Assignment On Excess Market Return

Running head: STATISTICS
Statistics
Name of the Student:
Name of the University:
Author’s Note:

STATISTICS2
Table of Contents
Task 3...............................................................................................................................................3
Bibliography....................................................................................................................................6

STATISTICS3
Task 3
i) The excess market return that has been generated by the variable X = RM – RF is around -
1.65% and at the same time the return generated by the Rpreferred company stock – RF has been
around -1.09%. On a comparative basis it can be well seen that the preferred company stock has
generated a considerable amount of return for the investors and on the other hand side the market
has generated an excess return that is comparatively less than the company’s set of return.
ii) The Capital Asset Pricing Model can be well estimated by regressing the set of excess return
that has been generated or calculated on the evaluated preferred stock over the set of data for the
excess market return that has been taken into consideration for the company. The results of the
equation can be well shown below as:
y= 0.92+1.22*x
Please note that X in this case is the excess market rate of return generated.
iii) The estimated Beta Coefficient for the stock defining the slope coefficient shows or reflects
the riskiness or the aggressiveness of the stock in comparison to the set of market data return that
has been generated in the evaluated time period. The beta for the stock has been around 1.22
times stating that if the market moves by around 1 the stock is expected to move by around 1.22
times showing the aggressiveness of the stock.
iv) The 95% Confidence Interval well states that the value of the beta for the stock can lie
between 0.748 to around 1.696 times.