You choose a company - Wayfair if possible. Follow instructions provided in pdf.... It is detailed assignment instructions. You will submit ONE group solution write-up, Please interpret your regressio

FIN 419 OL Finance Analytics & Modeling Summer Term 20 20 Dr. Jing Zhao Assignment I I: The Multiple Regression Analysis – Predicting Stock Returns Using 3 - and 4-Factor Model s (Due @ 10PM on Saturd ay July 25 th) Instruction: This is a group assignment where students make their own choices of stock/company to estimate. Four groups (Group 5, 6, 7 & 8 ) will each submit a video recording of their group presentation of their work (e.g., you may use Zoom or other softwares of your choice to record group presentation and email me the link to your video) and the rest of the class submit ONE group solution write -up by the due date and time via email: [email protected] . Please interpret your regression analysis results in the solution write -up. Recorded videos will be shared with the class, followed by which I will comment/give feedback on each of the four presentations via a video recording. Important : For this assig nment, pleas e watch sp ecially Lecture video “WK 4 -3” for SAS program and inte rpretation of the regression results; and for the background on Fama -French -Carhart four fac tors , please wat ch Lecture vidioes “WK 3-3” & “Week 3 -4”. a) To find the stock returns, the following pr ovides the procedure for your information just in case you’d like to use a different stock/company than in assignment I : 1. Go to wrds website at : https://wrds -web.wharton.upenn.edu/wrds/ 2. Login using user name: fin 419 ol password: Summ er2020 06 (Note that both are case sensitive) 3. Scroll down the screen and hit “I agree with the terms” button 4. Hit “Home” tab 5. Under tab “Your Subscriptions” choose “CRSP” 6. Then choose “Stock/Security Files” 7. Choose “Monthly Stock File” 8. “Step 1: Choose your date range” choose the begin and end month as you prefer (the longer the time range the larger the sample size and the smaller the standard errors) 9. “Step 2: Apply yo ur company codes” you can choose “TICKER” then put the ticker of the stock you’ve chosen into “Compnay Codes” . C lick on “Code Lookup” to look for the ticker of the stock if needed . 10. “Step3: Query Variables” please at least choose the following variables fr om the “Search All” tab: Company Name Ticker Holding Period Return Return on S&P Composite Index 11. “Step 4: Select query output” choose Output Format in “ Excel spreadsheet (*.xlsx) ” 12. Hit “Submit Query” the wa it for the task to complete and download the Excel dataset b) To find the 4 risk factors , the following provides the procedure for your information: FIN 419 OL Finance Analytics & Modeling Summer Term 20 20 Dr. Jing Zhao 1-4 repeats the steps in a) 5. Under tab “Your Subscriptions” choose “Fama French & Liquidity Factors” 6. Then chose “Factors – Monthly Frequency” 7. “Step 1: Choose your date range” choose the begin and end month as you prefer (the longer the time range the larger the sample size and the smaller the standard errors) 8. “Step 2: Choose factors for query ” choose all the 5 variables 9. “Step 3: Select query output” choose Output Format in “Excel spreadsheet (*.xlsx)” 10. Note – Please change the variable names, datafile names, and the excel spreadsheet “Sheet” name for both stock excel file and the factors file to be consistent with the SAS program. c) Run SAS regression analyses and interpret the outputs in the same manner as we discussed in the lecture video s 1. Run the regression of stock returns on the three factors 2. Comment on the SAS regression output including a. Coefficient estimates on the intercept and the factors (the sign and magnitude that indicates the economic significance) and statistical significance (t -stat & p -value) b. Overall fit and validity of the model: F -stat and its p -value c. Goodness of fit of the model: R 2 and Adjusted R 2. 3. Run the regressio n of stock returns on the four factors 4. Comment on the SAS regression output including a -c as in Step 2. 5. Compare and comment on the differences between the two regressions (3 - vs. 4 -factor model) 6. Anything you’ve learnt from these exercises and would like to share Have FUN!