QUESTIONS 1) [15 marks] In the Excel dataset file column B contains gross monthly percentage returns on a portfolio of US stocks (denoted by rp), column C contains gross monthly returns on the market portfolio (denoted by rm) and column D contains monthly returns on the risk-free asset (denoted by rf). Columns E, F and G contain values for three further variables denoted by SMB, HML and MOM, which are used in later questions. a) Import these data into EViews with the same variable names as in the Excel file (e.g. rp, rm, etc.). b) Generate two new series named rp_ex and rm_ex containing the excess returns above the risk-free rate for the industry portfolio and the market portfolio respectively (i.e. the portfolio returns minus the risk-free asset returns). c) In EViews Calculate the following descriptive statistics for rp_ex and rm_ex: mean, standard deviation, skewness and kurtosis. Insert a table containing these values in the box below. d) In the same box, briefly interpret the sample values of the descriptive statistics in your table (mean, SD, skewness and kurtosis) and explain what they imply about excess returns on the two portfolios.
date RF -4 1.64 4.77 -1.03 1.26 -1.01 -01 -5.76 -5.93 1.21 443 1.88 1.41 8.93 4.17 3.56 1.72 -2.43 -6.41 -7.71 6.80 3.54 -1.14 -1.34 -2.98 -0.54 5.37 -1.44 -2.16 -0.71 5.72 4.67 12.15 10.78 3.33 9.85 744 6.87 -2.78 -2.44 -4.94 -0.89 4.4 -2.93 -2.13 0.93 8.91 8 58 6.26 IP Jan-81 Fcb-81 Mar-81 Apr-81 May-81 Jun-81 Jul 81 Aug-81 Sept-81 Oct-81 Nov-81 Dec-81 Jan-2 Feb-82 Mar-2 Apr-82 May-82 Jun-82 Jul-82 Aug-82 Sept-82 Oct-82 Nov-82 Dec-82 Jan-83 Feb-83 Mar-83 Apr-83 May-83 Jun-R3 Jul-83 Aug-83 Sept-83 Oct-83 Nov-83 Dee-83 Jan.84 Feb-84 Mar 84 Apo-84 May-84 Jun-84 Jul-84 Aug-84 Sept-84 Oct-84 Nov-84 Dec-84 Jan-85 Feb-85 Mar 85 Ap.85 May-85 Jun-RS Jul as Aug-85 Sept.85 Oct.85 Nov-8S SMB HML MOM 1.04 2.92 6.72 -7.95 1.07 -0.34 1.02 -1.35 1.21 3.54 0.64 0.74 1.08 44 2.28 -0.91 1.15 2 -0.42 3.7 1.35 -0.83 5.13 -5.81 1.24 -2.18 -0.49 -2.45 1.28 -1.94 4.79 -1.15 1.24 -2.65 5.17 1.95 2.23 -4.21 4.01 1.07 -1.03 1.85 -0.27 0.87 1.2 0.82 1.3 08 -1.28 3.19 1.72 0.92 044 6.05 4.88 0.98 -0.21 3.83 2.96 1.13 1.47 -2.7 -0.4 1.06 0.52 1.76 2.5 0.96 -0.4 1.53 4.96 1.05 0.83 0.09 4.44 0.76 -4.13 0.93 -1.52 0.51 2.96 0.27 4.19 0.59 235 -3.67 0.18 0.63 4.66 -1.85 5.94 0.67 -0.25 0.01 0.04 0.69 2.71 -0.71 -1.74 0.62 3.28 0.7 3.78 0.63 1.74 2.01 0.71 0.49 051 1.72 0.69 -1.42 -1.56 0.67 0.95 -3.91 1.8 0.74 1.49 5.62 -3.11 0.76 -4.27 5.54 -5.43 0.76 0.62 1.01 -0.03 0.76 -3.57 4.97 4.52 0.7 2.02 -0.73 -0.13 0.73 -0.27 1.7 0.84 0.76 -0.37 7.57 -2.56 0.71 -1.69 3.34 0.22 0.73 0.07 0.47 1.07 0.81 -1.16 1.19 2.07 0.78 0.07 0.29 1.51 0.75 -0.31 -2.66 -0.7 0.82 -2.21 0.33 2.83 0.81 -0.24 -1.8 -5.59 0.18 5.23 3.62 1 -1.23 0.47 0.73 -0.63 4.04 164 0.64 -0.56 -0.25 1.49 0.65 3.3 -5.33 -6.82 0.58 08 -0.1 1.88 0.62 -1.07 4.07 1.58 0.72 0.15 3.72 3.04 0.66 -2.22 -0.94 3.99 0.55 0.56 0.47 3.57 0.62 2.85 -1.6 -3.91 0.55 -0.31 2.28 1.85 0.6 -1.59 1.29 1.51 0.65 -1.51 0.75 4.88 0.61 0.25 -2.84 -0.47 11.9 1.8 11.89 53 1.22 4.29 3.21 3.45 7.38 1.21 3.74 -3.33 0.26 1.67 -2.68 2.86 -1.05 - 1.16 4.11 1.36 0.3 -5.19 2.57 -1.92 11.11 0.06 0.16 -1.03 2.48 8.64 1.8 -0.22 -0.24 5.75 1.82 -0.12 -0.47 -3.94 4.67 7.09 5.14 -0.03 -1.53 0.86 -5.10 2.98 -1.52 1.69 -5.14 1.27 -1.25 -4.04 1.77 4.28 8.48 0.83 -2.21 0.86 3.15 0.08 12.35 5.32 -1.93 -0.83 2.49 0.34 2.18 -0.23 -5.09 2.08 5.31
5.31 3.86 321 6.07 5.00 1.23 -1.54 0.44 -0.77 -0.37 -2.36 -0.21 13 4.7 3.51 3.22 4.45 -0.14 -7.43 1.74 4.64 2.63 -0.20 -2.97 11.30 7.29 3.82 -1.71 -0.07 0:36 -3.16 3.26 Nov-85 Dec-85 Jan-86 Feb.86 Mar 86 Apr 86 May.86 Jun-86 Jul-86 Aug-86 Sept-86 Oct-86 Nov-86 Dec-86 Jan-87 Feb-87 Mar 87 Apr 87 May-87 Jun-87 Jul 87 Aug-87 Sept-87 Oct-87 Nov-87 Dec 87 Jan-88 Feb-88 Mar Apr 88 May- Jur-88 Jul-88 Aug-88 Sept-88 Oct 88 Nov.sk Doe- Jan-89 Feb-29 Mar-29 Apr-89 May 89 Jun-89 Jul 89 Aug-89 Sept-89 Oct-89 Nov-89 Dec-89 Jan-90 Feb.90 Mar-90 Apr-90 May-90 Jun-90 Jul-90 Aug-90 Sept-90 Oct-90 No.90 221 -0.78 -28.19 -3.00 3.51 7.15 7.62 5.52 1.89 -1.56 6.16 0.33 -2.00 2.29 -1.23 -369 3.66 5.65 1.23 3.20 3.40 2.80 -1.00 3.10 1.86 -0.25 -5.27 -0.64 -1.18 -5.10 2.34 738 -1.83 5.12 1.27 -739 -11.58 -7.75 -5.59 403 7.09 4.53 1.21 7.66 5.48 -0.79 5.11 1.55 -5.93 6.53 -8.15 5.12 1.56 -2.78 12.89 4.82 2.11 -1.67 0.49 442 4.31 3.99 -2.14 -22.64 -742 72 45 5.21 -1.83 1.02 0.22 5.28 -0.74 2.72 3.92 1.76 -1.72 2.12 6.65 -1.64 2.24 5 4.14 -0.64 79 2.18 -0.11 -2.99 1.72 1.77 -7.28 1.68 2.47 -2.67 9.1 -0.46 - 1.22 -9.49 -5.52 -1.24 692 0.61 0.65 0.56 0:53 0.6 052 0.49 0.52 0.52 0.46 0.45 0.46 0.39 0.49 0.42 0.43 0 47 0.44 0.38 0.48 0.46 0.47 0.45 0.6 035 0.39 0.29 0.46 0.44 0.46 0.51 0.49 0.51 0.59 0.62 0.61 0.57 0.63 055 0.61 0.67 0.67 0.79 0.71 0.7 0.25 -0.51 1.21 -0.56 -0.58 2.78 -1.35 -0.95 -3.36 -4.17 2.36 -2.5 -1.91 0.13 -1.81 3.49 0.45 -1.69 -0.5 -2.12 -0.66 -0.77 0.56 -84 2.75 0.12 -0.76 3.34 6.14 0.98 -2.61 2.1 -0.26 0.04 -13 -2.92 -1.71 1.97 -2.22 2.82 0,67 -0.68 -0.05 -1102 -4.16 0.56 0.32 -3.24 -1.34 -5.91 1.61 -0.39 0.23 1.04 0.73 -0.95 03 423 2.96 4.39 4.95 -1.60 0.74 163 2.42 -1.22 2.17 2.1 -0.75 1.69 13 -1.61 0.62 0.93 0.54 -1.4 0.87 2.23 -2.79 0.6 -1.27 -1.11 -1.09 0.16 O.RS 0.64 -2.92 -2.59 -0.47 -0.23 3 2.76 2.41 -0.365 205 507 185 -52 -5.79 4.46 -0.26 0.35 22 -207 168 0.22 -0.74 -0.25 266 -0.86 0.77 -786 1.17 5.87 -7.27 -1.47 0.5 2.24 0.63 -2.93 0165 0.13 0.27 1.33 0.33 0.49 -0.16 0.99 3.51 1.77 1.52 043 5.39 -0.12 3.4 1.32 26 28 -3.27 -0.54 18 2.39 3.03 24 6.14 188 5.78 0.74 0.65 0.68 0.69 0.61 0.57 0.57 0.64 0.69 0.68 0.63 0.68 0.66 0.6 0.68 057 - 125 0.97 1.46 -0.45 -2.56 1.36 300 -3.56 -3.67 -5.53 045 -1.93 -0.04 16 0.61 0 997 6.71 .54
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COURSEWORK COURSEWORK QUESTIONS 1) [15 marks] In the Excel dataset file column B contains gross monthly percentage returns on a por
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