plz finish the last four questions (10-13)write the report for those 4 questions. Estimated length: 1.5 pages (excluding tables/figures).Make sure to explain intermediate steps of each calculation in your report and clearly indicate what parts refer to each of the individual questions of the case study.1. 1.Aftaer you merged both datasets as described in the Instructions: Compute the market capitalization as [abs(PRC) * SHROUT] for each stock in each month. Why are some prices negative? (You might need to lookup the definition of PRC in WRDS, for example with an internet search, to answer this question.)Why can closing prices at time “t” be negative? [select every answer that you think is correct]:10 points Question 21. For each stock, compute the average excess return and the standard deviation over the period from January 2000 to December 2010 (to calculate such summary statistics the PivotTable is very useful). Which stock has the highest average excess return? (Reminder: excess return is the difference between the return and the risk-free rate)10 points Question 31. Now compute the Sharpe ratio for each stock over this period. Which stock looks most attractive to you in terms of the tradeoff between return and risk over this period?10 points Question 41. Do you observe any pattern regarding the Sharpe ratio of a stock and its average market cap (computed per PERMNO over the whole sample period)? Run a simple cross-sectional regression to check.10 points Question 51. Now run a formal CAPM (“market model”) time-series regression for each of the 100 firms (you can use the “LINEST” function in EXCEL to do so). Estimate the market model over the entire sample period. Which stock has the largest beta estimate? Insert the PERMNO of the stock with the largest Beta coefficient below.10 points Question 61. Make a scatter plot with on the vertical axis the historical average excess return of all stocks and on the horizontal axis the stock’s beta estimates over the full sample period. Also add a linear trend line, which is the security market line (SML). Does this plot support the CAPM predictions?Indicate every correct statement from the list below.10 points Question 71. Please indicate the Coefficient of determination (R2) from the regression in Question 6 (i.e. the estimated SML) that is closest to what you find:10 points Question 81. Now run a cross-sectional regression. Explain the wholesample average excess returns of each stock by the wholesample average MARKETCAP of each stock and the estimated beta (from Question 5). What do you find? Assume statistical significance is indicated by a t-statistic below -2 or above 2. Select every answer that corresponds with your findings.10 points Question 91. Now run a so called Fama-MacBeth regression (2nd step), that is: each month regress excess returns on MarketCap only, then compute the average coefficient on Market Cap as well as the Fama-MacBeth t-statistic, which is avg(X)/[stddev(X)/sqrt(T)], where: X is the monthly estimated slope coefficient when explaining Returns by MarketCap and T is the number of observations (the number of months in the sample).10 points Question 101. As before, run a so called Fama-MacBeth regression and compute the Fama-MacBeth t-statistic. But this time explain Returns by MarketCap as of January for each year, i.e. in February to December you use the market cap estimated in January of each year for each stock.10 points Question 111. Of course, smaller stocks are also associated with higher risk. Hence, redo the Fama-MacBeth regressions, use the MarketCap as of January for each year, and the CAPM-beta (estimated over the whole sample) as a control variable, to explain monthly returns (as before).10 points Question 121. Are your results so far consistent with the data you received from Ken French’s website (using data from Jan-2000 to Dec-2010)?10 points Question 131. Report the Fama-MacBeth test statistic, i.e. sqrt(N)*avg(X)/stddev(X), where N is the number of observations (the number of months), and X is the monthly estimated slope coefficient on MarketCap when explaining Returns by MarketCap and CAPM-Beta (i.e. the slope coefficients from the previous regression).Round the value to two decimal digits, and use the dot to separate decimal from non-decimal digits, i.e. enter like:12.23Use all slope coefficients from 2005 (i.e. N=12).
We provide professional writing services to help you score straight A’s by submitting custom written assignments that mirror your guidelines.
Get result-oriented writing and never worry about grades anymore. We follow the highest quality standards to make sure that you get perfect assignments.
Our writers have experience in dealing with papers of every educational level. You can surely rely on the expertise of our qualified professionals.
Your deadline is our threshold for success and we take it very seriously. We make sure you receive your papers before your predefined time.
Someone from our customer support team is always here to respond to your questions. So, hit us up if you have got any ambiguity or concern.
Sit back and relax while we help you out with writing your papers. We have an ultimate policy for keeping your personal and order-related details a secret.
We assure you that your document will be thoroughly checked for plagiarism and grammatical errors as we use highly authentic and licit sources.
Still reluctant about placing an order? Our 100% Moneyback Guarantee backs you up on rare occasions where you aren’t satisfied with the writing.
You don’t have to wait for an update for hours; you can track the progress of your order any time you want. We share the status after each step.
Although you can leverage our expertise for any writing task, we have a knack for creating flawless papers for the following document types.
Although you can leverage our expertise for any writing task, we have a knack for creating flawless papers for the following document types.
From brainstorming your paper's outline to perfecting its grammar, we perform every step carefully to make your paper worthy of A grade.
Hire your preferred writer anytime. Simply specify if you want your preferred expert to write your paper and we’ll make that happen.
Get an elaborate and authentic grammar check report with your work to have the grammar goodness sealed in your document.
You can purchase this feature if you want our writers to sum up your paper in the form of a concise and well-articulated summary.
You don’t have to worry about plagiarism anymore. Get a plagiarism report to certify the uniqueness of your work.
Join us for the best experience while seeking writing assistance in your college life. A good grade is all you need to boost up your academic excellence and we are all about it.
We create perfect papers according to the guidelines.
We seamlessly edit out errors from your papers.
We thoroughly read your final draft to identify errors.
Work with ultimate peace of mind because we ensure that your academic work is our responsibility and your grades are a top concern for us!
Dedication. Quality. Commitment. Punctuality
Here is what we have achieved so far. These numbers are evidence that we go the extra mile to make your college journey successful.
We have the most intuitive and minimalistic process so that you can easily place an order. Just follow a few steps to unlock success.
We understand your guidelines first before delivering any writing service. You can discuss your writing needs and we will have them evaluated by our dedicated team.
We write your papers in a standardized way. We complete your work in such a way that it turns out to be a perfect description of your guidelines.
We promise you excellent grades and academic excellence that you always longed for. Our writers stay in touch with you via email.