Tutorial
Autor: Yi Pan • June 29, 2016 • Coursework • 1,550 Words (7 Pages) • 638 Views
Report for the Group Project of Fina2320
Group Number
31
Team Members
Dai Yuxiao
Tang Yilan
Pan Yi
Luo Andi
Subclass Day
Friday
The University of Hong Kong
Nov 30, 2015
Catalogue
1) The excess returns of KATE and DISNEY from Dec. 2004 to Dec. 20143
2) Summary statistics for the monthly excess return data of KATE and DISNEY6
3) The statistical test of single-index model for KATE and DISNEY and the interpretation of results8
4) The categorization for KATE and DISNEY in terms of the firms’ type9
5) The statistical test of Fama-French Three-Factor Model for KATE and DISNEY and the interpretation of results 10
1)
The excess returns of KATE and DISNEY from Dec. 2004 to Dec. 2014 are shown in the form below:
Date | Excess return of KATE | Excess Return of DIS |
2005-1-3 | -0.007996528 | 0.028256097 |
2005-2-1 | 0.008321633 | -0.02570048 |
2005-3-1 | -0.053400141 | 0.026174807 |
2005-4-1 | -0.119219426 | -0.083199986 |
2005-5-2 | 0.059023413 | 0.036993968 |
2005-6-1 | 0.056554866 | -0.084661289 |
2005-7-1 | 0.044129152 | 0.015868516 |
2005-8-1 | -0.015604996 | -0.020550771 |
2005-9-1 | -0.044576817 | -0.044980352 |
2005-10-3 | -0.107481203 | 0.007246202 |
2005-11-1 | -0.010607021 | 0.019879185 |
2005-12-1 | 0.023749559 | -0.031487635 |
2006-1-3 | -0.034209122 | 0.052403287 |
2006-2-1 | 0.035995762 | 0.10248709 |
2006-3-1 | 0.133685556 | -0.007272702 |
2006-4-3 | -0.050696075 | -0.001090325 |
2006-5-1 | -0.012619937 | 0.086544438 |
2006-6-1 | -0.045634283 | -0.020393542 |
2006-7-3 | -0.050141415 | -0.014333318 |
2006-8-1 | 0.054565492 | -0.005547379 |
2006-9-1 | 0.053165158 | 0.038395748 |
2006-10-2 | 0.063224793 | 0.013693658 |
2006-11-1 | 0.010883575 | 0.046340452 |
2006-12-1 | 0.012608173 | 0.042304382 |
2007-1-3 | 0.017229081 | 0.021862253 |
2007-2-1 | 0.009353360 | -0.029958842 |
2007-3-1 | -0.050594264 | 0.000955612 |
2007-4-2 | 0.039240652 | 0.011574303 |
2007-5-1 | -0.227117784 | 0.009050467 |
2007-6-1 | 0.071237918 | -0.013124115 |
2007-7-2 | -0.061908867 | -0.037391915 |
2007-8-1 | -0.030217927 | 0.01398175 |
2007-9-4 | 0.001482548 | 0.020311961 |
2007-10-1 | -0.173896181 | 0.003778773 |
2007-11-1 | -0.120211859 | -0.046137467 |
2007-12-3 | -0.191619882 | -0.018425446 |
2008-1-2 | 0.073575625 | -0.077688581 |
2008-2-1 | -0.186517841 | 0.084825996 |
2008-3-3 | 0.019109802 | -0.033480338 |
2008-4-1 | -0.027144244 | 0.03166086 |
2008-5-1 | -0.011686844 | 0.03427767 |
2008-6-2 | -0.191276131 | -0.073128527 |
2008-7-1 | -0.077825034 | -0.028743575 |
2008-8-1 | 0.243642602 | 0.064597734 |
2008-9-2 | 0.012071938 | -0.052813672 |
2008-10-1 | -0.504756213 | -0.156551103 |
2008-11-3 | -0.644358201 | -0.131137497 |
2008-12-1 | -0.087719298 | 0.022651363 |
2009-1-2 | -0.153846154 | -0.088585284 |
2009-2-2 | 0.268081818 | -0.189171564 |
2009-3-2 | -0.114895341 | 0.082686097 |
2009-4-1 | 0.918928340 | 0.205847075 |
2009-5-1 | -0.050632911 | 0.10593604 |
2009-6-1 | -0.360100000 | -0.036846411 |
2009-7-1 | 0.097122222 | 0.076625229 |
2009-8-3 | 0.344836709 | 0.03652425 |
2009-9-1 | 0.159900000 | 0.054431436 |
2009-10-1 | 0.164300203 | -0.003277481 |
2009-11-2 | -0.273519164 | 0.104128601 |
2009-12-1 | 0.350019904 | 0.079380812 |
2010-1-4 | -0.134991119 | -0.083720937 |
2010-2-1 | 0.418891170 | 0.057191182 |
2010-3-1 | 0.075153256 | 0.117377647 |
2010-4-1 | 0.176212248 | 0.055185023 |
2010-5-3 | -0.298727002 | -0.092933944 |
2010-6-1 | -0.311682382 | -0.057550594 |
2010-7-1 | 0.123122749 | 0.069423798 |
2010-8-2 | -0.114024051 | -0.034234721 |
2010-9-1 | 0.447519048 | 0.017109567 |
2010-10-1 | 0.006478947 | 0.091440825 |
2010-11-1 | 0.194344444 | 0.01041751 |
2010-12-1 | -0.020619836 | 0.038527289 |
2011-1-3 | -0.310155866 | 0.036157016 |
2011-2-1 | 0.040385830 | 0.1251895 |
2011-3-1 | 0.048538132 | -0.014960602 |
2011-4-1 | 0.166975881 | 0.000232041 |
2011-5-2 | 0.038155803 | -0.034106623 |
2011-6-1 | -0.180704441 | -0.062214787 |
2011-7-1 | 0.196261682 | -0.010758272 |
2011-8-1 | -0.184475000 | -0.118173458 |
2011-9-1 | -0.042145594 | -0.114503862 |
2011-10-3 | 0.602000000 | 0.156498699 |
2011-11-1 | 0.032459426 | 0.027809542 |
2011-12-1 | 0.043530834 | 0.063590669 |
2012-1-3 | 0.077636153 | 0.037333397 |
2012-2-1 | 0.051612903 | 0.0794344 |
2012-3-1 | 0.366053170 | 0.042629199 |
2012-4-2 | 0.002994012 | -0.015303759 |
2012-5-1 | -0.106816418 | 0.060210822 |
2012-6-1 | -0.103592314 | 0.06103696 |
2012-7-2 | 0.032618826 | 0.013195869 |
2012-8-1 | 0.195748375 | 0.006615546 |
2012-9-4 | -0.035571698 | 0.056702047 |
2012-10-1 | -0.140945070 | -0.060543792 |
2012-11-1 | 0.097349909 | 0.010893565 |
2012-12-3 | 0.033095021 | 0.017914225 |
2013-1-2 | 0.212851406 | 0.082144962 |
2013-2-1 | 0.198013245 | 0.013177417 |
2013-3-1 | 0.043670481 | 0.040483593 |
2013-4-1 | 0.092161128 | 0.106338044 |
2013-5-1 | 0.042191996 | 0.003819254 |
2013-6-3 | 0.039553281 | 0.001109756 |
2013-7-1 | 0.066248881 | 0.023752953 |
2013-8-1 | 0.000839631 | -0.059087423 |
2013-9-3 | 0.054110696 | 0.060167659 |
2013-10-1 | 0.054118625 | 0.06357572 |
2013-11-1 | 0.232918082 | 0.028429889 |
2013-12-2 | -0.018064911 | 0.096444643 |
2014-1-2 | -0.105082601 | -0.049607337 |
2014-2-3 | 0.192334488 | 0.112932054 |
2014-3-3 | 0.083869051 | -0.009157266 |
2014-4-1 | -0.062550553 | -0.009116985 |
2014-5-1 | 0.047167098 | 0.058860595 |
2014-6-2 | 0.047514392 | 0.02059279 |
2014-7-1 | -0.008127871 | 0.001632849 |
2014-8-1 | -0.145122964 | 0.046576585 |
2014-9-2 | -0.188930118 | -0.009457068 |
2014-10-1 | 0.034311819 | 0.026395618 |
2014-11-3 | 0.180611875 | 0.012365968 |
2014-12-1 | -0.014673744 | 0.045441647 |
...