ECON-4200_Winter_2022_Assignment_2 TRENT UNIVERSITY DEPARTMENT OF ECONOMICS ECON-4200 ASSIGNMENT 2 DUE: MARCH 28, 2022 Question 1: Using data for the excess monthly returns of Volkswagen shares and...

econ 4200_winter_2022_assignment_2 = question sheetecon 4200 at code = rcode
do questions a, b,c,d all you have to do is interpret the results, coding is already done


ECON-4200_Winter_2022_Assignment_2 TRENT UNIVERSITY DEPARTMENT OF ECONOMICS ECON-4200 ASSIGNMENT 2 DUE: MARCH 28, 2022 Question 1: Using data for the excess monthly returns of Volkswagen shares and the Dow Jones Index for the period January 2003 to December 2020: (a) Estimate a CAPM regression model and interpret the results. (b) Suppose you want to conduct an “event analysis” of the effects of Volkswagen’s 2015 emissions scandal within the context of a CAPM model. Explain how you would augment your specification in part (a) to estimate the event analysis. (c) Estimate the model specification you have described in part (b). (d) Interpret the results of the estimated model. What do those results tell us about how the market responded to the scandal?