成果文案部分乙.pdfVIP

Part B Time period is 1944~2003. Spreadsheet excess return of all stocks. Then calculate market variance, covariance between market excess return and stocks excess return. Next calculat a of CPAM. Also, calculat a of Fema-­­French three factors. Get table and graph as follows, level CAPITALIZATION SMALL TO BIG excess return CAPM Fema--­French 1 1.0342 0. 0. . 0. 0. 3 0. 0. 0. . 0. 0. 5 0. 0. 0. level BOOK TO MARKET RATIO LOW TO HIGH excess return CAPM Fema--­French 1 3. --­0. 0. 2 3. 0. 0. 3 4. 1. 0. 4 4. 1. 1. 5 5. 2. 0. BOOK TO MARKET RATIO LOW TO HIGH 6 y = 0.5517x + 2.7547 5 R² = 0.9968 4 3 excess return R² = 0.95321 2 ben arked by CAPM ben arked by three factor 1 R² = 0.67848 0 1 2 3 4 5 As for Book-­­to--­Market Ratio, when only consider excess return to risk asset, high book--­to-­­market ratio outperform a lot then low one, which can be 2