Design and analysis of biological sequences using constraint handling rules

In this project, I test the the mean-variance Capital Asset Pricing Model (CAPM) and the Fama-French Three-Factor Model. I employ two datasets which consist of 25 portfolios formed on size and the book equity to market equity ratio and 11 portfolios formed on dividend yield. I also divide the whole period into two to consider the sub-period effects. I employ the cross-sectional tests as well as the multivariate time-series tests for both of the models. The results do not unambiguously show that one model fits better than the other. Moreover, the two sub-period results are inconsistent with each other and with the results from the whole period.