The work has to be done in groups of 3 students. Include the name of each group member, along with the university ID, on the first page of the submitted document. Answers must be typed. Make sure you present your results, including the regression analysis and the graphs, in an organized fashion.
Download the file VW_5_OP_Mkt_Rf_Monthly_196910_201909.xlsx from Canvas. It contains monthly returns for five value-weighted portfolios from October 1969 to September
2019. The portfolios are formed using all stocks traded at NYSE, NASDAQ, and AMEX.
A proxy for the level of operating profitability (OP) is computed for each stock. Then, the
stocks are sorted according to OP and are split evenly into 5 groups (quintiles).1 Portfolio
LO contains the lowest OP quintile stocks whereas portfolio HI contains the highest OP
quintile stocks. Portfolios QNT2, QNT3, and QNT4 are formed in the obvious fashion using
the remaining stocks. The provided file also contains market returns (MKT)2 and T-bill
rates (RF). Note that all returns are expressed in percentage points.
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