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# We Helped With This MATLAB Programming Assignment: Have A Similar One?

Category | Programming |
---|---|

Subject | MATLAB |

Difficulty | Graduate |

Status | Solved |

More Info | Help With Matlab |

## Short Assignment Requirements

## Assignment Description

Choose anyone of the problems to solve. Based on the paper or theory provided, use Matlab to analyze. Then write a brief paper to summarize your analyze.

1. Estimating beta on
individual stocks and various size portfolios. Replication of results in Blume,
Marchall. "Portfolio Theory: A Step Towards Its Practical
Application." *Journal of Business*, April 1970.

2. Estimating fundamental beta
and it's predictive power versus historical beta. Replication and extension of
Beaver, W, Kettler, P. and Myron Scholes. "The Assocation between Market
Determined and Accounting Determined Risk Measures." *The Accounting
Review*, October 1970.

3. Estimating Blume's beta.
Replication of results in Blume, Marchall. "Betas and their Regression
Tendencies," *Journal of Finance*, June 1975.

4. Strategy of buying low beta and shorting low beta stocks to create beta=0 portfolio.

Replicate and extend the
results of Black, Jensen, and Scholes. "The *Capital Asset Pricing
Model: Some Empirical Tests*," in Jensen, Studies in the Theory of
Capital Markets. (New York, 1972).

5. Create the Fama-MacBeth
procedure for testing the CAPM. Extend the test by testing for the CAPM
adjusted for taxes. Fama, Eugene and MacBeth, J. "Risk, Return, and
Equilibrium: Empirical Tests," *Journal of Political Economy*,
May/June 1973. Litzenberger, R.H. and Ramaswamy K. "The Effect of Personal
Taxes and Dividends on Capital Asset Prices: Theory and Empirical Evidence," *Journal of Financial Economics*, June 1979.