. -Build a time series model for the series and use the fitted model to produce 1-step to 24-step ahead forecasts.

Is there evidence of long range dependence : Compute the first 100 lags of the ACF of the absolute daily simple returns of IBM stock. - Is there evidence of long-range dependence? Why?

Explain aspects of high-involvement management contained : Describe how Whole Foods uses human capital as a course of competitive advantage. Identify the aspects of high-involvement management contained in Whole Foods' approach to managing its associates.

User Account

All Pages