Compute the variance and standard deviation in monthy rates

Assignment Help Cost Accounting

Reference no: EM131489473

Instructions:

Using the spreadsheet, complete the following tasks:

a. Convert the closing price series into holding period rates of return. Then compute the average monthly rate of return for Patch Ltd. and the S&P500.

b. Compute the variance and standard deviation in the monthy rates of return for Patch Ltd. and the S&P500. Compute the correlation in the monthly returns of Patch Ltd. and the S&P500.

c. Using the monthly rate of return for Patch Ltd. as the dependent variable and the return on the S&P500 as the independent variable, estimate the slope and intercept coefficients for Patch Ltd.

d. Split the period into two "equal" sub-periods. Re-estimate the intercept and slope coefficients for each of the two sub-periods.

Discuss the results that you have obtained. In particular, how do the statistics computed in the "half-periods" differ and how do they differ from those obtained from the whole period? Based on your results, what kinds of difficulties do these results portend for empirical based portfolio management tools?

Attachment:- Data.rar

Reference no: EM131489473

Questions Cloud

Supply change throughout the banking system : If the reserve requirement for a bank is 10% and the Federal Reserve buys $100M more in bonds, will the money supply increase or decrease

Identify and describe both types of externalities : Identifying Use a graphic organizer like the one below to identify and describe both types of externalities.

How successful was he in living a life of his own making : In what ways did he also live a life typical of the experiences of people of color around the world? In relation to the above, how successful was he in living a life of his own making?

Aggregate demand curve outward : How much in increased spending to move the aggregate demand curve outward by $10 billion dollars?

Compute the variance and standard deviation in monthy rates : Compute the variance and standard deviation in the monthy rates of return for Patch Ltd. Convert the closing price series into holding period rates of return

Calculate the free cash flow for your company : Calculate the free cash flow for your company over the period 2010-2015. Please include the formulas detailing the calculation of the free cash flow.

Discuss the negative externality : Negative Externality Identify a situation in your community that resulted in a negative externality. How would you advise the government to reduce.

Explain objective of government microeconomic policy : Explain objective of government microeconomic policy :efficiency ,eqiuty

How does lack of competition increase prices for consumer : Competition in communications seems cutthroat. Companies are invading each other's turf, and prices are falling. You can make a video-phone call to Australia.

User Account

All Pages