Tuhotel - 5 points

1. Your assistant has run a market model (empirical CAPM) regression to analyze the monthly returns of a company called MIRESTO. 

The results are as follows:

Intercept = 0.43% (p-value=0.04)

i. MIRESTO has delivered returns that are

ii. MIRESTO can be considered as

iii. Both regression coefficients are

2. To answer to this question, please make use of the data in tab "Tuhotel" of the Excel file.

Run a regression to estimate the Fama-French coefficients of company TUHOTEL. Given the regression outputs from the Fama-French model, TUHOTEL can be categorized as

3. For each of the following statements, determine if it is correct or wrong.

i. Macro risk factor models are always better than style risk factor models.

ii. Style risk factor models are always better than macro risk factor models.

iii. The R-squared measures whether the model fits well to the observed data.

iv. The R-squared measures whether the constant is necessary or not in the model.

v. Two models with different dependent variables but the same explanatory (independent) variables should have the same R-squared.

vi. In the empirical (regression form) CAPM, the constant is the risk free rate.

4. You are planning to use the following formula for estimating the variance for tomorrow:

You know that the ANNUAL EMWA volatility and DAILY return yesterday were 20% and 1% respectively. Additionally, you know that the DAILY return today is 4%. What is the ANNUAL volatility predicted for tomorrow?