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Behavioral Economics & Finance

Assignment #5

1. (3 points; Test EMH) First, download the Fama-French three factors (daily, monthly, and annual from 2015 to 2024) from Kenneth French's data library (https://mba.tuck.dartmouth.edu/pages/faculty/ken.french/data library.html). To get market returns, simply add up 'Mkt-RF' and 'RF', For market returns of each frequency, estimate an autoregression model of order 1, i.e. AR(1) as follows

Based on the results of estimation, do you reject or not reject the Efficient Market Hypothesis?