Estimate systematic risk, Compare the betas and see if

Estimate systematic risk

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Reference no: EM132791167

Download stock price data of at least 30 listed firms from Pakistan Stock Exchange from Jan 01 2018 till Nov. 30, 2020. Also download KSE 100 index data from Jan 01 2018 till Nov. 30, 2020. Do the followings;

Problem a) Plot prices and stock index on a graph and discuss the trends over time.

Problem b) Estimate systematic risk (Beta coefficients) using Market Model given below;

Rit = alpha + BetaiRmt + Et
Where Rit the return of the i is firm in t time, and Rmt is the market return in t time. Estimate Beta for whole period and for 2018, 2019 and 2020. Compare the betas and see if Beta's remain constant or are time dependent.

Problem c) Develop and equally weighted portfolio of 30 firms. Calculate beta of your portfolio and interpret your results.

Reference no: EM132791167

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