fbpx

Finance Investment Assignment/ Professional Essay Writers

You would like to evaluate the historical relationship between value-oriented and growth-oriented stocks that form the basis for the risk factors in the Fama-French multifactor model. The proxies you choose are the Russell 1000 Value Index (.RLV)and the Russell 1000 Growth Index (.RLG), respectively.

Don't use plagiarized sources. Get Your Assignment on
Finance Investment Assignment/ Professional Essay Writers
Just from $13/Page
Order Now

Custom Assignment Help

1. Download weekly price information for the five-year period from January 01, 2014, to December 31, 2018, for each index.

2. For each index, calculate the set of weekly returns that correspond to these weekly price series.

3. Calculate the average weekly return and the return standard deviation for each index series. Which equity investment style (i.e., value versus growth) appears to have been the most successful over this sample period?

4. Suppose that you are considering forming a fund employing a strategy of always being long in value stocks and short in growth stocks. Evaluate the potential success of this strategy by taking the difference in returns between the value and growth indexes you analyzed above. What is the average return and return standard deviation for the return differential series?

Custom Assignment Help

5. Plot the return differential series you calculated in Part d, using the return differential on the vertical axis and time on the horizontal axis. What do you conclude about the viability of the “long value, short growth” investment strategy? Can HML be a factor?

2. It is proposed to use another alternative to check the relevance of the HML factor. Using an appropriate regression model to check whether the HML factor calculated above, explain the weekly returns of the following securities during the same period :

a. Tesla, Inc. (TSLA).

b. Alphabet Inc. (GOOG).

c. Walmart Inc. (WMT). Get Finance Help Today

Calculate your paper price

Pages(550 words)

Approximate price:-