CRSP

Estimate an appropriate CAPM model describing the return of the mutual funds as a function of some or all factors

Question: (a)Estimate an appropriate CAPM model describing the return of the mutual funds as a function of some or all factors above: CRSP index, 1-month T-Bill,ExRm, SMB, HML, MoM andTradedLIQ. Carry out and report the necessary statistical tests to justify the choice of your specification. Discuss any found issues with respect to omitted variable bias. […]

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