| dc.contributor | Universidade Estadual Paulista (UNESP) | |
| dc.creator | Hamrick, Jeff | |
| dc.creator | Cawley, Jason | |
| dc.date | 2016-10-26T17:57:03Z | |
| dc.date | 2016-10-26T17:57:03Z | |
| dc.date.accessioned | 2017-04-06T12:15:11Z | |
| dc.date.available | 2017-04-06T12:15:11Z | |
| dc.identifier | http://acervodigital.unesp.br/handle/unesp/365291 | |
| dc.identifier | http://objetoseducacionais2.mec.gov.br/handle/mec/22615 | |
| dc.identifier.uri | http://repositorioslatinoamericanos.uchile.cl/handle/2250/961573 | |
| dc.description | In 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 | |
| dc.description | Componente Curricular::Educação Superior::Ciências Exatas e da Terra::Matemática | |
| dc.publisher | Wolfram Demonstrations Project & Contributors | |
| dc.relation | ExpectedReturnsOfTheDowIndustrialsFamaFrenchModel.nbp | |
| dc.rights | Demonstration freeware using MathematicaPlayer | |
| dc.subject | Data analysis | |
| dc.subject | Educação Superior::Ciências Exatas e da Terra::Probabilidade e Estatística::Probabilidade e Estatística Aplicadas | |
| dc.title | Expected returns of the Dow Industrials, Fama-French model | |
| dc.type | Otro | |
