F532HW310 - UNIVERSITY OF ROCHESTER William E. Simon...

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UNIVERSITY OF ROCHESTER William E. Simon Graduate School of Business Administration FIN 532 Professor G. William Schwert Advanced Topics in Capital Markets Spring 2010 Home work Assignment #3 Due: May 5, 2010 This will introduce you to the idea of time variation in expected returns and betas. You should use the Fama-French factors you downloaded for homework 2 [a proxy for the market risk premium (R M -R f ), the HML portfolio (book-to-market factor), the SMB portfolio (size factor), and the monthly T-bill return (R f ) from 1964 until 2009], along with the monthly returns of 10 equal-weighted portfolios formed on Dividend to price (D/P). Use the Excel spreadsheet that contains several variables that are frequently used to predict stock returns, including a measure of default premium (DEF), a term premium (TERM), the dividend yield (DIV), and the risk-free rate (R f ). You may use any statistical package to do your work. Your report should include tables of results, not copies of computer output.
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This note was uploaded on 03/04/2010 for the course FIN 532 taught by Professor Schwert during the Spring '10 term at Rochester.

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F532HW310 - UNIVERSITY OF ROCHESTER William E. Simon...

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