Quantitative Methods In Finance And Research Assignment
Question Description
- Split the sample in 3 equal periods and compute the average, SD, skew, and kurtosis for each of the six “risk factors” for the full sample and the three different periods. Arrange these values in a table similar to the one shown below (5p).
| Full Sample: 1963M07 – 2017M12 | ||||||
| MKT_RF | SMB | HML | RMW | CMA | MOM | |
| Mean | ||||||
| Std. Dev. | ||||||
| Skewness | ||||||
| Kurtosis | ||||||
| Observations |
- Do the statistics suggest to you that returns for those risk factors come from the same distribution over the entire period? (5p)
- Make a plot showing the growth of $1 in each of the six “risk factors (portfolios)” over the full sample.(Recall, this is called an “equity curve”). (5p)
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