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Problem 5 Using monthly data for 1950:01 to 2020:12 (862 observations) from Kenneth French’s Data Library, the sample me
Posted: Wed May 11, 2022 11:14 am
by answerhappygod
- Problem 5 Using Monthly Data For 1950 01 To 2020 12 862 Observations From Kenneth French S Data Library The Sample Me 1 (97.74 KiB) Viewed 25 times
Problem 5 Using monthly data for 1950:01 to 2020:12 (862 observations) from Kenneth French’s Data Library, the sample mean return for the "high- minus-low" value factor is 0.310%, while the sample standard deviation is 2.698%. (a) Compute the annualized sample mean, volatility, and Sharpe ratio for the value factor return. (6) Is the average value factor return (i.e., "value risk premium") signifi- cantly different from zero? (c) Construct a 90% confidence interval for the value risk premium. a