Stock Portfolio Analysis and Beta
Added on 2020-02-17
11 Pages2258 Words347 Views
|
|
|
STATISTICS
TABLE OF CONTENTSQUESTION 1..................................................................................................................................31. Creating line charts for closing prices of S&P, Yahoo and Google series..............................3Question 2........................................................................................................................................32a. Calculation of returns for the S&P, Yahoo and Google.........................................................32b. Obtaining summary statistics and risk and average return relationship.................................5Question 3........................................................................................................................................7A)Sampling distribution of mean..............................................................................................7(b) Probability of return of 4%.....................................................................................................7© Likelihood of loss.....................................................................................................................74 Creating excess return on preferred stock and excess market return........................................7QUESTION 5 and 6.......................................................................................................................106A. Estimating CAPM using linear regression..........................................................................106b. Interpretation of the coefficient............................................................................................116c. interpreting the value of R2...................................................................................................126d. Interpreting 95% confidence interval for the slope coefficient............................................127 Using confidence interval approach...........................................................................................12Table 1Calculation of probability....................................................................................................8Table 2Likelihood of loss................................................................................................................8
QUESTION 11. Creating line charts for closing prices of S&P, Yahoo and Google series 1/6/20121/9/20121/12/20121/3/20131/6/20131/9/20131/12/20131/3/20141/6/20141/9/20141/12/20141/3/20151/6/20151/9/20151/12/20151/3/20161/6/20161/9/20161/12/201605001000150020002500S& PPgPyFrom the presented line chart, it can be seen that S&P’s closing price is highest thanGoogle and Yahoo’s stock prices. Till the end of 2012, all the three stock’s closing prices showsa stable trend, afterwards, S&P’s price gone up in 2013 to 1498.11, Google & Yahoo’s price alsogoes increase to 755.69 and 19.63 respectively. Following 2013, in 2014, S&P and Yahoo’sshare prices has been increased, however, in contrast, Google share price dropped down. S&P’sprice regularly shows a increasing trend over the duration of 2012 to 2016. Out of all the threestock, Yahoo’s share price is lowest, on the other side, after decline in 2014, in the next twoyears, Google’s share price shows rising trend which is good. Question 22a. Calculation of returns for the S&P, Yahoo and Google Formula: 100*Ln(current price/Price of previous month)100*Ln(Pt-Pt-1)DateMonthly Return(S&P)Monthly Return (Google)Monthly Return(Yahoo)1/6/20121/7/20121.2518958.7274240.0631511/8/20121.957067.912719-7.809811/9/20122.3947069.6505068.689761/10/2012-1.99878-10.35215.241907
1/11/20120.2842662.62153110.850281/12/20120.7043451.2818815.8459881/1/20134.9197766.606337-1.366071/2/20131.0999885.8479238.2117441/3/20133.535537-0.878799.9099761/4/20131.7924163.7539314.9740881/5/20132.0550175.5032496.1551861/6/2013-1.51131.044786-4.550661/7/20134.8277760.83477811.135131/8/2013-3.17983-4.71075-3.514221/9/20132.9315543.36807220.137441/10/20134.36299816.26137-0.695811/11/20132.7663282.77602911.568951/12/20132.3289515.6080378.9442171/1/2014-3.623145.237372-11.60231/2/20144.2213382.8942787.1267431/3/20140.690824-8.68641-7.432681/4/20140.618165-4.198120.1391791/5/20142.08122-62.5662-3.683141/6/20141.8878982.2520671.3757741/7/2014-1.51947-0.879561.9171721/8/20143.6963670.4836877.2690761/9/2014-1.563551.0335175.6537891/10/20142.293639-3.5531512.227191/11/20142.423747-3.3648411.650341/12/2014-0.41973-3.41226-2.405981/1/2015-3.153281.290026-13.82091/2/20155.3438874.5600440.6570771/3/2015-1.75491-1.419480.3606861/4/20150.848467-1.0748-4.299021/5/20151.043679-0.630660.8654011/6/2015-2.12357-0.97296-8.883381/7/20151.95496919.68016-6.901111/8/2015-6.46247-1.48319-8.475791/9/2015-2.67987-1.46948-15.30141/10/20157.97193414.4198920.871971/11/20150.0504843.39445-5.215071/12/2015-1.768571.967796-1.640111/1/2016-5.20676-2.16462-11.96261/2/2016-0.41369-5.971057.4422591/3/20166.3904986.17443314.661781/4/20160.269573-7.48524-0.572131/5/20161.5208415.6264113.595772
End of preview
Want to access all the pages? Upload your documents or become a member.
Related Documents