Project #64979 - Finance Homework

A spreadsheet containing 36 months of data for the Buffalo Emerging Opportunities and risk factors is provided here. Using the BUFOX data spreadsheet,

A. Estimate a one factor, or CAPM, regression analysis of the following form:

Ri - Rf = αi + βi(RM - Rf)

Or, using the labels provided with the dataset

Rfund-rf = αi + βi(mktrf)

B. Estimate a three factor, or Fama-French, regression analysis of the following form:

Ri - Rf = αi + βi(RM - Rf) + siSMB + hiHML

Or, using the labels provided with the dataset

Rfund-rf = αi + βi(mktrf) + si(smb) + hi(hml)

C. Estimate a four factor regression analysis of the following form:

Ri - Rf = αi + βi(RM - Rf) + siSMB + hiHML + uiUMD

Or, using the labels provided with the dataset

Rfund-rf = αi + βi(mktrf) + si(smb) + hi(hml) + ui(umd)

  1. Provide the Excel output for each regression analysis.
  2. Discuss the results as they relate to exposures to the risk factors in each model. Is there evidence that this fund had particularly noteworthy performance during the 36-month period analyzed?

Subject Business
Due By (Pacific Time) 04/10/2015 12:00 am
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