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Date Excess Return on the Market Small-Minus-Big Return 7/31/2013 0.057 8/30/2013 -0.027 9/30/2013 0.038 10/31/2013 0.042 11/29/2013 0.031 12/31/2013 0.028 1/31/2014 -0.033 2/28/2014 0.047 3/31/2014 0.004 4/30/2014 -0.002 5/30/2014 0.021 6/30/2014 0.026 7/31/2014 -0.020 8/29/2014 0.042 9/30/2014 -0.020 10/31/2014 0.025 11/28/2014 0.026 12/31/2014 -0.001 1/30/2015 -0.031 2/27/2015 0.061 3/31/2015 -0.011 4/30/2015 0.006 5/29/2015 0.014 6/30/2015 -0.015 7/31/2015 0.015 8/31/2015 -0.060 9/30/2015 -0.031 10/30/2015 0.078 11/30/2015 0.006 12/31/2015 -0.022 1/29/2016 -0.058 2/29/2016 -0.001 3/31/2016 0.070 4/29/2016 0.009 5/31/2016 0.018 6/30/2016 -0.001 7/29/2016 0.040 8/31/2016 0.005 9/30/2016 0.003 10/31/2016 -0.020 11/30/2016 0.049 12/30/2016 0.018 1/31/2017 0.019 2/28/2017 0.036 3/31/2017 0.002 0.019 0.003 0.029 -0.015 0.012 -0.005 0.009 0.003 -0.019 -0.043 -0.019 0.031 -0.042 0.004 -0.038 0.042 -0.021 0.025 -0.006 0.005 0.030 -0.030 0.009 0.028 -0.041 0.005 -0.026 -0.020 0.036 -0.028 -0.034 0.008 0.009 0.007 -0.003 0.007 0.027 0.012 0.020 -0.044 0.055 0.001 -0.010 -0.020 0.012 4/28/2017 5/31/2017 6/30/2017 7/31/2017 8/31/2017 9/29/2017 10/31/2017 11/30/2017 12/29/2017 1/31/2018 2/28/2018 3/29/2018 4/30/2018 5/31/2018 6/29/2018 0.011 0.011 0.008 0.019 0.002 0.025 0.023 0.031 0.011 0.056 -0.037 -0.024 0.003 0.027 0.005 0.007 -0.026 0.022 -0.014 -0.017 0.045 -0.019 -0.007 -0.013 -0.030 0.003 0.039 0.011 0.052 0.012 High-Minus-Low Return 0.006 -0.028 -0.012 0.011 0.002 -0.003 -0.021 -0.004 0.051 0.011 -0.003 -0.007 0.000 -0.006 -0.012 -0.017 -0.030 0.021 -0.035 -0.018 -0.005 0.019 -0.014 -0.008 -0.041 0.027 0.005 -0.001 -0.005 -0.026 0.021 -0.005 0.011 0.033 -0.018 -0.015 -0.011 0.033 -0.015 0.042 0.083 0.036 -0.028 -0.018 -0.032 Ahmed, Rommy Alabdullatif, Abdullah Alabdulwahed, Saleh Risk-Free Return ORCL MSFT HON KO CELG 0.000 0.057 -0.078 0.046 -0.001 0.255 0.000 -0.015 0.056 -0.036 -0.047 -0.047 0.000 0.041 -0.004 0.044 -0.001 0.101 0.000 0.014 0.064 0.044 0.045 -0.037 0.000 0.053 0.085 0.026 0.023 0.089 0.000 0.084 -0.019 0.032 0.028 0.044 0.000 -0.032 0.011 -0.002 -0.084 -0.101 0.000 0.060 0.020 0.040 0.010 0.058 0.000 0.046 0.070 -0.018 0.020 -0.132 0.000 0.002 -0.014 0.002 0.055 0.053 0.000 0.028 0.020 0.008 0.003 0.041 0.000 -0.035 0.019 -0.002 0.043 0.122 0.000 0.000 0.035 -0.012 -0.072 0.015 0.000 0.028 0.059 0.042 0.062 0.090 0.000 -0.078 0.020 -0.022 0.030 -0.003 0.000 0.023 0.013 0.032 -0.018 0.130 0.000 0.086 0.025 0.036 0.078 0.062 0.000 0.060 -0.028 0.009 -0.058 -0.016 0.000 -0.066 -0.130 -0.022 -0.025 0.065 0.000 0.046 0.093 0.057 0.052 0.020 0.000 -0.015 -0.073 0.015 -0.056 -0.051 0.000 0.014 0.196 -0.032 0.000 -0.063 0.000 -0.003 -0.030 0.038 0.010 0.059 0.000 -0.073 -0.058 -0.021 -0.034 0.011 0.000 -0.005 0.058 0.030 0.047 0.134 0.000 -0.071 -0.061 -0.050 -0.043 -0.100 0.000 -0.026 0.017 -0.046 0.029 -0.084 0.000 0.079 0.189 0.091 0.056 0.134 0.000 0.003 0.039 0.012 0.014 -0.108 0.000 -0.063 0.021 -0.004 0.008 0.094 0.000 -0.002 -0.007 -0.004 -0.001 -0.162 0.000 0.013 -0.070 -0.012 0.005 0.005 0.000 0.112 0.085 0.106 0.084 -0.007 0.000 -0.022 -0.097 0.020 -0.034 0.033 0.000 0.009 0.070 0.001 -0.004 0.020 0.000 0.018 -0.035 0.022 0.024 -0.065 0.000 0.006 0.108 0.000 -0.038 0.137 0.000 0.004 0.020 0.008 -0.005 -0.049 0.000 -0.047 0.002 -0.001 -0.017 -0.021 0.000 -0.018 0.040 -0.054 0.002 -0.022 0.000 0.046 0.012 0.045 -0.040 0.160 0.000 -0.043 0.031 0.017 0.028 -0.023 0.000 0.047 0.040 0.021 0.003 0.003 0.000 0.062 -0.004 0.058 0.009 0.063 0.000 0.047 0.029 0.003 0.020 0.007 -0.019 -0.038 0.013 -0.003 -0.022 0.030 -0.001 -0.001 0.001 -0.014 -0.012 -0.001 0.005 -0.032 -0.024 0.001 0.001 0.001 0.001 0.001 0.001 0.001 0.001 0.001 0.001 0.001 0.001 0.001 0.001 0.001 0.012 0.010 0.105 0.000 0.008 -0.039 0.057 -0.036 -0.036 0.095 -0.018 -0.097 0.002 0.023 -0.057 0.039 0.026 -0.013 0.055 0.034 -0.004 0.117 0.017 0.016 0.111 -0.009 -0.027 0.025 0.061 -0.002 0.050 0.019 0.002 0.021 0.021 0.025 0.017 0.087 -0.017 0.041 -0.049 -0.044 0.001 0.027 -0.026 0.017 0.054 -0.005 0.022 -0.006 -0.004 0.022 0.003 0.002 0.037 -0.092 0.014 -0.005 -0.005 0.029 -0.003 -0.078 0.135 0.043 0.026 0.050 -0.308 -0.001 0.035 -0.031 -0.139 0.024 -0.024 -0.097 0.009 Alabdulwahed, Saleh Alazemi, Radaan Aldajani, Omar Aldarwish, Hassan Alfrsani, Faris XOM GD GE CHTR GM IBM KMI FB ABBV 0.038 0.097 0.051 0.015 0.077 0.021 0.000 0.479 0.110 -0.064 -0.024 -0.050 -0.034 -0.050 -0.061 0.005 0.122 -0.063 -0.013 0.051 0.041 0.110 0.055 0.016 -0.062 0.216 0.050 0.042 -0.004 0.094 -0.005 0.027 -0.032 0.004 0.000 0.092 0.050 0.058 0.020 0.008 0.048 0.008 0.007 -0.064 0.000 0.083 0.042 0.060 0.012 0.055 0.044 0.013 0.162 0.090 -0.089 0.066 -0.103 0.002 -0.117 -0.058 -0.044 0.145 -0.060 0.051 0.081 0.022 -0.075 0.003 0.053 -0.064 0.094 0.034 0.015 -0.006 0.016 -0.028 -0.041 0.040 0.020 -0.120 0.010 0.048 0.011 0.039 0.100 0.002 0.021 0.018 -0.008 0.021 -0.012 0.079 -0.004 0.056 0.003 -0.056 0.022 0.059 0.043 0.001 -0.013 -0.011 0.106 0.058 -0.017 0.086 0.063 0.039 -0.017 0.007 -0.043 -0.024 -0.068 0.057 0.004 0.080 -0.065 0.012 0.055 0.033 0.015 0.029 0.009 0.119 0.030 0.056 -0.054 0.031 -0.005 -0.035 -0.074 -0.013 -0.048 0.056 0.045 0.028 0.105 0.007 0.046 -0.017 -0.134 0.021 -0.051 0.106 -0.057 0.040 0.026 0.071 0.065 -0.007 0.068 0.036 0.090 0.021 -0.053 -0.037 -0.018 0.053 -0.011 0.023 0.004 -0.054 -0.054 -0.028 -0.055 -0.093 -0.066 -0.044 -0.019 -0.027 -0.070 0.021 0.042 0.098 0.195 0.144 0.063 -0.001 0.040 0.002 -0.040 -0.022 -0.045 0.069 0.013 -0.009 0.026 0.041 -0.032 0.028 0.017 0.091 -0.031 -0.065 0.067 0.033 -0.042 0.113 -0.016 0.021 0.007 -0.043 0.026 -0.002 -0.034 0.005 0.030 -0.023 0.016 -0.017 -0.043 -0.063 -0.041 -0.075 0.083 0.009 -0.048 0.052 -0.018 0.085 -0.055 -0.004 -0.085 0.096 0.050 -0.041 -0.047 -0.049 -0.023 -0.066 -0.079 -0.064 -0.049 -0.109 -0.012 -0.029 0.025 -0.032 0.032 -0.020 -0.146 0.005 -0.128 0.113 0.082 0.147 0.086 0.163 -0.034 0.007 0.134 0.104 -0.004 -0.014 0.035 -0.019 0.037 0.005 -0.138 0.022 -0.024 -0.045 -0.062 0.048 -0.023 -0.051 -0.013 -0.367 0.004 0.019 -0.001 -0.021 -0.066 -0.064 -0.128 -0.093 0.111 0.072 -0.064 0.039 0.019 0.009 0.048 -0.007 0.060 0.100 -0.047 -0.005 0.043 -0.036 0.091 0.127 0.081 0.156 -0.013 0.067 0.046 0.058 0.075 -0.033 0.048 0.012 -0.036 0.001 0.031 0.078 0.015 0.010 -0.017 -0.067 -0.016 0.063 0.018 0.010 0.032 0.053 -0.013 0.049 0.044 -0.083 -0.013 0.035 -0.038 -0.016 -0.051 0.055 -0.011 0.027 0.114 0.058 0.093 0.085 0.079 -0.012 0.036 0.003 0.095 0.012 -0.002 0.075 0.018 -0.032 0.002 0.019 -0.044 0.050 0.007 0.000 0.059 0.017 -0.016 -0.045 -0.024 -0.018 -0.074 -0.005 -0.032 -0.111 0.021 -0.107 0.057 0.163 0.057 0.102 0.093 0.065 0.087 -0.096 0.090 0.034 -0.015 0.035 0.046 0.020 0.023 -0.067 -0.028 0.030 -0.071 0.053 -0.060 0.125 0.051 0.051 0.085 0.133 -0.014 -0.022 0.048 0.012 -0.003 0.006 0.038 -0.046 0.040 0.012 0.008 -0.014 0.000 0.013 -0.030 -0.032 0.020 0.048 0.054 -0.004 -0.005 0.003 -0.009 -0.037 0.074 0.017 0.009 0.004 0.044 -0.124 -0.015 0.042 0.055 0.018 0.040 0.049 -0.025 -0.005 0.026 0.021 -0.009 0.021 -0.018 0.098 0.000 -0.007 -0.084 0.002 -0.076 -0.027 -0.056 -0.005 -0.052 -0.041 -0.005 -0.166 -0.093 -0.039 -0.073 -0.120 -0.045 0.044 0.001 -0.025 0.055 0.001 -0.025 0.163 0.017 -0.088 -0.080 -0.024 0.030 0.123 -0.094 -0.090 -0.128 -0.038 0.123 -0.020 -0.020 0.041 0.030 0.016 0.115 0.064 0.003 -0.040 0.035 -0.072 -0.067 0.011 0.162 -0.068 -0.080 -0.038 0.008 -0.060 -0.001 0.014 0.062 0.009 -0.004 0.067 -0.039 -0.015 -0.055 -0.014 -0.011 -0.045 -0.091 0.021 0.073 -0.054 -0.008 -0.049 -0.049 0.049 0.002 -0.099 -0.070 0.064 0.054 0.059 0.058 0.008 -0.003 0.121 0.016 -0.006 0.054 -0.016 -0.004 0.059 -0.046 -0.104 0.076 0.115 0.013 0.022 0.001 0.098 -0.027 0.077 0.180 0.023 0.074 -0.002 0.168 0.032 -0.183 0.030 0.025 -0.064 PEP Alhashim, Ali Alkhaldi, Khaled Almutairi, Khalid Almutairi, Fahad Alsadaan, Assim MO COP AMGN SLB CVX AAPL TXN CVS 0.021 0.002 0.083 0.098 0.135 0.064 0.141 0.132 0.079 -0.046 -0.034 0.022 0.010 -0.001 -0.035 0.083 -0.025 -0.056 0.004 0.028 0.048 0.027 0.092 0.009 -0.021 0.055 -0.022 0.058 0.084 0.065 0.038 0.061 -0.013 0.096 0.052 0.101 0.004 -0.007 -0.007 -0.014 -0.057 0.029 0.070 0.022 0.075 -0.011 0.051 -0.030 0.000 0.023 0.020 0.009 0.021 0.069 -0.031 -0.083 -0.081 0.043 -0.028 -0.106 -0.108 -0.028 -0.050 -0.004 0.030 0.034 0.048 0.067 0.042 0.057 0.060 0.080 0.050 0.046 0.058 -0.005 0.048 0.031 0.020 0.049 0.024 0.029 0.072 0.056 -0.094 0.042 0.056 0.099 -0.030 -0.025 0.028 0.036 0.085 0.043 0.025 -0.013 0.078 0.034 0.077 0.019 0.021 0.072 0.021 0.138 0.063 0.028 0.017 -0.038 -0.014 -0.032 -0.029 0.076 -0.081 -0.010 0.029 -0.026 0.017 0.050 0.061 -0.016 0.099 0.015 0.010 0.077 0.042 0.040 0.014 0.078 -0.058 0.008 -0.073 -0.078 -0.017 -0.010 0.002 0.033 0.052 -0.048 0.155 -0.030 0.005 0.072 0.048 0.082 0.041 0.040 -0.084 0.023 -0.129 -0.083 0.106 0.096 0.065 -0.049 -0.009 0.045 -0.036 -0.002 0.030 -0.072 -0.018 0.054 -0.008 0.078 -0.088 -0.044 -0.035 -0.086 0.061 0.006 0.023 0.055 0.060 0.047 0.041 0.028 0.051 0.100 0.100 0.058 -0.027 -0.102 -0.045 0.014 -0.009 -0.016 -0.031 -0.027 -0.006 -0.005 0.001 0.091 -0.012 0.134 0.058 0.006 -0.046 -0.035 0.014 0.023 -0.052 -0.005 -0.041 -0.063 0.045 0.032 0.031 -0.025 -0.035 -0.036 -0.018 -0.045 -0.063 -0.037 -0.079 0.024 0.032 0.112 -0.168 0.150 -0.039 -0.083 -0.033 -0.023 0.076 -0.035 -0.015 -0.024 -0.136 -0.060 -0.073 -0.066 -0.043 -0.090 0.022 0.026 -0.024 -0.089 -0.109 -0.026 -0.022 0.035 -0.058 0.084 0.112 0.128 0.144 0.133 0.152 0.083 0.153 0.027 -0.020 -0.047 0.013 0.023 -0.007 0.017 -0.006 0.025 -0.047 0.005 0.020 -0.136 0.008 -0.096 -0.015 -0.110 -0.057 0.039 -0.006 0.050 -0.163 -0.059 0.036 -0.039 -0.075 -0.027 -0.008 -0.015 0.008 -0.128 -0.062 -0.001 -0.023 -0.001 0.002 0.006 0.055 0.027 0.190 0.054 0.028 0.143 0.127 0.083 0.068 0.005 0.001 0.187 0.056 0.089 0.071 -0.140 0.000 -0.027 -0.017 0.015 -0.078 0.004 -0.044 -0.001 0.071 0.062 -0.040 0.055 0.092 -0.004 -0.037 0.036 0.038 -0.043 0.034 -0.007 0.028 -0.018 -0.058 0.131 0.018 -0.022 0.090 0.119 -0.027 -0.013 -0.024 0.006 -0.006 -0.019 -0.008 0.024 -0.003 0.007 0.019 -0.034 0.059 -0.019 0.002 0.023 0.066 0.009 -0.047 -0.014 0.046 0.005 -0.154 -0.005 0.018 0.004 0.010 -0.050 -0.059 -0.033 0.117 0.028 0.074 0.075 -0.022 0.051 -0.086 0.045 0.067 0.033 0.015 0.005 0.055 0.048 -0.013 0.026 -0.008 0.053 -0.028 0.072 -0.003 -0.054 0.048 0.042 0.005 0.064 0.053 -0.019 0.134 -0.034 0.020 0.134 0.014 0.022 0.020 -0.039 0.048 -0.071 -0.028 -0.046 0.049 0.051 -0.026 0.013 0.039 -0.012 0.010 -0.001 -0.037 -0.011 0.064 0.029 0.003 -0.088 0.002 -0.075 0.002 0.086 0.005 0.051 -0.005 -0.128 -0.024 0.011 0.013 0.056 0.063 -0.015 -0.105 0.001 -0.100 -0.007 0.031 -0.039 -0.062 -0.016 0.038 -0.038 0.146 0.027 -0.005 0.079 0.071 -0.072 0.092 0.105 0.033 0.033 -0.005 -0.042 0.109 0.013 0.025 0.049 -0.060 0.009 -0.010 0.070 -0.005 -0.072 0.023 0.037 0.028 -0.071 -0.034 -0.054 0.042 -0.074 0.106 -0.083 -0.018 0.080 0.092 -0.101 -0.013 0.058 0.002 -0.017 -0.006 -0.020 0.008 0.047 -0.004 0.092 -0.014 0.036 0.052 0.001 -0.098 0.019 0.097 0.002 0.017 0.000 0.068 -0.057 0.033 0.107 -0.060 0.097 0.020 -0.015 -0.011 0.068 -0.058 -0.015 0.135 -0.009 -0.011 0.042 -0.067 0.064 0.018 0.082 0.086 0.006 0.073 0.056 -0.012 -0.041 -0.024 0.109 -0.015 0.057 -0.068 0.047 0.000 -0.032 0.051 -0.151 0.118 -0.054 0.092 -0.139 -0.082 0.131 -0.092 0.015 Alsadaan, Assim Altami, Saad Arno, Christopher Azzarello, Lane Bader, Alexander UTX PG SO CAT CL BMY BA ABT LMT 0.136 0.051 0.016 0.012 0.051 -0.025 0.026 0.054 0.108 -0.047 -0.030 -0.060 -0.004 -0.035 -0.036 -0.007 -0.090 0.029 0.077 -0.030 -0.011 0.010 0.026 0.110 0.131 -0.004 0.042 -0.015 0.076 0.006 0.007 0.097 0.142 0.111 0.105 0.045 0.049 0.043 -0.007 0.015 0.017 -0.022 0.032 0.045 0.072 0.027 -0.033 0.012 0.073 -0.009 0.041 0.017 0.004 0.049 0.002 -0.051 0.016 0.041 -0.056 -0.060 -0.082 -0.038 0.015 0.031 0.027 0.027 0.033 0.026 0.076 0.035 0.085 0.084 -0.002 0.025 0.038 0.025 0.032 -0.034 -0.027 -0.032 0.006 0.013 0.032 0.043 0.067 0.043 -0.029 0.028 0.012 0.006 -0.013 -0.021 -0.033 -0.030 0.016 -0.007 0.054 0.033 0.005 -0.007 -0.027 0.037 0.063 -0.003 -0.025 -0.059 0.022 -0.018 -0.089 -0.008 -0.034 -0.066 -0.065 0.051 -0.053 0.035 0.039 0.033 0.075 0.026 0.083 0.021 0.001 0.059 0.003 0.050 -0.022 0.008 -0.017 -0.092 0.008 0.010 0.005 -0.015 0.050 0.013 0.050 0.074 0.031 0.031 0.144 -0.019 0.053 0.043 0.034 0.036 0.023 -0.008 0.041 0.015 0.081 0.021 0.013 0.045 0.007 0.035 -0.090 -0.006 0.006 -0.033 0.011 0.005 -0.002 -0.068 0.033 -0.119 -0.019 0.021 0.118 0.000 -0.022 0.068 0.010 -0.087 0.037 0.049 0.011 0.044 0.058 0.070 -0.039 -0.037 -0.033 -0.035 -0.021 0.059 -0.005 -0.022 0.015 -0.029 -0.022 0.000 0.094 -0.024 -0.006 -0.045 0.007 -0.081 0.036 -0.014 -0.002 -0.018 -0.007 0.014 -0.013 0.047 0.017 -0.053 -0.002 -0.041 -0.006 -0.021 0.030 -0.013 0.010 -0.012 -0.096 -0.011 0.068 -0.064 0.046 -0.008 0.039 0.038 0.114 -0.080 -0.079 -0.017 -0.028 -0.077 -0.094 -0.087 -0.107 -0.021 -0.029 0.018 0.030 -0.145 0.010 0.002 0.002 -0.112 0.030 0.106 0.071 0.009 0.129 0.052 0.114 0.131 0.120 0.060 -0.017 -0.020 0.000 -0.005 -0.010 0.016 -0.012 0.003 0.004 0.000 0.061 0.051 -0.065 0.014 0.032 -0.006 0.000 -0.009 -0.087 0.037 0.046 -0.073 0.019 -0.096 -0.169 -0.151 -0.028 0.109 -0.017 -0.004 0.088 -0.028 -0.004 -0.007 0.024 0.031 0.036 0.025 0.074 0.131 0.076 0.038 0.074 0.080 0.026 0.043 -0.018 -0.032 0.025 0.009 0.130 0.062 -0.064 0.049 -0.030 0.011 -0.002 -0.067 -0.007 -0.007 -0.056 0.019 0.024 0.020 0.045 0.085 0.046 0.040 0.031 0.029 -0.008 0.051 0.050 0.019 -0.002 0.102 0.022 0.022 0.029 0.145 0.018 -0.005 0.020 -0.030 -0.010 -0.001 -0.233 -0.023 -0.061 -0.032 -0.045 0.028 -0.001 0.083 -0.003 -0.060 0.018 0.006 -0.013 0.006 -0.025 0.005 -0.051 -0.032 -0.049 0.081 -0.066 0.028 0.060 -0.050 -0.081 0.145 -0.086 0.109 0.065 -0.030 0.084 0.018 0.020 0.051 -0.030 0.003 0.035 0.034 0.009 -0.058 0.000 0.050 0.005 0.040 -0.007 -0.152 0.050 0.094 0.006 0.032 0.040 0.039 0.010 0.130 0.154 0.112 0.079 0.068 -0.003 -0.013 -0.020 -0.040 0.003 -0.041 -0.019 -0.015 0.004 0.060 0.025 0.007 -0.029 0.016 -0.030 0.032 0.020 0.050 0.082 -0.019 -0.066 -0.045 0.045 0.002 -0.020 0.009 -0.011 0.050 0.016 -0.014 -0.043 0.042 0.021 -0.053 -0.091 0.010 -0.078 0.011 0.067 0.000 0.028 -0.054 0.001 0.019 0.018 0.062 -0.008 -0.061 -0.062 -0.033 0.037 0.033 -0.013 0.031 0.111 0.031 0.019 0.068 0.031 0.061 0.095 0.039 0.116 0.038 -0.050 -0.047 -0.015 0.052 -0.107 -0.010 0.060 -0.029 -0.021 -0.008 0.017 -0.027 0.028 0.041 -0.011 -0.071 0.039 -0.084 -0.033 0.027 0.038 -0.037 0.033 0.028 0.063 0.054 -0.027 0.025 -0.030 0.028 0.058 -0.045 -0.169 0.009 0.052 0.045 0.023 0.054 0.226 -0.006 0.061 0.015 0.078 0.065 0.202 0.027 -0.095 0.017 0.061 -0.047 -0.011 0.046 0.065 0.017 0.036 0.048 0.021 0.039 0.012 0.094 -0.029 -0.007 -0.025 0.058 -0.009 0.007 0.050 -0.013 0.052 0.052 0.016 0.000 0.042 0.006 0.105 -0.001 -0.041 -0.051 -0.013 -0.061 EXC 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COST BLK UPS MET MDLZ ACN 0.085 0.028 0.084 0.062 0.098 0.004 0.058 0.096 0.026 -0.067 0.027 -0.069 -0.045 -0.071 -0.007 -0.040 -0.019 -0.021 0.113 0.055 0.040 0.029 0.040 0.068 0.016 0.029 0.019 0.164 -0.024 0.017 0.025 0.112 0.075 0.008 0.071 0.011 0.081 0.033 0.054 0.066 0.012 0.048 0.109 -0.004 0.054 0.013 0.027 0.049 -0.051 0.045 0.026 0.033 0.057 0.061 -0.101 -0.020 -0.074 -0.056 -0.051 -0.094 -0.090 -0.072 -0.028 0.010 0.176 0.018 0.042 0.015 0.013 0.039 0.039 0.043 -0.071 -0.026 -0.016 -0.044 0.038 0.017 0.042 0.019 -0.044 -0.096 0.031 -0.025 0.036 -0.043 0.012 -0.009 0.032 0.018 0.028 0.033 0.003 0.006 0.013 0.061 -0.020 0.055 0.015 0.039 -0.024 0.048 -0.007 0.055 -0.012 0.091 0.003 -0.007 -0.036 -0.056 0.032 0.024 -0.047 -0.054 -0.053 -0.042 -0.019 0.083 0.116 0.039 0.030 0.091 0.009 0.047 0.005 0.022 -0.049 -0.051 0.025 0.035 -0.007 0.010 -0.019 -0.049 0.003 -0.053 0.059 0.035 0.064 0.039 0.067 0.010 0.029 0.010 0.109 0.078 -0.005 0.068 0.053 0.054 0.032 0.112 0.064 -0.084 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0.003 0.064 0.038 0.010 -0.012 0.067 0.053 0.064 0.030 0.094 -0.022 -0.009 -0.037 0.024 -0.060 0.001 -0.006 0.044 -0.003 0.044 0.050 -0.021 0.040 -0.019 0.069 -0.173 0.002 0.084 0.031 -0.085 -0.019 -0.016 0.086 0.001 -0.043 0.109 0.031 0.009 -0.058 -0.049 -0.031 -0.006 0.039 -0.026 -0.052 0.045 0.035 -0.069 0.019 -0.076 0.005 0.019 0.036 0.002 0.037 -0.011 -0.044 -0.053 -0.006 0.050 0.022 0.026 -0.006 0.042 0.015 0.033 0.064 0.040 0.034 0.050 0.002 -0.047 -0.006 0.030 0.050 Teynor, Keaton Thompson, Denzel Whitesel, Christiana NFLX CMCSA FOXA FOX MA PM V 0.158 0.084 0.032 0.029 0.064 0.030 0.161 -0.066 0.049 0.047 -0.007 -0.064 0.089 0.077 0.074 0.068 0.110 0.049 0.043 0.055 0.017 0.018 0.067 0.029 0.134 0.048 -0.017 -0.029 0.061 -0.040 0.006 0.046 0.050 0.048 0.098 0.030 0.112 0.048 -0.095 -0.097 -0.093 -0.103 0.089 -0.051 0.054 0.042 0.027 0.035 -0.210 -0.028 -0.043 -0.040 -0.039 0.023 -0.085 0.034 0.002 0.006 -0.014 0.043 0.297 0.009 0.106 0.100 0.039 0.036 0.054 0.033 -0.007 -0.007 -0.039 -0.037 -0.041 0.001 -0.099 -0.075 0.011 -0.027 0.130 0.018 0.118 0.088 0.022 0.044 -0.055 -0.013 -0.028 -0.029 -0.025 -0.014 -0.129 0.029 0.006 -0.004 0.134 0.067 -0.118 0.031 0.067 0.066 0.042 -0.023 -0.014 0.017 0.044 0.043 -0.013 -0.052 0.293 -0.080 -0.137 -0.137 -0.046 -0.015 0.075 0.117 0.055 0.069 0.099 0.034 -0.123 -0.045 -0.029 -0.030 -0.041 -0.080 0.336 0.023 0.007 0.014 0.046 0.108 0.121 0.012 -0.014 0.003 0.023 -0.005 0.053 0.033 -0.031 -0.036 0.013 -0.023 0.218 0.038 0.060 0.040 0.044 0.067 0.006 -0.097 -0.206 -0.175 -0.052 -0.067 -0.102 0.010 -0.009 -0.016 -0.024 0.007 0.050 0.105 0.138 0.141 0.100 0.114 0.138 -0.028 -0.038 -0.030 -0.011 -0.011 -0.073 -0.073 -0.080 -0.091 -0.006 0.018 -0.197 -0.008 -0.007 -0.005 -0.084 0.024 0.017 0.036 0.002 0.002 -0.024 0.011 0.094 0.058 0.037 0.044 0.087 0.089 -0.119 -0.001 0.085 0.068 0.028 0.000 0.139 0.042 -0.046 -0.029 -0.011 0.006 -0.108 0.030 -0.063 -0.068 -0.082 0.041 -0.003 0.036 -0.015 -0.008 0.084 -0.014 0.068 -0.030 -0.079 -0.081 0.015 -0.003 0.011 0.017 -0.006 0.003 0.053 -0.017 0.267 -0.064 0.085 0.067 0.053 -0.008 -0.063 0.124 0.070 0.063 -0.045 -0.085 0.058 -0.003 -0.002 -0.029 0.010 0.048 0.137 0.092 0.119 0.138 0.032 0.051 0.010 -0.008 -0.047 -0.054 0.039 0.138 0.040 0.005 0.089 0.089 0.018 0.042 Zapadka, Kyle UNH -0.031 0.113 -0.013 -0.015 0.096 0.002 0.029 -0.047 0.037 0.091 0.094 0.015 -0.033 -0.040 0.051 0.069 -0.045 0.065 -0.061 -0.085 0.062 0.061 -0.019 0.031 0.001 -0.009 0.009 0.069 0.004 -0.001 0.132 0.102 0.071 0.038 0.016 0.029 -0.028 0.051 0.066 0.069 -0.036 0.044 0.010 -0.058 0.042 0.079 -0.022 0.019 0.122 -0.005 -0.052 -0.047 -0.023 0.007 0.114 0.015 0.020 -0.043 -0.018 0.048 -0.039 -0.021 -0.026 0.034 0.057 0.086 0.010 0.022 0.024 0.015 -0.060 0.061 0.052 0.014 0.038 -0.050 0.022 0.034 -0.002 0.010 -0.061 0.125 0.009 0.011 0.060 0.013 0.065 0.020 0.011 -0.005 0.030 0.071 -0.084 0.216 -0.038 0.038 0.083 -0.045 0.023 0.408 0.078 0.014 0.058 0.125 0.113 0.047 0.064 -0.063 0.039 0.004 -0.052 -0.060 0.042 0.067 0.066 -0.149 -0.056 -0.076 -0.007 0.052 -0.057 -0.112 0.045 0.027 -0.052 -0.037 -0.009 0.221 0.081 0.069 -0.002 0.001 -0.004 0.054 0.289 -0.060 -0.099 0.036 0.029 -0.055 -0.042 -0.013 0.224 0.095 0.069 -0.002 0.004 -0.008 0.058 0.291 0.036 0.056 -0.012 0.054 0.043 0.059 0.055 0.011 0.006 0.118 0.040 -0.003 0.019 0.066 0.034 -0.018 0.081 -0.011 -0.006 0.002 -0.041 -0.057 -0.018 0.039 0.015 -0.034 -0.030 -0.175 -0.030 0.029 0.026 0.046 -0.015 0.062 0.041 0.017 0.045 0.026 0.013 0.090 -0.009 -0.027 0.061 0.032 0.013 0.066 0.002 0.063 0.034 0.037 -0.012 0.073 0.089 -0.034 0.074 -0.045 -0.050 0.105 0.022 0.020 Investments | Project 2 Using the data contained in the Project 2 Data file on Blackboard, estimate the Fama and French 3-factor model for each of the two stocks assigned to you. The file contains monthly returns of the risk-free asset, the excess returns of the market index, the returns on the small-minus-big and highminus-low factor mimicking portfolios and the monthly returns of different stocks. You need to estimate the model only for the two stocks that appear under your name. If you are unsure how to estimate or interpret the model, follow the steps in the Project 2 Example file on Blackboard. Prepare a professional report with the items in the following order: 1) Start a Microsoft Word file for your report. 2) First, add a description of your companies and their main line of business to your report. In addition, report the following (search for your tickers in Yahoo Finance and look under the Statistics tab): a. Market Capitalization (Market Cap) of your companies. b. Price-to-Book Ratio (Price/Book) of your companies. 3) Second, answer the following questions based on your regression results and add to your report: a. What are the alphas of your stocks? If either is not statistically significant at the 5% level, then indicate so. b. What are the size factor betas of your stocks? If either is not statistically significant at the 5% level, then indicate so. c. What are the value factor betas of your stocks? If either is not statistically significant at the 5% level, then indicate so. d. Which stock had a stronger exposure to the size factor? e. Which stock had a stronger exposure to the value factor? f. Are the differences in the size and value factor betas of your stocks consistent with the differences in their Market Cap and Price/Book? Note that Price/Book is the opposite of Book-to-Market Ratio. 4) Third, clearly label your regression output with the stock ticker for each of your two stocks and then add it to your report. DO NOT include the raw data used in you analysis! 5) Print the Microsoft Word file and submit in class on the due date. Date Excess Return on the Market Small-Minus-Big Return High-Minus-Low Return 7/31/2013 0.057 0.019 0.006 8/30/2013 -0.027 0.003 -0.028 9/30/2013 0.038 0.029 -0.012 10/31/2013 0.042 -0.015 0.011 11/29/2013 0.031 0.012 0.002 12/31/2013 0.028 -0.005 -0.003 1/31/2014 -0.033 0.009 -0.021 2/28/2014 0.047 0.003 -0.004 3/31/2014 0.004 -0.019 0.051 4/30/2014 -0.002 -0.043 0.011 5/30/2014 0.021 -0.019 -0.003 6/30/2014 0.026 0.031 -0.007 7/31/2014 -0.020 -0.042 0.000 8/29/2014 0.042 0.004 -0.006 9/30/2014 -0.020 -0.038 -0.012 10/31/2014 0.025 0.042 -0.017 11/28/2014 0.026 -0.021 -0.030 12/31/2014 -0.001 0.025 0.021 1/30/2015 -0.031 -0.006 -0.035 2/27/2015 0.061 0.005 -0.018 3/31/2015 -0.011 0.030 -0.005 4/30/2015 0.006 -0.030 0.019 5/29/2015 0.014 0.009 -0.014 6/30/2015 -0.015 0.028 -0.008 7/31/2015 0.015 -0.041 -0.041 8/31/2015 -0.060 0.005 0.027 9/30/2015 -0.031 -0.026 0.005 10/30/2015 0.078 -0.020 -0.001 11/30/2015 0.006 0.036 -0.005 12/31/2015 -0.022 -0.028 -0.026 1/29/2016 -0.058 -0.034 0.021 2/29/2016 -0.001 0.008 -0.005 3/31/2016 0.070 0.009 0.011 4/29/2016 0.009 0.007 0.033 5/31/2016 0.018 -0.003 -0.018 6/30/2016 -0.001 0.007 -0.015 7/29/2016 0.040 0.027 -0.011 8/31/2016 0.005 0.012 0.033 9/30/2016 0.003 0.020 -0.015 10/31/2016 -0.020 -0.044 0.042 11/30/2016 0.049 0.055 0.083 12/30/2016 0.018 0.001 0.036 1/31/2017 0.019 -0.010 -0.028 2/28/2017 0.036 -0.020 -0.018 3/31/2017 0.002 0.012 -0.032 4/28/2017 0.011 0.007 -0.019 5/31/2017 6/30/2017 7/31/2017 8/31/2017 9/29/2017 10/31/2017 11/30/2017 12/29/2017 1/31/2018 2/28/2018 3/29/2018 4/30/2018 5/31/2018 6/29/2018 0.011 0.008 0.019 0.002 0.025 0.023 0.031 0.011 0.056 -0.037 -0.024 0.003 0.027 0.005 -0.026 0.022 -0.014 -0.017 0.045 -0.019 -0.007 -0.013 -0.030 0.003 0.039 0.011 0.052 0.012 -0.038 0.013 -0.003 -0.022 0.030 -0.001 -0.001 0.001 -0.014 -0.012 -0.001 0.005 -0.032 -0.024 Risk-Free Return 0.00000 0.00000 0.00000 0.00000 0.00000 0.00000 0.00000 0.00000 0.00000 0.00000 0.00000 0.00000 0.00000 0.00000 0.00000 0.00000 0.00000 0.00000 0.00000 0.00000 0.00000 0.00000 0.00000 0.00000 0.00000 0.00000 0.00000 0.00000 0.00000 0.00010 0.00010 0.00020 0.00020 0.00010 0.00010 0.00020 0.00020 0.00020 0.00020 0.00020 0.00010 0.00030 0.00040 0.00040 0.00030 0.00050 GOOGL 0.008 -0.046 0.034 0.177 0.028 0.058 0.054 0.029 -0.083 -0.042 0.069 0.023 -0.009 0.005 0.010 -0.035 -0.033 -0.034 0.013 0.047 -0.014 -0.011 -0.006 -0.010 0.218 -0.015 -0.015 0.155 0.035 0.020 -0.021 -0.058 0.064 -0.072 0.058 -0.061 0.125 -0.002 0.018 0.007 -0.042 0.021 0.035 0.030 0.003 0.090 0.00060 0.00060 0.00070 0.00090 0.00090 0.00090 0.00080 0.00090 0.00110 0.00110 0.00120 0.00140 0.00140 0.00140 0.068 -0.058 0.017 0.010 0.019 0.061 0.003 0.017 0.122 -0.066 -0.060 -0.018 0.080 0.027 1) We are going to estimate Fama and French 3 factor model for a stock, specifically GOOGL. According to the model, the depended variable is the excess return on the stock (GOOGL) and the independent variables are the excess return on the market, the return of the small-minus-big factor mimicking portfolio, and the return of the high-minus-low factor mimicking portfolio. 2) Our independent variable are already given to us. We will need excess returns of the stock. Let's calculate excess returns of GOOGL in column J. 3) We can now estimate the regressions. First, we need to make sure that we have the data analysis module. Under the Data tab, you should have the Data Analysis button on the far right of the ribbon. If you do not, go to File, then Options and then Add-ins. Select the Analysis ToolPak and click Go. Put a check mark next to Analysis ToolPak when a dialog box appears, click OK. 4) To estimate the regression, click Data Analysis under the Data tab and select Regression when a dialog box appears. Set up the regression for GOOGL as shown in the screenshot below. When you click OK, regression results will appear on a new sheet. 5) Look at the sheet titled GOOGL to learn where to find alpha, market beta, size beta, and value beta. GOOGL Excess Return 0.008 -0.046 0.034 0.177 0.028 0.058 0.054 0.029 -0.083 -0.042 0.069 0.023 -0.009 0.005 0.010 -0.035 -0.033 -0.034 0.013 0.047 -0.014 -0.011 -0.006 -0.010 0.218 -0.015 -0.015 0.155 0.035 0.020 -0.022 -0.058 0.063 -0.072 0.058 -0.061 0.125 -0.002 0.018 0.007 -0.042 0.021 0.035 0.030 0.003 0.090 0.067 -0.059 0.016 0.009 0.018 0.060 0.002 0.016 0.121 -0.067 -0.062 -0.019 0.079 0.025 GOOGL Regression Statistics Multiple R R Square Adjusted R Square Standard Error Observations 0.63824375 0.407355084 0.375606249 0.047096152 60 ANOVA df Regression Residual Total Intercept Excess Return on the Market Small-Minus-Big Return High-Minus-Low Return 3 56 59 SS 0.085376326 0.124210664 0.20958699 MS 0.028458775 0.002218048 Coefficients Standard Error t Stat 0.004232635 0.006524889 0.648690633 1.062008581 0.213518363 4.973851266 -0.612626432 0.250743724 -2.44323735 -0.836663147 0.264810499 -3.159478765 alpha market beta size factor beta * value factor beta ** F 12.83055227 P-value 0.519189778 6.57759E-06 0.017734333 0.00254852 p-value of alpha p-value of market beta p-value of size factor beta p-value of value factor beta * The higher the size factor beta, the stronger the exposure of the stock to the size factor. We ** The higher the value factor beta, the stronger the exposure of the stock to the value factor. Significance F 1.72002E-06 Lower 95% Upper 95% Lower 95.0% Upper 95.0% -0.00883829 0.017303559 -0.00883829 0.017303559 0.634279902 1.489737261 0.634279902 1.489737261 -1.11492647 -0.110326394 -1.11492647 -0.110326394 -1.367142321 -0.306183974 -1.367142321 -0.306183974 alpha is significant at the 5% level if its p-value is less that 0.05 market beta is significant at the 5% level if its p-value is less than 0.05 size factor beta is significant at the 5% level if its p-value is less than 0.05 value factor beta is significant at the 5% level if its p-value is less than 0.05 ck to the size factor. We would also expect smaller firms (measured by Market Cap) to have stronger exposure to the size factor. stock to the value factor. We would also expect firms with low Price-to-Book ratio to have stronger exposure to the value factor. e to the size factor. to the value factor.
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Explanation & Answer

Review the completed work attached below. The screenshot is proof that the author was not changed as required. The excel file contains the analyzed data while the word document contains the report.

Date
Excess Return on the Market
Small-Minus-Big Return
7/31/2013
0.057
8/30/2013
-0.027
9/30/2013
0.038
10/31/2013
0.042
11/29/2013
0.031
12/31/2013
0.028
1/31/2014
-0.033
2/28/2014
0.047
3/31/2014
0.004
4/30/2014
-0.002
5/30/2014
0.021
6/30/2014
0.026
7/31/2014
-0.020
8/29/2014
0.042
9/30/2014
-0.020
10/31/2014
0.025
11/28/2014
0.026
12/31/2014
-0.001
1/30/2015
-0.031
2/27/2015
0.061
3/31/2015
-0.011
4/30/2015
0.006
5/29/2015
0.014
6/30/2015
-0.015
7/31/2015
0.015
8/31/2015
-0.060
9/30/2015
-0.031
10/30/2015
0.078
11/30/2015
0.006
12/31/2015
-0.022
1/29/2016
-0.058
2/29/2016
-0.001
3/31/2016
0.070
4/29/2016
0.009
5/31/2016
0.018
6/30/2016
-0.001
7/29/2016
0.040
8/31/2016
0.005
9/30/2016
0.003
10/31/2016
-0.020
11/30/2016
0.049
12/30/2016
0.018
1/31/2017
0.019
2/28/2017
0.036
3/31/2017
0.002
4/28/2017
0.011

0.019
0.003
0.029
-0.015
0.012
-0.005
0.009
0.003
-0.019
-0.043
-0.019
0.031
-0.042
0.004
-0.038
0.042
-0.021
0.025
-0.006
0.005
0.030
-0.030
0.009
0.028
-0.041
0.005
-0.026
-0.020
0.036
-0.028
-0.034
0.008
0.009
0.007
-0.003
0.007
0.027
0.012
0.020
-0.044
0.055
0.001
-0.010
-0.020
0.012
0....


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