Expected returns of the Dow Industrials, Fama-French model

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MetadadosDescriçãoIdioma
Autor(es): dc.contributorUniversidade Estadual Paulista (UNESP)-
Autor(es): dc.creatorHamrick, Jeff-
Autor(es): dc.creatorCawley, Jason-
Data de aceite: dc.date.accessioned2019-08-21T18:25:22Z-
Data de disponibilização: dc.date.available2019-08-21T18:25:22Z-
Data de envio: dc.date.issued2016-10-26-
Data de envio: dc.date.issued2016-10-26-
Fonte completa do material: dc.identifierhttp://acervodigital.unesp.br/handle/unesp/365291-
Fonte completa do material: dc.identifierhttp://objetoseducacionais2.mec.gov.br/handle/mec/22615-
Fonte: dc.identifier.urihttp://educapes.capes.gov.br/handle/capes/471497-
Descrição: dc.descriptionIn this Demonstration, we model the expected annual returns of the components of the Dow Jones 30 using the well-known three-factor model of Fama and French. The three factors, which we obtain from Kenneth R. French's web site, are: (1) monthly returns of the market in excess of cash; (2) the average difference between the monthly returns of three portfolios of small-cap stocks and three portfolios of large-cap stocks; and (3) the average difference between the monthly returns of two growth portfolios and two value portfolios. Choose a company from the Dow Industrials and a factor to study. We use "MER" to denote "market excess returns", "SMB" to denote "small minus big", and "VMG" to denote "value minus growth". We show the results of a multiple regression analysis under a two-dimensional plot. This plot features a scatter plot of the stock's returns on the y axis and the chosen factor returns on the x axis, as well as the least-squares linear relationship between the two sets of data that was generated by the multiple regression analysis-
Descrição: dc.descriptionComponente Curricular::Educação Superior::Ciências Exatas e da Terra::Matemática-
Publicador: dc.publisherWolfram Demonstrations Project & Contributors-
Relação: dc.relationExpectedReturnsOfTheDowIndustrialsFamaFrenchModel.nbp-
Direitos: dc.rightsDemonstration freeware using MathematicaPlayer-
Palavras-chave: dc.subjectData analysis-
Palavras-chave: dc.subjectEducação Superior::Ciências Exatas e da Terra::Probabilidade e Estatística::Probabilidade e Estatística Aplicadas-
Título: dc.titleExpected returns of the Dow Industrials, Fama-French model-
Tipo de arquivo: dc.typetexto-
Aparece nas coleções:Repositório Institucional - Acervo Digital Unesp

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