{[ promptMessage ]}

Bookmark it

{[ promptMessage ]}

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

Info iconThis preview shows page 1. Sign up to view the full content.

View Full Document Right Arrow Icon
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),
Background image of page 1
This is the end of the preview. Sign up to access the rest of the document.

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?...
View Full Document

{[ snackBarMessage ]}

Ask a homework question - tutors are online