代做Market Anomalies Exercise Spring 2024帮做Python语言程序

Market Anomalies Exercise

Spring 2024

Fama-French 3-Factor Model

E[ri ] − rf = bi(E[rM] − rf ) + siE[SMB] + hiE[HML]

(a) SMB is ‘small minus big’ factor, defined by the average return on the three small portfolios minus the average return on the three big portfolios. If size effect is present, which sign do you expect from si if you run a regression?

(b) HML is ‘high minus low’ factor, defined by the average return on the two value portfolios minus the average return on the two growth portfolios. If value effect is present, which sign do you expect from hi if you run a regression?

(c) As we talked about during the class, CAPM and all the related factor models can be thought as regression equations. Then, what implicit assumptions are we making when we run the regressions for regression coefficients to be unbiased and efficient?

Momentum and Reversal

(a) Do you observe a momentum behavior. in the chart? Do you observe a reversal behavior? Where?

(b) Based on momentum and reversal behaviors of stock price, do you think future price of this stock is going to rise or drop in the near future?

(c) Which industry do you think this stock belongs to?