Plot excess returns over time and sampling distribution in Canada and Portugal. Compare and contrast the two graphs in a couple of lines.
computer science
Description
Empirical Assignment, Fall19
Due Dec 8th
Please answer to these questions in an
organized word file and with one submission per team. Make sure you put all
your names in the file. If you don’t have a team you will have to submit
individually. The data you will use is already on Blackboard and is under the
name JSTdatasetR4. If you want to work in R, use my sample code as a basis. You
can also work in Excel; just make sure to answer all questions. I will not give
credit for half-answered questions. Good luck!
1.
Plot
excess returns over time and sampling distribution in Canada and Portugal. Compare
and contrast the two graphs in a couple of lines.
2.
What
is correlation of the two risk premiums in the two countries? Create a
scatterplot.
3.
Compute
the first four moments for excess returns for the two countries and compare in
a couple of lines.
4.
Conduct
a t-test to check if there are statistically significant differences between
the means of the risk premia in the two countries.
5.
Repeat
problems 1 to 4 for dividend yields.
6.
Does
div yield predict stock returns in the Canada? Answer using regression analysis
and use a lag of one year : 
7.
Does
div yield predict stock returns in Portugal? Answer using regression analysis and
use a lag of one year :
8.
What
about other control variables in Canada? Do the results in 6 change? (Add real
gdp per capita growth, trade deficit as a % of nominal gdp, and the term-spread
defined as the difference between variables stir
and ltrate). Discuss measures of fit
and significance of predictors.
9.
What
about other control variables in Portugal? Do the results in 7 change? (Add
real gdp per capita growth, trade deficit as a % of nominal gdp, and the
term-spread defined as the difference between variables stir and ltrate). Discuss
measures of fit and significance of predictors.
10. Is there any evidence that financial
crises play a role in the two risk premiums of the two countries? (Hint use regression
with a dummy variable)
