Essay About Excess Returns Of Kate And Monthly Excess Return Data Of Kate

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Report for the Group Project of Fina2320Group Number 31Team MembersDai YuxiaoTang YilanPan YiLuo AndiSubclass DayFridayThe University of Hong KongNov 30, 2015Catalogue1)  The excess returns of KATE and DISNEY from Dec. 2004 to Dec. 201432)  Summary statistics for the monthly excess return data of KATE and DISNEY63)  The statistical test of single-index model for KATE and DISNEY and the interpretation of results84)  The categorization for KATE and DISNEY in terms of the firms’ type95)  The statistical test of Fama-French Three-Factor Model for KATE and DISNEY and the interpretation of results 10   1)The excess returns of KATE and DISNEY from Dec. 2004 to Dec. 2014 are shown in the form below:DateExcess return of KATEExcess Return of DIS2005-1-3-0.007996528 0.0282560972005-2-10.008321633 -0.025700482005-3-1-0.053400141 0.0261748072005-4-1-0.119219426 -0.0831999862005-5-20.059023413 0.0369939682005-6-10.056554866 -0.0846612892005-7-10.044129152 0.0158685162005-8-1-0.015604996 -0.0205507712005-9-1-0.044576817 -0.0449803522005-10-3-0.107481203 0.0072462022005-11-1-0.010607021 0.0198791852005-12-10.023749559 -0.0314876352006-1-3-0.034209122 0.0524032872006-2-10.035995762 0.102487092006-3-10.133685556 -0.0072727022006-4-3-0.050696075 -0.0010903252006-5-1-0.012619937 0.0865444382006-6-1-0.045634283 -0.0203935422006-7-3-0.050141415 -0.0143333182006-8-10.054565492 -0.0055473792006-9-10.053165158 0.0383957482006-10-20.063224793 0.0136936582006-11-10.010883575 0.0463404522006-12-10.012608173 0.0423043822007-1-30.017229081 0.0218622532007-2-10.009353360 -0.0299588422007-3-1-0.050594264 0.0009556122007-4-20.039240652 0.0115743032007-5-1-0.227117784 0.0090504672007-6-10.071237918 -0.0131241152007-7-2-0.061908867 -0.0373919152007-8-1-0.030217927 0.013981752007-9-40.001482548 0.0203119612007-10-1-0.173896181 0.0037787732007-11-1-0.120211859 -0.0461374672007-12-3-0.191619882 -0.0184254462008-1-20.073575625 -0.0776885812008-2-1-0.186517841 0.0848259962008-3-30.019109802 -0.0334803382008-4-1-0.027144244 0.031660862008-5-1-0.011686844 0.034277672008-6-2-0.191276131 -0.0731285272008-7-1-0.077825034 -0.0287435752008-8-10.243642602 0.0645977342008-9-20.012071938 -0.0528136722008-10-1-0.504756213 -0.1565511032008-11-3-0.644358201 -0.1311374972008-12-1-0.087719298 0.0226513632009-1-2-0.153846154 -0.0885852842009-2-20.268081818 -0.1891715642009-3-2-0.114895341 0.0826860972009-4-10.918928340 0.2058470752009-5-1-0.050632911 0.105936042009-6-1-0.360100000 -0.0368464112009-7-10.097122222 0.0766252292009-8-30.344836709 0.036524252009-9-10.159900000 0.0544314362009-10-10.164300203 -0.0032774812009-11-2-0.273519164 0.1041286012009-12-10.350019904 0.0793808122010-1-4-0.134991119 -0.0837209372010-2-10.418891170 0.0571911822010-3-10.075153256 0.1173776472010-4-10.176212248 0.0551850232010-5-3-0.298727002 -0.0929339442010-6-1-0.311682382 -0.0575505942010-7-10.123122749 0.0694237982010-8-2-0.114024051 -0.0342347212010-9-10.447519048 0.0171095672010-10-10.006478947 0.0914408252010-11-10.194344444 0.010417512010-12-1-0.020619836 0.0385272892011-1-3-0.310155866 0.0361570162011-2-10.040385830 0.12518952011-3-10.048538132 -0.0149606022011-4-10.166975881 0.0002320412011-5-20.038155803 -0.0341066232011-6-1-0.180704441 -0.0622147872011-7-10.196261682 -0.0107582722011-8-1-0.184475000 -0.1181734582011-9-1-0.042145594 -0.1145038622011-10-30.602000000 0.1564986992011-11-10.032459426 0.0278095422011-12-10.043530834 0.0635906692012-1-30.077636153 0.0373333972012-2-10.051612903 0.07943442012-3-10.366053170 0.0426291992012-4-20.002994012 -0.0153037592012-5-1-0.106816418 0.0602108222012-6-1-0.103592314 0.061036962012-7-20.032618826 0.0131958692012-8-10.195748375 0.0066155462012-9-4-0.035571698 0.0567020472012-10-1-0.140945070 -0.0605437922012-11-10.097349909 0.0108935652012-12-30.033095021 0.0179142252013-1-20.212851406 0.0821449622013-2-10.198013245 0.0131774172013-3-10.043670481 0.0404835932013-4-10.092161128 0.1063380442013-5-10.042191996 0.0038192542013-6-30.039553281 0.0011097562013-7-10.066248881 0.0237529532013-8-10.000839631 -0.0590874232013-9-30.054110696 0.0601676592013-10-10.054118625 0.063575722013-11-10.232918082 0.0284298892013-12-2-0.018064911 0.0964446432014-1-2-0.105082601 -0.0496073372014-2-30.192334488 0.1129320542014-3-30.083869051 -0.0091572662014-4-1-0.062550553 -0.0091169852014-5-10.047167098 0.0588605952014-6-20.047514392 0.020592792014-7-1-0.008127871 0.0016328492014-8-1-0.145122964 0.0465765852014-9-2-0.188930118 -0.0094570682014-10-10.034311819 0.0263956182014-11-30.180611875 0.0123659682014-12-1-0.014673744 0.045441647