Statistics Assignment | Stock Valuation
17 Pages2377 Words69 Views
Added on 2020-05-11
Statistics Assignment | Stock Valuation
Added on 2020-05-11
ShareRelated Documents
StatisticsNameUniversity6th October 2017
Table of ContentsIntroduction......................................................................................................................................2Methodology....................................................................................................................................3Descriptive statistics........................................................................................................................4Summary statistics.......................................................................................................................4Time series plots..........................................................................................................................4Hypothesis Test...............................................................................................................................7Testing whether the average return on Boeing stock is at least 3%.............................................7Comparison of risk associated with stocks..................................................................................8Comparison of average returns....................................................................................................9Estimating theCAPMusing linear regression...........................................................................10Confidence interval to test neutrality of stock...........................................................................12Testing normality of error term..................................................................................................12Bibliography..................................................................................................................................13
IntroductionThe prices of stocks keep on changing everyday depending on the market forces due todemand and supply. In this report, we present an analytic view of four different stockclosing prices. The stocks prices are related to S & P 500 index, IBM stock price, US TN(10 year) and Boeing stock price1. The aim is to choose the best stock out of the given fourusing certain criteria. The data used was obtained from the Yahoo Finance for the periodspanning from 01/12/2010 to 31/05/2016 (a total of 65 months were2 included for analysis).Table 1 below presents the first 10 observations of the data. Table 1: Sample portion of the dataClosing stockStock ReturnsDateS&P 500 indexIBM StockPriceUS TN (10 year)Boeing Stock PriceS&P 500 indexIBM Stock PriceUS TN (10 year)Boeing Stock Price12/1/20101257.64002146.760003.3050065.260001/1/20111286.12000162.000003.3780069.480002.239309.879782.184736.265972/1/20111327.21997161.880013.4140072.010003.14566-0.074101.060083.576603/1/20111325.82996163.070013.4540073.93000-0.104790.732421.164842.631374/1/20111363.60999170.580003.2960079.780002.809694.50248-4.682347.615415/1/20111345.19995168.929993.0500078.03000-1.35929-0.97200-7.75680-2.217956/1/20111320.64002171.550003.1580073.93000-1.842621.539043.47973-5.397477/1/20111292.28003181.850012.8050070.47000-2.170845.83074-11.85354-4.793168/1/20111218.89002171.910002.2180066.86000-5.84675-5.62111-23.47977-5.258629/1/20111131.42004174.870001.9240060.51000-7.446711.70717-14.21995-9.979231 Rubinstein, Mark, "A History of the Theory of Investments." (John Wiley & Sons, Inc.) 2006.2 De Brouwer, Ph, "Maslowian Portfolio Theory: An alternative formulation of the BehaviouralPortfolio Theory."Journal of Asset Management 9, no. 6 (2009): 359–365.
MethodologyData was collected from the Yahoo Finance where a criteria was used for the range of data to bedownloaded. The interest was on the closing prices where for each and every stock we had todownload the data and then select the closing prices. Stock returns for each of the stocks wasthen computed using the following formula;rt=100ln[PtPt−1]After computing the return rates for the four stocks, we then computed the excel returns on thestock that had the highest average rate of returns as follows;yt=rt−rf,tExcess market return as;xt=rM,t−rf,tDescriptive statisticsSummary statisticsThe first analysis done was the descriptive statistics where we looked at the measures of centraltendency (mean and median) as well as the measures of dispersion (standard deviation andrange). The maximum and minimum returns are also presented.Table 2: Descriptive statisticsS&P 500indexIBM StockPriceUS TN (10year)BoeingStock PriceMean0.7870.071-0.9061.014Median1.044-0.0740.8211.200Standard Deviation3.3865.0529.5035.988
End of preview
Want to access all the pages? Upload your documents or become a member.
Related Documents
Report On Analysis Of Stockslg...
|13
|1932
|52
STATISTICS FOR FINANCE AND BUSINESS Statistics for Finance and Business Name of the University Authorlg...
|11
|1628
|389
Statistical Inference & Regression PDFlg...
|9
|2780
|61
Stock Returns: Boeing & IBM Analysis Reportlg...
|14
|2616
|155
Statistical Inference and Regression Analysis : Assignmentlg...
|14
|2621
|99
Statistics for Finance and Business Name of the University Authorlg...
|13
|1870
|280