21 Jun Requirements: You need to analyze the data and write a
Requirements:
You need to analyze the data and write a thorough report of your analysis. Please be specific;
irrelevant work will not earn any points.
Mimic tables 1,2,3,4 and 6 from your reading (Kaushik, A. and A. K. Pennathur (2012) “An
Empirical Examination of the Performance of Real Estate Mutual Funds 1990-2008”, Financial
Services Review, 2012, Vol. 21 (4), 343-358.).
Important:
Mimic does not mean you need to get the same numbers as reported in the paper, but to use the
same template. Remember, the dataset provided to you is not identical to that paper’s dataset.
Specifically,
1. Annual descriptive statistics for table 1. (HINT: you have monthly observations and you
need to prepare annual descriptive statistics: the following command can help you to create
a variable that puts together observations belonging to each calendar year:
data X;
set X;
annual = Year (date);
run;
(I just called the dataset X as an example, but you can give your major dataset any name…hope
you will find some interesting name for that dataset than just naming as X. Painted in yellow is the
coding you must apply; again you can call that variable anything. I named it annual, but the
command on the right hand side is a must Year (date);)
2. Run the single factor market model (the CAPM) both overall and per ID.
3. Re-run the CAPM with three additional factors (SMB, HML, and MOM) as done in table
2 of the paper mentioned above.
4. Estimate “rolling betas” and report them. Use time interval from 30 months to 96 months
for each fund. Do it both ways, the CAPM and the 4-factor Carhart (1997) model.
5. Estimate rolling monthly 4-factor alphas (HINT: you will have intercept and beta (all 4
betas) coefficients from the 4-factor model. Merge them with the overall dataset by ID and
estimate alpha. You have read papers so I am sure you are familiar with the four-factor
model. In any case, it is:
(Rit-RFt) = ai + ß1*RMRFt + + ß1*SMBt+ ß1*HMLt+ ß1*MOMt+ ß1*?it
In other words, ai = (Rit-RFt) – ß1*RMRFt + ß2*SMBt+ ß3*HMLt+ ß4*MOMt+ ?it
(HINT HINT…care will be needed when you do merging….)
Attachments:
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