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.