F532HW110 - 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 #1 Due: April 14, 2010 This will introduce you to the idea of cross-sectional tests of the CAPM. You should download the monthly returns of 25 equal-weighted portfolios formed on size and book to market, the size (ME) of the portfolios, and a proxy for the market portfolio (R M ) from 1964 until 2009 from the website: http://mba.tuck.dartmouth.edu/pages/faculty/ken.french/ . You may use any statistical package to do your work. Your report should include tables of results, not copies of computer output. All tables and charts should have legends and explanations. Answers (excluding tables and figures) should be typed and a maximum of three pages long (Times New Roman 11p font or larger, 1.5 line spacing, 1 inch margins). a)
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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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F532HW110 - UNIVERSITY OF ROCHESTER William E. Simon...

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