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What is Homework 3: Fama-French Analysis about?

This document provides instructions for Homework 3 which involves analyzing the Fama-French 5x5 portfolio excess returns from 1947 to 2017 using the Fama-French three factor model. Students are asked to: 1) Test the asset pricing theory hypothesis using J statistic 2) Test the APT hypothesis using the adjusted J statistic 3) Test if the size factor (SMB) can be excluded using the adjusted J statistic 4) Test if the value factor (HML) can be excluded using the adjusted J statistic. All analysis and answers s

Author

Seema

Language

EN