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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.
Confirmatory factor analysis (CFA) seeks to determine whether the number of factors and the loadings of measured (indicator) variables on them conform to what is expected on the ba
Disadvantages The value of mode cannot always be determined. In some cases we may have a bimodal series. It is not capable of algebraic manipulations. For example, from t
Skewness Meaning and Definition Literal meaning of skewness is lack of symmetry; it is a numerical measure which reveals asymmetry of a statistical series. According t
Discriminant analysis (DA) helps to determine which variables discriminate between two or more naturally occurring groups. Mathematically equivalent to MANOVA, it ' is extensively
The file Midterm Data.xls has a tab labeled "Many vs. S&P" which presents historical price data for several assets, a volatility condition (VIDX = 1 if the NYSE volatility is grea
Different analyses of recurrent events data: The bladder cancer data listed in Wei, Lin, and Weissfeld (1989) is used in Example 54.8/49.8 of SAS to illustrate different anal
prove that coefficient of correlation lies between -1 and+1
Consider the sample of 60 package design ratings given in the table below. A Sample of Package Design Ratings (Composite S
In 120 tosses of a coin, 45 heads and 75 tails are observed. Is this a balanced coin? Use a=0.05. (Follow the basic steps of hypothesis testing)
(a) The Horton's initial infiltration capacity for a catchment is 204 mm/h and the constant infiltration value at saturation is 60 mm/h. For a rainfall in excess of 204 mm/h mainta
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