HW8 - and the portfolio of winners (stocks that have done...

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Purdue University Krannert School of Management MGMT 411: INVESTMENTS Assignment #8 Due: November 10 No late assignments will be accepted. 1. Download the Excel file called “Fama-French model_momentum” from our course site. The file contains the monthly returns of the risk-free rate, the market portfolio, the HML portfolio, the SMB portfolio, the portfolio of losers (stocks that have done badly over the last 6 months),
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Unformatted text preview: and the portfolio of winners (stocks that have done well over the past six months). a) Test if the Fama-French model holds for the losers. What is the conclusion of your test? b) Test if the Fama-French model holds for the winners. What is the conclusion of your test?...
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This note was uploaded on 02/06/2012 for the course MGMT 411 taught by Professor Clarke during the Spring '09 term at Purdue University-West Lafayette.

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