problemset8 - Problem Set 8 Ec 136, Fall 2009 This problem...

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Problem Set 8 Ec 136, Fall 2009 This problem set is due Thursday, December 3. Sorry, no late problem sets are accepted! All students must submit problem sets individually. Write your name, section time and GSI on the front page of your solution. 1. CAPM test This question asks you to test CAPM by looking at the historical performance of small stocks and value stocks using Excel. The data are in CAPM_data.xls on the course website. We will focus on &ve risky assets: four stock portfolios called small-low, small- high, big-low, big-high, and a value-weighted stock index that we will treat as the market portfolio. Here ±small²and ±big²refer to market capitalization, while ±low²refers to growth stocks (low book-market ratios), and ±high²refers to value stocks (high book- market ratios). Thus for example the small-low portfolio is a portfolio of growth stocks with small market capitalization. The data set runs from January 1930 to December 2004 and contains excess returns R i R f (where R f is the return on 90-day Treasury 1/1930-12/1963 only. a) Download the data from the course website. What are the average excess returns for row 6, columns I-M.
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This note was uploaded on 11/24/2009 for the course ECON 136 taught by Professor Szeidl during the Fall '08 term at University of California, Berkeley.

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problemset8 - Problem Set 8 Ec 136, Fall 2009 This problem...

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