The assessment should written and submitted word

ACFI901-Financial Econometrics

2022/23 Assessment

Guidance/Ideas

1. Write the F-F-5M as a regression model. Explain the rationale of this model in your own words and clearly define all the components (dependent and independent variables in each case) involved.

(b) Compare the tests of individual significance of the factors (regressors) of each regression.

1http://mba.tuck.dartmouth.edu/pages/faculty/ken.french/data_library.html

(e) Test linear restrictions on the parameters of the F-F-5M that would allow you to compare it to the Fama-French 3-Factor model and the Capital Asset Pricing Model (CAPM).

5. Estimate the F-F-5M for each of the 10 portfolios, including an intercept term. This would allow you to test for abnormal returns in the context of this model. Comment upon the results and any (potential) patterns that you find.

Avoid:

• Using screenshots for Tables, Figures, mathematical notation.

• Understanding and explanation of theoretical concepts (25%)

• Validity of the statistical analysis (25%)