Choose one of the 25 portfolios and answer the questions below.
Question 1 (10 points)
Describe briefly your selected portfolio and report descriptive statistics for it and the factors. These statistics should be in a nicely formatted table within the main text, with Eviews output in the Appendix. Briefly comment on these statistics.
Question 2 (20 points)
Estimate the CAPM model for your selected series using OLS in Eviews. Comment in detail on your regression output. State/interpret the magnitude and statistical significance of the slope coefficient estimates and the statistical significance and fit of the overall regression.
Question 3 (30 points)
Estimate the CAPM model for your selected series using quantile regression in Eviews for a set of quantiles ranging from 0.1 to 0.9. Comment in detail on your regression output. State/interpret the magnitude and statistical significance of the quantile slope coefficient estimates and compare them with the OLS estimates in Question 2. Perform an equality coefficient test across quantiles.
Question 4 (20 points)
Estimate the Carhart 4-factor model for your selected series using OLS in Eviews. Comment in detail on your regression output. State/interpret the magnitude and statistical significance of the slope coefficient estimates and the statistical significance and fit of the overall regression.
Question 5 (20 points)
Estimate the Carhart 4-factor model for your selected series using stepwise regression in Eviews. Comment in detail on your regression output. State/interpret the magnitude and statistical significance of the slope coefficient estimates and compare them with the estimates in Question 4.
