Choose the Stock of a US or Canadian Corporation.
2. Download its stock price series daily data over a period of at least two years (most recent).
3. Compute the stock returns.
4. Download the market index where your corporation is trading (daily data two years). 5. Compute the market return.
6. Download the 3 months T-Bills rate (either Canadian or US, daily data for two years).
7. Create two variables: The dependent variable (Rj-Rf) and the independent variable (Rm-Rf).
8. Run CAPM: (Rj-Rf) on (Rm-Rf) and get an estimate of beta, the systematic risk.
9. Download two more independent variables: MV: which is the market capitalisation for stock i; and BTM which is the ratio of its book value to its market value of equity (daily over two years)
10. Re-run the Fama-French Model 11. Check for Heteroscedasticity
12. Check for Autocorrelation
13. Check for Multicollinearity 14. Perform the ADF, PP and KPSS unit root tests on all the variables and make sure that they are all stationary.
1. Overview of the corporation chosen (1-2 page) 2. Theoretical overview/description of the CAPM and Fama French Models plus the regression results and analysis (2-3 pages) 3. Conclusion and recommendation. (1-2 pages)