Analysis cross-section of six Stock Returns

Six Stock: Loblaw Companies Ltd, BMO, BCE Inc, PJT Partners Inc, AirIQ Inc, Sunora Foods Inc. Download the data for 6 stocks you have selected along with the TSX composite index, TSX60 index and TSX Small Cap Index for last 20 years. Hints: Download monthly price data from Yahoo! Prepare a graph or graphs showing price moment of indices and the stocks you have selected. Use the adjusted closing price (why?). • Compute the returns from price data. Hints: you can use the following formula to compute returns: 1. Return = Ln(Price Week2/Price Week 1) … Recommended 2. Or, Return = (Price Week2/Price Week1)-1 • Compute the summary (descriptive) statistics of the return series and present in a table. Hints: Summary statistics must include at least mean, median and standard deviation! • Are small cap stocks providing higher returns? Develop null and alternate hypotheses and perform a statistical test to answer this question. Hints: rather than using individual stocks, you can simply use TSX 60 index returns and Small Cap Index returns to address this question! • Are these blue-chip stocks and small-cap stocks are coming from the same universe? Provide an appropriate statistical test. Hints: You may compare the average returns of these two categories of stocks with overall market index returns. • Fama-French three factors and five-factors are largely used factors in financial research. Now download the five-factors data for North-America (as they don’t have data for Canada alone) from Ken French’s website. Propose a multifactor model and estimate the model. Data website: http://mba.tuck.dartmouth.edu/pages/faculty/ken.french/data_library.html #International • Explain statistical and financial significances of the parameter estimates and the overall model. Prefer using excel and other statistical tools.