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Q3 ( 15 points) Consider the monthly simple returns of CRSP Decile 1, 2, 5, 9, and 10 portfolios based on the market capitalization of NYSE/AMEX/NASDAQ
Q3 ( 15 points) Consider the monthly simple returns of CRSP Decile 1, 2, 5, 9, and 10 portfolios based on the market capitalization of NYSE/AMEX/NASDAQ. The data span is from January 1961 to September 2011. For the return series of Decile 2 and Decile 10, (A) Compute the sample mean, standard deviation, skewness, minimum, and maximum of each series.
(B) Test the null hypothesis that the first 12 lags of autocorrelations are 0 at the 5% level. Draw your conclusion.
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