Project #78529 - Regression

I have already downloaded all of the files, just need help making sure I'm running the regressions correct

The funds to be examined are:

CRSP Fund Identifier

Fund Name

NASDAQ Ticker

5488

Ariel Appreciation Fund

CAAPX

7054

Calvert Small Cap Fund; Class A Shares

CCVAX

9201

Domini Social Equity Fund; Investor Shares

DSEFX

9593

Dreyfus Premier Third Century Fund; Class A Shares

DTCAX

14029

Green Century Equity Fund

GCEQX

22031

Neuberger Berman Socially Responsive Fund; Investor Class Shares

NBSRX

23824

Parnassus Fund

PARNX

23844

Pax World Growth Fund; Individual Investor Class

PXWGX

30784

Appleseed Fund

APPLX



Find and download 60 monthly returns for each of these funds. The period for analysis is January 2009 through December 2013. You will obtain this data using the WRDS portal. You want to choose CRSP, then Mutual Funds (Under Quarterly Update), then Monthly Returns. When asked for the format of your mutual fund codes, you should choose either Fund Identifier or NASDAQ Ticker. (Use one or the other, not both!) Input the nine codes in the box provided within the data request template. You will need two data items, Return per Share and Total Net Asset Value. We suggest you request your output file in comma-delimited text, or csv, format. Files in this format will open automatically in Excel. If you have requested data properly, your output file should have 540 total observations (9 funds times 60 months).

You will also need to download risk factors for the same 60-month period. At the top left portion of the page where you designed your data request, you will see "Select an available dataset." From the pull-down list, select Fama-French Portfolios and Factors, then Factors-Monthly Frequency. Again, you need monthly factors from January 2009 through December 2013. You will need to download all 5 factors to complete the analysis.

3. Once you have downloaded and organized your data, you will analyze your sample of 9 socially responsible mutual funds using the performance evaluation methodologies from week 3. This includes the calculation of alpha, beta, and other coefficients derived by estimating:

  • the 1- factor model (CAPM, or Jensen's alpha),

    Ri – Rf = αi + βi (RM – Rf)
  • the 3-factor model (Fama-French alpha),

    Ri – Rf = αi + βi (RM – Rf) + siSMB + hiHML
  • and the 4-factor model (FF plus Carhart),

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

You must estimate a total of 33 regressions, three for each of the nine firms, three for the set of equal weighted average monthly returns for your entire sample and three for the set of value weighted average monthly returns for your entire sample.

Subject Business
Due By (Pacific Time) 08/06/2015 11:59 pm
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