The Center for Quantitative Economic Methods (CQEM) offers services to enterprises, public authorities, and research institutes for solving various quantitative economic problems. About 30 professional economists work at the Investment Department at CQEM; they want to offer their clients the best up-to-date solutions and they use their quantitative knowledge and experience in solving economic questions. All CQEM advisors follow a systematic and analytic approach, quickly leading to the core of the problem. They give practical answers to the problems in close co-operation with the customers.
The Investor, a scientific journal that provides information to small investors on the stock market, has approached CQEM to shed new light on the Market Model and the various generalizations in the form of Multifactor Models. The editorial staff of the journal is especially interested in whether well-established results in these models are still valid in the low-interest rate period after the 2008 crises. The Investment Department at CQEM will carry out this research problem. You are an advisor at CQEM and you are currently working in the Investment Department. you will look into a particular industry segment. In your research, the main issue – among several side results – is to detect the relevant factors driving the returns for this segment. Other colleagues in your department are working on a similar question for other 9 segments. Together this will lead to an overall picture to be published in The Investor.
Your task is to perform this research. After having consulted the editorial staff of the journal, you promise to your manager at CQEM to complete all parts of the report on your industry segment in the period September–October 2020.
In this way, you have enough time to combine all results from the 10 industry segments. They will produce a final picture on the research question raised by The Investor and, as required, they will submit it later in October 2020.
You decide to divide your report into two main sections. For this research, you are in the possession of monthly data from January 2000 until June 2020. Following assignment-1 is the one of them.
Instructions
In all questions, use α = 0.10 as significance level unless indicated otherwise.
If you compute some quantities numerically, use at least 4 significant digits for your inputs. The results can be rounded to 3 significant digits. Note: in some questions, there are lists of values you have to choose from - those values are rounded to 2 significant digits.
Your Return of Portfolio in following Industry Segment
TID=4: EnrgyOil, Gas, and Coal Extraction and Products
To answer the questions, you will have to use SPSS
The full data set contains monthly information on the following variables:
Time
• Date Date yyyymm
Factor Returns
• MktRF (Rm-Rf) is the excess return on the market, which is the value-weight return of all CRSP firms incorporated in the US and listed on the NYSE, AMEX, or NASDAQ that have a CRSP share code of 10 or 11 at the beginning of month t, good shares and price data at the beginning of t, and good return data for t minus the one-month Treasury bill rate
• SMB (Small Minus Big) is the average return on the nine small stock portfolios minus the average return on the nine big stock portfolios
• HML (High Minus Low) is the average return on the two value portfolios minus the average return on the two growth portfolios
• RMW (Robust Minus Weak) is the average return on the two robust operating profitability portfolios minus the average return on the two weak operating profitability portfolios
• CMA (Conservative Minus Aggressive) is the average return on the two conservative investment portfolios minus the average return on the two aggressive investment portfolios,
Interest Rate
• RF the one-month Treasury bill rate
• N.B. all values are on a monthly basis
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