Hafsa Hassan; 20120037, Property Pricing Project No . 2 Due Date: fourteenth Dec 2012 This conventional paper examines the monthly info on the value-weighted total results (with dividends) on 25 Fama-French portfolios, from This summer 1926 to Sep 2012 to categorized by size and BE/ME value, through the K The french language Data Collection, and performs the Fama-Macbeth (1973) CAPM test on size and value effects. The average go back and normal deviations are shown in Table I actually: Table I: Average comes back and standard deviations of the 25 portfolios, from 07/1926 to 09/2012. There are a total of 1035 observations. | Portfolios| 1(Low)| 2| 3| 4| your five (High)| 6(Low)| 7| 8| 9| 10(High)| Mean Return| 0. 73| 1 . 09| 1 . 30| 1 . 45| 1 . 67| 0. 87| 1 . 23| 1 . 31| 1 . 36| 1 . 47| Standard dev. | doze. 19| 12. 54| 9. 19| almost eight. 61| on the lookout for. 54| 7. 96| six. 85| six. 32| six. 59| eight. 72| Portfolios| 11(Low)| 12| 13| 14| 15 (High)| 16(Low)| 17| 18| 19| 20(High)| Indicate Return| zero. 96| 1 . 16| 1 ) 26| 1 ) 28| 1 . 42| zero. 98| 1 ) 03| 1 . 13| 1 . 22| 1 . 33| Common dev. | 7. 63| 6. 59| 6. 74| 6. 81| 8. 60| 6. 23| 6. 28| 6. 40| 6. 99| 8. 94| Portfolios| 21(Low)| 22| 23| 24| twenty-five (High)| | | | | | Mean Return| 0. 89| 0. 89| 0. 94| 0. 99| 0. 06| | | | | | Standard dev. | 5. 46| 5. 22| 5. 73| 6. 88| 13. 19| | | | | | Fig, 1: Typical returns vs Portfolio (1-25)| Fig a couple of: Standard deviation vs Portfilio No . | Fig. 3: Stand. dev against Average returns| | |

Average returns are positive over the 97 year period, and vary from $0. summer to $1. 67. Normal deviations often be greater, from your five. 3 to 13. a couple of, but this is expected as we have a large period. Fig. 1 shows that low size (ME) portfolios generally have lower mean returns than large size kinds, but not any similarly good trend is usually observed to get standard deviations. It is known, in Fig. 3, that excluding the three portfolios with all the largest common deviations, normal returns are likely to be bigger for portfolios with bigger standard deviations.

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