Determine average excess return, Financial Econometrics

Assignment Help:

What do you notice about the alphas and betas calculated using the various methods? Using the alpha and beta you calculated for stock 4 along with the average excess return on the S&P index, what is your prediction of the excess return for stock 4?

Look at the investment opportunity set for stocks 1 and 2. Suppose that you produced a similar graph for portfolios of stocks 1 and 3. Where would the investment opportunity set for stocks 1 and 3 lie relative to the investment opportunity set for stocks 1 and 2? Why?

Look at your correlation table. What is the relationship between the R-squared for each stock and the correlation between that stock's returns and the S&P index returns? What do these statistics tell you about the breakdown between market risk and unique risk for each stock?

Would any combination or "weighting" of these 4 stocks result in a portfolio that is superior to the S&P 500? Explain. Do you expect this relationship in the historical data to be repeated in future periods? Explain.


Related Discussions:- Determine average excess return

Show the symptoms of overtrading, Q. Show the Symptoms of overtrading? ...

Q. Show the Symptoms of overtrading? Symptoms of overtrading • Fast sales growth. • Increasing trade payables. • Increasing trade receivables. • Fall in cash bal

What is the impact of diversification, What is the relationship between the...

What is the relationship between the arithmetic average and the geometric average return for each stock and the S&P 500? Explain. Compare the standard deviations for each of the

The desire amount, To buy a retirement home, you will need $525,000 in 18 y...

To buy a retirement home, you will need $525,000 in 18 years. If funds can be invested at an effective return of 6 percent a year, how much must you invest today to have the desire

Maximize total revenue, The demand equation for Good Y is given by      ...

The demand equation for Good Y is given by             P = 900/q - 0.48q + 100       q > 0 In this question use derivatives to explore the relationship between the demand for

Expected Experience Ratio, How do Insurance companies calculate the Expecte...

How do Insurance companies calculate the Expected Experience Ratio

investors could expect to earn 8 percent, A new capital investment that wi...

A new capital investment that will cost $2.5 million and will generate perpetual net cash flows of $400,000 a year. Investors could expect to earn 8 percent elsewhere while taking

Financing, Financing Throughout the life of this Company, Dwight is p...

Financing Throughout the life of this Company, Dwight is proud of the fact that he has never before required any outside financing--other than his line of credit. The line of

Find out the beta of stock, Question Your portfolio has a beta of 1.18...

Question Your portfolio has a beta of 1.18. The portfolio consists of 15% U.S. Treasury bills, 30% in stock A, and 55% in stock B. Stock A has a risk-level equivalent to that o

Options, Four European vanilla Call options ()iC· on an underlier with no i...

Four European vanilla Call options ()iC· on an underlier with no interim cash flows, have identical maturity T. Their strike prices iK are such that 1234KKKK A trader buys ()1CK an

Effective yield to maturity, Research in Motion (RIM), once known as the gl...

Research in Motion (RIM), once known as the global leader in wireless innovation, has lost its darling status after the introduction of the Apple iPhone.  In 2011, RIM's stock pric

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