只知道收益率和市场指数，testing ff三因子模型的代码问题

1610

收藏 2015-07-19

只有以下数据，真心没有头绪……希望高手来给个思路，谢谢。

a）Estimate the Fama-French three-factor model and interpret the estimation results. (Note: The data for three factors can be obtainedfrom Ken French’s website：http://mba.tuck.dartmouth.edu/pages/faculty/ken.french/data library.html）

b）Perform the test for each stock:H0 : αi = 0, i = 1, 2, · · · , 5.

c）Perform the joint test for all stocks:H0 :α1 =α2 =···=α5 =0

Monthly returns for five stocks, the market index and the monthly risk-free rate in 2009
DATE	_11691	_11908	_13303	_13987	_17137	mktret	RF(%)	Mkt-RF
2009-1-30	-0.1205	0.1139	-0.1373	-0.1603	-0.0179	-0.0812	0	-0.0812
2009-2-27	-0.1332	0.0848	-0.1981	-0.1012	-0.7082	-0.0910	0.01	-0.0911
2009-3-31	0.0128	-0.0368	0.0922	0.0028	1.0208	0.1095	0.02	0.1093
2009-4-30	0.3999	0.1217	0.2110	-0.0084	0.1649	0.1119	0.01	0.1118
2009-5-29	-0.0591	0.0957	-0.3716	0.0085	-0.0619	0.0521	0	0.0521
2009-6-30	-0.0529	0.0194	-0.0138	-0.0294	0.2972	0.0143	0.01	0.0142
2009-7-31	0.2466	0.1086	-0.0745	-0.0090	-0.0909	0.0872	0.01	0.0871
2009-8-31	-0.0070	-0.1426	0.0044	0.0262	1.0240	0.0433	0.01	0.0432
2009-9-30	0.1181	0.1904	-0.0051	0.0456	-0.1542	0.0508	0.01	0.0507
2009-10-30	-0.1016	-0.0185	-0.0746	-0.0302	-0.0981	-0.0259	0	-0.0259
2009-11-30	0.0706	-0.0051	0.1000	0.0810	-0.0440	0.0556	0	0.0556
2009-12-31	0.1205	0.0121	0.0359	-0.0654	-0.0569	0.0375	0.01	0.0374

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