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Using multiple regression analysis, estimate the Fama-French 3 Factor model for your company and interpret your results.

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Assignment Question 1

Download 20 years' worth of monthly data for the period January 2002 to December 2021 on a company of your choice from the CRSP database via WRDS, and download the Fama-French 3 Factors from the Kenneth French Data Library or from WRDS. You can access the Kenneth French Data Library directly here:

https://mba.tuck.dartmouth.edu/pages/faculty/ken.french/data library.html

You will find the Fama-French 3 Factors in the "U.S. Research Returns" section of the website. Note that the returns data from the Kenneth French Data Library is in percentage form. Returns data downloaded from the CRSP database is in decimal form. You should therefore either divide the data from the Kenneth French data library by 100 or multiply the returns on your company that you download from CRSP by 100.

Using multiple regression analysis, estimate the Fama-French 3 Factor model for your company and interpret your results. In interpreting and discussing your results and the fit of your model, you should conduct any hypothesis tests you feel are relevant, as well as undertaking and interpreting diagnostic tests (for example, testing for heteroscedasticity and serial correlation) on the residuals.

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