Posted: December 28th, 2015

Use these asset pricing factors to test the validity of the Capital Asset Pricing Model (CAPM) for your industry portfolio returns

Use these asset pricing factors to test the validity of the Capital Asset Pricing Model (CAPM) for your industry portfolio returns. Write a detailed commentary to explain the regression models, hypothesis testing, diagnostic tests and analysis of residuals that you are using and interpret your findings. Your commentary should include the following:

• An explanation of the theories and models being tested with reference to the literature,
• A statement of coefficient values under the null hypotheses,
• Summary statistics and correlation matrix,
• Presentation of regression results,
• Interpretation of hypothesis testing on coefficients,
• Diagnostic tests to evaluate the goodness of fit of your regression model,
• Analysis of residuals to explain the possible bias, demonstrate how these potential bias may be corrected, and discuss any differences in results after adjusting for the bias.
• Any other data, tests, or information that you feel are interesting and relevant.