Descriptive statistics for every stock, Applied Statistics

Assignment Help:

Simple Linear Regression

One calculate of the risk or volatility of an individual stock is the standard deviation of the total return (capital appreciation plus dividends) over various periods of time. Although the standard deviation is simple to compute, it does not take into account the extent to which the price of a given stock varies as a function of a standard market index, such as the S&P 500.As a result, more financial analysts prefer to use another measure of risk referred to as beta. Betas for individual stocks are determined by simple linear regression. The dependent variable is the total return for the stock and the independent variable is the total return for the stock market.* For this case problem we will use the S&P 500 index as the measure of the total return for the stock market, and an estimated regression equation will be developed using monthly data.
You have been assigned to examine the risk characteristics of these stocks. List a report that contains but is not limited to the following items.

a.    Compute descriptive statistics for every stock and the S&P 500. Comment on your results. Which stocks are the most volatile?

b.    Compute the value of beta for every stock. Which of these stocks would you expect to perform best in an up market? Which would you expect to hold their value best in adown market?

c.    Comment on how much of the return for the individual stocks is detailed by the market.


Related Discussions:- Descriptive statistics for every stock

Probability distribution and sampling distribution , a 100 squash balls are...

a 100 squash balls are bounce from height of 100 inches with average height 30 inch with standard deviation 3/4 inch. a ball is fast if bounce above 32 inch. what is chance of gett

What are the charateristics of a population for which, what are characteris...

what are characteristics of a population for which it would be appropiate to use mean/median/mode

Weibull distribution, slope parameter of 1.4 and scale parameter of 550.cal...

slope parameter of 1.4 and scale parameter of 550.calculate Reliability, MTTF, Variance, Design life for R of 95%

Multiple regression analysis, Complete the multiple regression model using ...

Complete the multiple regression model using Y and your combined X variables.  State the equation.  Next, make sure that you evaluate overall model performance with the Anova table

Mathematical properties of arithmetic mean, Mathematical Properties ...

Mathematical Properties The sum of deviations of the items from the arithmetic mean (taking signs into account) is always zero, i.e.      = 0. The sum of

Determine the maximum weight rounded down, Assume that the pulley at A is a...

Assume that the pulley at A is a small frictionless pulley. The cord AB is only allowed to support a maximum tension in Newtons as given in P4, and the cord supporting the block ca

Weighted arithmetic mean, Weighted Arithmetic Mean Another aspect...

Weighted Arithmetic Mean Another aspect to be considered is the importance we assign to each observation. The arithmetic mean as we calculated it so far gives equal

Advantages of sampling, Advantages of Sampling Why should we settle on ...

Advantages of Sampling Why should we settle on a sample instead of studying the entire population?  Sampling has the following advantages over a census (study of the entire pop

Regression, The 4 assumptions of regression: 1.       Variables are norm...

The 4 assumptions of regression: 1.       Variables are normally distributed 2.       Linear relationship between the independent and dependent variables 3.       Homosced

Describe the opportunities for statistical learning, 1. Recognize and expla...

1. Recognize and explain the opportunities for statistical learning. 2. Describe how the use of statistics supports student learning. 3. Recognize appropriate data displays a

Write Your Message!

Captcha
Free Assignment Quote

Assured A++ Grade

Get guaranteed satisfaction & time on delivery in every assignment order you paid with us! We ensure premium quality solution document along with free turntin report!

All rights reserved! Copyrights ©2019-2020 ExpertsMind IT Educational Pvt Ltd