Pick any two stocks, corresponding market index, and download their respective daily prices (Online Data Library),and calculate the simple returns for the three assets. Data set has to include at least 252 observation, but there isno upper limit for the observation period. Provide the descriptive statistics, including the mean, variance, standarddeviation, skewness, and kurtosis, and comment on the differences between these three assets.

• Pick any two stocks, corresponding market index, and download their respective daily prices (Online Data Library),and calculate the simple returns for the three assets. Data set has to include at least 252 observation, but there isno upper limit for the observation period. Provide the descriptive statistics, including the mean, variance, standarddeviation, skewness, and kurtosis, and comment on the differences between these three assets.

• Plot the original returns and their respective moving averages (30-day window) for each asset. Comment on thedifference between these two time series for each assets, and between the assets. Also, propose an optimal tradingstrategy having in mind moving-average dynamics.

• Plot the distribution of the returns using histogram and kernel density plot. Comment on the shape of the distri-bution, and make a comparison between the distribution of returns for the three assets.

• Download some risk-free rate and add it to the data set. Estimate the CAPM for each stock, and provide yourinterpretation of the results, by emphasizing the difference in the estimated results.

• Plot the Security Market Line (SML) for each stock, and interpret the results (intuition, comparison, etc.).

PART B: French-Fama Factor Model

1. Download data for any two industry portfolio from Keneth R. French data library (Online Data Library), andcorresponding factors and risk-free rate. Data set should include at least 252 observation, but there is no upperlimit for the number of observation. Provide the descriptive statistics for this data set (mean, variance, standarddeviation, skewness, kurtosis), and comment on the differences between the two industry portfolios.

2. Plot the distribution of returns using histogram and kernel density plot. Comment on the shape of the distribution,and compare the distribution of returns for the two industry portfolio of your choice.

3. Estimate the three-factor French-Fama model for each industry portfolio, and interpret the results (goodness-of-fit,significance, the meaning of the estimated coefficients, etc.).