In msperlin/afedR: Data and Functions for Book "Analyzing Financial and Economical Data with R"

library(BatchGetSymbols)
library(tidyverse)

tickers <- GetSP500Stocks()$Tickers
first_date <- Sys.Date() - 3*365
last_date  <- Sys.Date()

df_stocks <- BatchGetSymbols(tickers = tickers, 
                             first.date = first_date, 
                             last.date = last_date)[[2]]

df_sp500 <- BatchGetSymbols(tickers =  '^GSPC', 
                            first.date = first_date, 
                            last.date = last_date)[[2]]

idx <- match(df_stocks$ref.date, df_sp500$ref.date)
df_stocks$ret_mkt <- df_sp500$ret.closing.prices[idx]

# calculate PLM beta
library(plm)

# estimate panel data model with fixed effects
my_pdm <- plm(data = df_stocks, 
              formula = ret.adjusted.prices ~ ret_mkt, 
              model = 'within',
              index = c('ticker'))

# print result
print(summary(my_pdm))

# none
#my_answers <- make_random_answers(my_sol)
my_answers <- rep(NA, 5)

Question

For previously imported data, estimate a panel data version for the market model (beta). In this version, each stock has a different intercept, but they share the same beta. Is the estimated beta significant at 5%?

Solution

Meta-information

extype: string exsolution: r mchoice2string(c(TRUE, FALSE, FALSE, FALSE, FALSE), single = TRUE) exname: "function 01" exshuffle: TRUE

msperlin/afedR documentation built on Sept. 11, 2022, 9:49 a.m.