I am looking for someone who have good experience in doing ecnometrics project .
It is a summative assignment, to complete this assignment you will need the returns of the mutual fund # and the factors in the Dataset_#.xls.
assignment, you will produce results for the tests of the CAPM
and multi-factor asset-pricing model(s).
Using the mutual fund, run the CAPM regression, conduct appropriate tests of
the CAPM. Are the pricing errors (?i) big? What do you conclude? Propose (and
conduct) a test to jointly test the hypothesis that the CAPM holds. You can use
the SMB and HML factors to see if they improve over the performance of the
CAPM. Note that SMB and HML are already in excess return form. How do the
results compare? What do you conclude? Do you think that SMB and HML are
priced factors? Is a three-factor Fama-French model more suitable at capturing the
fluctuation in equity returns? In answering the questions, refer to your empirical
results. Add the momentum factor and liquidity factors and answer the same
questions. Which is the most appropriate factor model ? Check robustness
of your results against autocorrelation, hetroscedasticity and other possible
I need the work to be done in next 48 hours . Overall word limit, 1000 words maximum.
5 pekerja bebas membida secara purata $76 untuk pekerjaan ini
Hi I am an experienced finance professional having experience in valuation, appraisals, econometrics and financial modelling. I am keen to help you out with this and future assignments. Pls see PMB