Ashley Last Compare and Contrast College Writing One October 9‚ 2013 Living in a Dorm v. Commuting In college there are many things going on that are stressful‚ where one is sleeping should not be one of them. Colleges usually have two choices commuting or living in the dorms. Commuting is where one drives to and from school every day. Living in the dorms are pretty self-explanatory‚ one just stays at the school in the dorms. Living in the dorms is what most college students do. This is more
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Variable Names Description MF1_RF Returns of the mutual fund 1 MF2_RF Returns of the mutual fund 2 RM Market Index RF Risk free rate RM_RF CRSP index 1-month T-Bill SMB Small (market capitalization) minus big factor HML High (book-to-market ratio) minus low factor MOM Momentum factor TRADEDLIQ Traded liquidity factor Car hart‚ Mark M. employed two models of performance measurement: CAPM and 4-factor model. 4-factor model is consistent with a model of market equilibrium
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ECONOMETRICS 1 SUMMATIVE PROJECT Introduction. “There ’s nothing in the world so demoralizing as money.” Sophocles‚ Antigone Nowadays‚ a lot of people have invested in a mutual fund. Because it became more popular. They think that there are low risks and also it is sample type of investment. But probably‚ mutual funds are not so in a real. In a recent study‚ Craig MacKinley (1993: p4) argued that One of the important problems of modern financial economics is the quantification of the trade-off
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The article “Hey Mom‚ Dad‚ May I Have My Room Back?” by Cristina Rouvalis‚ talks about graduated and current students; going back to live with their parents. According to this article‚ there are about fourteen million adults between the ages of eighteen – twenty four that still live at home‚ and the number will keep rising. The article also states that these adults are moving back with their parents because some cannot find jobs after college‚ and are not able to pay rent or pay student loans. I
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CAPM & Fama‐French MOM 4 factors model In Table 1‚ we could evaluate the past performance of momentum strategy‚ Short Decile 1 and Long Decile 10‚ a.k.a. L/S (10‐1). Capital Asset Pricing Model (CAPM) E(R) = α + Rf + β (RM - Rf) + By applying to CAPM‚ we got a β that is almost zero (-0.08) showing the strategy could effectively diversify and reduce the market risk with stocks in Decile 1 and Decile 10. To further explain the large excess return (α)‚ we then apply Fama-French MOM Four Factors Model
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evidence on the significantly positive (negative) beta-return relationship in the up(down) markets(Pettengill‚ Sundaram and Mathur‚ 1995) and on the usefulness of two non-market risk factors SMB(the difference between the return on a portfolio of small stocks and the return on a portfolio of large stocks) and HML(the difference between the return on a portfolio of
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ADVANCED SECURITY ANALYSIS [BFF5040] “THE FAMA-FRENCH CASE STUDY” _____________________________________ GROUP ASSIGNMENT GROUP 18 ALEX LEE [26268418] JIANNAN ZHANG [25842528] XUAN ANH NGO [26274736] YIMING BAI [26413760] ZHOUJING LI [25675087] WORD COUNT: 2‚918 WORDS CONTENTS EXECUTIVE SUMMARY 3 PART ONE. IN-SAMPLEAPPLICATION OF MODEL 3 1.1. FIRST-PASS REGRESSION OF 20 ASSETS 3 1.2 SECOND-PASS REGRESSION OF 20 ASSETS 4 PART TWO. OUT-OF-SAMPLE MODEL PERFORMANCE 5 2.1. CONSTRUCTION OF
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viewed 14th of April‚ 2009‚ Yahoo7‚ (2009h) ‘UGL.AX: Historical Prices for UNITED GRP FPO – Yahoo!7 Finance’‚ viewed 14th of April‚ 2009‚ Appendices |rmrf |1.554 |(0.3738)* | |constant |0.0176 |(0.0098) | |rmrf |1.6402 |(0.3843)* | |smb |0.6994 |(0.4070) | |hml |0.2195 |(0.3115) | |constant |0.0154 |(0.0098) |
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9-207-056 JANUARY 28‚ 2007 MALCOLM BAKER Multifactor Models There are two parts to this exercise. The first is to evaluate the performance of four mutual funds. And‚ the second is to estimate the cost of capital for two firms. Benchmarking Both parts of the exercise are about choosing an appropriate benchmark‚ either for evaluating past investment returns or assessing a new project. Ideally‚ a benchmark should reflect the opportunity cost‚ or the best alternative investment. If an investment manager’s
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Common Risk Factors in the Retu rns on Stocks and Bonds Eugene F. Fama Kenneth R. French Journal of Financial Economics 1993 Presenter: 周立軒 Brief Saying… • This paper identifies Five common risk factors in the return on stocks and bonds – Two stock market factors‚ two bond market factors ‚ one market factor. – The five factors seems to explain all returns in stoc k market and bond market • Except the Low-Grade Bonds Agenda • • • • • Introduction The Steps of the Experiment Data & Variables Main
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