CAPM model

Question: (a). Estimate an appropriate CAPM model describing the return of the mutual
funds as a function of some or all factors above: CRSP index, 1-month T-Bill , ExRm ,
SMB , HML , MoM and TradedLIQ. Carry out and report the necessary statistical tests to
justify the choice of your specification. Discuss any found issues with respect to omitted
variable bias.
(b). Compare the performances of the two funds and the exposure of the portfolios to
different risk factors by comparing relevant coefficients (such as the intercept and slopes) of
the models through appropriate tests.
The following references will be useful when you interpret and compare the coefficients.
Fama, Eugene F.; French, Kenneth R. (1993). “Common Risk Factors in the Returns on
Stocks and Bonds”. Journal of Financial Economics 33 (1): 3–56

Fama, Eugene F.; French, Kenneth R. (1992). “The Cross-Section of Expected Stock
Returns”. Journal of Finance 47 (2)
Pastor, Lubos & Stambaugh, Robert F., 2003. “Liquidity Risk and Expected Stock Returns,”
Journal of Political Economy, University of Chicago Press, vol. 111(3)
End of Project A
Project B:
Use the Dataset_#fish.xls corresponding to your Z#####.
In this project you will estimate the demand for Cod (a saltwater fish). To complete this
assignment, you will use the 300 weekly observations on the quantity of Cod purchased, the
price of Cod, the price of Chicken, the price of Beef, Weekly Income, the average body mass
index (BMI), and the average water temperature in the North Atlantic Ocean (where Cod are
cultivated). You will find these 300 observations in the Dataset_#fish.xls file.
Question:
(a) Produce a scatterplot of price and quantity demanded of Cod. Set aside the
variable “average water temperature.” Estimate the household demand function
for Cod as a function of the price of Cod, Weekly Income, the price of Beef, and
some or all of the other provided variables. Carry out and report the necessary
statistical tests to choose your specification. Report the estimated own price
elasticity, estimated income elasticity of demand, and the cross-price elasticity of
demand with Beef. Discuss any found issues with respect to omitted variable
bias.
(b) Suppose the price of Cod is determined by simultaneous solution of the market
supply and demand of Cod. Discuss how this is problematic for your estimate of
the own price of elasticity for Cod. Use the variable “average water temperature”
to obtain a new estimate of the own price elasticity of Cod. Evaluate whether
“average water temperature” is an appropriate instrument.
End of Project B
Overall word limit, 1000 words maximum.

Don't use plagiarized sources. Get Your Custom Essay on
CAPM model
Just from $13/Page
Order Essay
Academic Heros
Calculate your paper price
Pages (550 words)
Approximate price: -

Why Work with Us

Top Quality and Well-Researched Papers

Our writers are encouraged to read and research widely to have rich information before writing clients’ papers. Therefore, be it high school or PhD level paper, it will always be a well-researched work handled by experts.

Professional and Experienced Academic Writers

For one to become part of our team, thorough interview and vetting is undertaken to make sure their academic level and experience are beyond reproach, hence enabling us give our clients top quality work.

Free Unlimited Revisions

Once you have received your paper and feel that some issues have been missed, just request for revision and it will be done. In addition, you can present your work to the tutor and he/she asks for improvement/changes, we are always ready to assist.

Prompt Delivery and 100% Money-Back-Guarantee

All our papers are sent to the clients before the deadline to allow them time to review the work before presenting to the tutor. If for some reason we feel our writers cannot meet the deadline, we will contact you to ask for more time. If this is not possible, then the paid amount will be refunded.

Original & Confidential

Our writers have been trained to ensure work produced is free of plagiarism. Software to check originality are also applied. Our clients’ information is highly guarded from third parties to ensure confidentiality is maintained.

24/7 Customer Support

Our support team is available 24 hours, 7 days a week. You can reach the team via live chat, email or phone call. You can always get in touch whenever you need any assistance.

Try it now!

Calculate the price of your order

Total price:
$0.00

How it works?

Follow these simple steps to get your paper done

Place your order

Fill in the order form and provide all details of your assignment.

Proceed with the payment

Choose the payment system that suits you most.

Receive the final file

Once your paper is ready, we will email it to you.

Our Services

You have had a hectic day, and still need to complete your assignment, yet it is late at night. No need to panic. Place your order with us, retire to bed, and once you wake up, the paper will be ready.

Essays

Essay Writing Service

It does not matter the urgency of your paper, or the academic level, our team is ready to help you 24/7. Just contact us and all your academic needs will be sorted.

Admissions

Admission Essays & Business Writing Help

A student is often required to write an admission letter requesting to be admitted in a certain institution. For you to be gain that admission in your dream institution, you must write a convincing letter. You can depend on our team for the best admission letters.

Reviews

Editing Support

Academic writing is not just about getting information and throwing it all over. Our team will ensure you have a polished paper that is coherent and has a good flow of information. We also ensure the paper follows the correct formatting styles like APA, Harvard, MLA, Chicago/Turabian.

Reviews

Revision Support

If our writers write a paper but you are not satisfied in one way or another, you can always ask for revision. This is totally free. Our writers and editors will revise your paper untill you are be totally satisfied. We as well offer revision for papers not done by our writers at a small fee.