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c. Perform a test and discuss your findings for whether the means are statistically different from zero for the excess stock returns and the three factor returns (Mkt_RF (this is called ‘the excess market return’), SMB, HML); d. Also compute the 95% confidence interval for the means of excess stock returns and the three factor returns; e. Calculate the correlation coefficient matrix between the excess stock return and the three factor returns (Mkt_RF, SMB, HML) and the NBER recession dummy;

c. Perform a test and discuss your findings for whether the means are statistically different from zero for the excess stock returns and the three factor returns (Mkt_RF (this is called ‘the excess market return’), SMB, HML); d. Also compute the 95% confidence interval for the means of excess stock returns and the three factor returns; e. Calculate the correlation coefficient matrix between the excess stock return and the three factor returns (Mkt_RF, SMB, HML) and the NBER recession dummy;

MATLAB: An Introduction with Applications
MATLAB: An Introduction with Applications
6th Edition
ISBN:9781119256830
Author:Amos Gilat
Publisher:Amos Gilat
Chapter1: Starting With Matlab
Section: Chapter Questions
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c. Perform a test and discuss your findings for whether the means are statistically different from zero for the excess stock returns and the three factor returns (Mkt_RF (this is called ‘the excess market return’), SMB, HML);


d. Also compute the 95% confidence interval for the means of excess stock returns and the three factor returns;


e. Calculate the correlation coefficient matrix between the excess stock return and the three factor returns (Mkt_RF, SMB, HML) and the NBER recession dummy;

(d) Variable obs мean std. Err. [95% conf. Interval] ESR 275 .0013146 .0052003 -.0089231 .e115523 Mkt_RF SMB 276 e.0064 e.0028 e.0009 e.0119 276 e.0019 e.0020 -0.0020 e.0058 HML 276 0.0012 0.0020 -0.0027 0.0050 (е) ESR Mkt_RF SMB HML USREC ESR 1.0000 Mkt_RF 0.6139 1.0000 SMB 0.0885 0.2870 1.0000 HML -0.0093 -0.2046 -0.2518 1.0000 USREC -0.1062 -e.0668 0.0887 e.0406 1.0000
Transcribed Image Text:(d) Variable obs мean std. Err. [95% conf. Interval] ESR 275 .0013146 .0052003 -.0089231 .e115523 Mkt_RF SMB 276 e.0064 e.0028 e.0009 e.0119 276 e.0019 e.0020 -0.0020 e.0058 HML 276 0.0012 0.0020 -0.0027 0.0050 (е) ESR Mkt_RF SMB HML USREC ESR 1.0000 Mkt_RF 0.6139 1.0000 SMB 0.0885 0.2870 1.0000 HML -0.0093 -0.2046 -0.2518 1.0000 USREC -0.1062 -e.0668 0.0887 e.0406 1.0000
(c) . ttest ESR=0 one-sample t test Variable Obs Mean std. Err. std. Dev. [95% conf. Interval] ESR 275 .0013146 .0052003 .8862379 -.0089231 .0115523 mean = mean (ESR) Ho: mean = e 0.2528 degrees of freedom - 274 Ha: mean < e Ha: mean !- e Ha: mean > e Pr(T < t) = 0.5997 Pr(|T| > It|) - 0.8006 Pr(T > t) = 0.4003 . ttest Mkt_RF==0 one-sample t test variable obs Mean std. Err. std. Dev. [95% conf. Interval] Mikt_RF 276 .0064127 .0027987 .0464961 .000903 .0119223 mean = mean (Mkt_RF) t = 2.2913 Ho: mean = e degrees of freedom - 275 Ha: mean < e Ha: mean I.e Ha: mean > e Pr(T < t) = 0.9886 Pr(|T| > |t|) = 0.0227 Pr(T > t) - 0.0114 . ttest SMB0 one-sample t test variable Obs Mean std. Err. std. Dev. [95% conf. Interval1] SMB 276 .0019424 .001981 .03291 -.0019574 .0058421 mean- mean (SMB) t 0.9805 HO: mean- e degrees of freedom- 275 Ha: mean <e Pr(T < t) - 0.8362 Ha: mean t. e Ha: mean > e Pr(IT| > Itl) - 0.3277 Pr(T > t) - 0.1638 . ttest HML0 one-sample t test variable Obs Mean std. Err. std. Dev. [95% conf. Interval] HML 276 .0011703 .0019634 .0326183 -.0026949 .0050355 t. 0.5961 mean- mean (HML) HO: mean- e degrees of freedon- 275 Ha: mean e Pr(|T| > |t|) - 0.5516 Ha: mean > e Pr(T > t) - 0.2758 Ha: mean <e Pr(T < t) - 0.7242
Transcribed Image Text:(c) . ttest ESR=0 one-sample t test Variable Obs Mean std. Err. std. Dev. [95% conf. Interval] ESR 275 .0013146 .0052003 .8862379 -.0089231 .0115523 mean = mean (ESR) Ho: mean = e 0.2528 degrees of freedom - 274 Ha: mean < e Ha: mean !- e Ha: mean > e Pr(T < t) = 0.5997 Pr(|T| > It|) - 0.8006 Pr(T > t) = 0.4003 . ttest Mkt_RF==0 one-sample t test variable obs Mean std. Err. std. Dev. [95% conf. Interval] Mikt_RF 276 .0064127 .0027987 .0464961 .000903 .0119223 mean = mean (Mkt_RF) t = 2.2913 Ho: mean = e degrees of freedom - 275 Ha: mean < e Ha: mean I.e Ha: mean > e Pr(T < t) = 0.9886 Pr(|T| > |t|) = 0.0227 Pr(T > t) - 0.0114 . ttest SMB0 one-sample t test variable Obs Mean std. Err. std. Dev. [95% conf. Interval1] SMB 276 .0019424 .001981 .03291 -.0019574 .0058421 mean- mean (SMB) t 0.9805 HO: mean- e degrees of freedom- 275 Ha: mean <e Pr(T < t) - 0.8362 Ha: mean t. e Ha: mean > e Pr(IT| > Itl) - 0.3277 Pr(T > t) - 0.1638 . ttest HML0 one-sample t test variable Obs Mean std. Err. std. Dev. [95% conf. Interval] HML 276 .0011703 .0019634 .0326183 -.0026949 .0050355 t. 0.5961 mean- mean (HML) HO: mean- e degrees of freedon- 275 Ha: mean e Pr(|T| > |t|) - 0.5516 Ha: mean > e Pr(T > t) - 0.2758 Ha: mean <e Pr(T < t) - 0.7242
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