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

Profitability ratios of the company, Study the following Goget financial st...

Study the following Goget financial statements and answer the questions below. Statement of Comprehensive Income for the year ended 31 Dec 2012

Options, Prices of Calls and Puts Options the shares of Marks & Spencer ...

Prices of Calls and Puts Options the shares of Marks & Spencer a) Explain carefully why the November calls are trading at higher prices than the September calls. b) Draw a diag

Explain the working capital management, Q. Explain the Working capital mana...

Q. Explain the Working capital management? Working capital management Working capital management is administration of current liabilities and currentassets.Effective ma

Threshold cointegration, I need to conduct bivariate tests using two regime...

I need to conduct bivariate tests using two regime threshold cointegration for nonlinear relations. I have the code but it will nee some modification. Is there someone can help?

Acceptance testing, Acceptance Testing is a functional trial done on a prod...

Acceptance Testing is a functional trial done on a product previous to put on the market or distributed to the purchaser. The acceptance testing procedure is intended to replicate

What do you meant by equilibrium national income, Question 1: a) What ...

Question 1: a) What do you meant by equilibrium National Income and to what extent is economic growth beneficial to an economy? b) Explain using both diagrams and mathemat

Calculate the average return, The  expected  return  and  risk  involved  i...

The  expected  return  and  risk  involved  in  making  an  investment  are important  factors  considered  by  investors.  The  expected  return  of  a business can be influenced

Calculate the expected value, Gabi wishes to purchase an apartment in Berea...

Gabi wishes to purchase an apartment in Berea Johannesburg which is situated in a quiet street. The purchase price, including costs, is R355 000 and she wishes to obtain a 100% mor

What are trade receivable days, Q. What are Trade receivable days? Year...

Q. What are Trade receivable days? Year-end trade receivables/Credit sales (or turnover)] * 365 days This is average length of time taken by customers to pay. A long average

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