Determine the extent to which returns in these assets can be

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Financial Econometrics Assignment

Carry out a set of regressions where the independent variable is 1-day returns in the various assets whose prices are in the file below using STATA and determine the extent to which returns in these assets can be explained by Fama and French 3-factor model described.

For the avoidance of doubt, you will be running 8 different regressions. The dependent variable in each regression will be returns from each asset below.

CCMP FB US MCD US EEM US DXY LIVX100 IYR US LVS US

Index Equity Equity Equity Curncy Index Equity Equity

The independent variables will be the returns in the file below. THIS IS A 3-FACTOR MODEL. THE RISK-FREE RATE IS NOT A FACTOR.

Submit a single PDF that explains your methodology, summarizes results, and includes conclusions, econometric output and takeaways.

Interpret and report alpha, beta coefficients, and r-squared statistics. Conclude with any takeaways or things you learned from this exercise.

Attachment:- Data Analysis.rar

Reference no: EM132313291

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