ORIE 4630 — D. Ruppert Homework #7 — due Friday, Oct 15, 2010 Note: Students are required to work independently on homework. 1. In this problem you will ﬁt the Fama-French three-factor model to monthly returns. The values of the Fama-French factors were taken from Professor Kenneth French’s web page and are in a text ﬁle FamaFrench mon 69 98.txt . This text ﬁle has the following variables: date , Mkt.RF which is the excess monthly return on the mar-ket, SMB which is the small-minus-large factor, HML which is the high-minus-low fac-tor, and RF which is the risk-free rate. The monthly stock returns are in the data set CRSPmon in R ’s library Ecdat . Run the following R code, that ﬁts a regression model with the three Fama-French factors as predictor variables. Returns and rates in FamaFrench mon 69 98.txt are as percentages and returns in CRSPmon are as frac-tions, so the latter are converted to percentages. The ﬁrst two years of data are not used in this analysis. # Uses monthly data from Jan-69 to Dec-98 but then deletes first two years
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This note was uploaded on 09/20/2011 for the course ORIE 4630 at Cornell University (Engineering School).