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Financial Econometrics: Evaluation of CAPM Model
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Financial Econometrics:
Evaluation of CAPM
Model
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Table of Contents
INTRODUCTION ..............................
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List of tables
Table 1 Stock beta coefficient estimates (T...
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E...
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INTRODUCTION
Almost certainly, among the most widespread q...
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CAPM has been the heart of all the studies. Here, the main...
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E...
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CAMP MODEL
In Finance, theoretically, CAPM is the method u...
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The expected values of each side of this model can be seen...
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E...
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Value of the beta factor for market portfolio is always 1 ...
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CONCEPTUAL FRAME
Theoretical CAPM model is given by the fo...
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Through regression using SPSS software, for all the 30 sto...
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E...
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Table 1 Stock beta coefficient estimates (Time-series regr...
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Cross-sectional regression has provided following results:...
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Economic research, 2013. 5-Year Treasury Constant Maturity...
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APPENDIX
DOW 30 Index constituents (SMR, 2013)
Company
1 M...
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T-bill return for four weak (Economic research, 2013)
Titl...
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Realized Rates of Return for 30 stocks, 1 risk-free asset,...
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Date JNJ KO MCD
4.29%
7.41%
4.01%
3.74%
-1.77%
5.80%
-1.55...
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Date JPM PFE TRV
2.22%
7.41%
2.75%
-4.10%
-6.43%
-8.56%
2....
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E...
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Beta estimates
Coefficients a
Unstandardized
Coefficients
...
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Unstandardized
Coefficients
Standardized
Coefficients
Mode...
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B Std. Error
.013
Beta
1 (Constant) .015 1.172
6.654
.250
...
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Coefficients a
Unstandardized
Coefficients
Standardized
Co...
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Unstandardized
Coefficients
Standardized
Coefficients
Mode...
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B Std. Error
.013
Beta
1 (Constant) .034 2.568
7.531
.015
...
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Coefficients a
Unstandardized
Coefficients
Standardized
Co...
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Financial Econometrics Evaluation of CAPM Model Assignment Sample

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Almost certainly, among the most widespread questions posed before an investor is where to invest the money owned, so as to retain or not losing the present value, and at the same time to increase the wealth. As per the critical global events happening around the
world, economy has itself become much volatile now. Such critical condition is encountered in the financial sector much frequently, where troughs and peaks are quite evident in economies.

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Financial Econometrics Evaluation of CAPM Model Assignment Sample

  1. 1. Assignment Financial Econometrics: Evaluation of CAPM Model Type of Documents No of Words : Assignment : 4200 Disclaimer: This is a sample document prepared by globalassignmenthelp.com and has been submitted on turnitin. To order the similar paper please contact at: Email: help@globalassignmenthelp.com Phone: (UK) +44 203 3555 345 Website: www.globalassignmenthelp.com
  2. 2. This is a sample document owned by www.globalassignmenthelp.com Financial Econometrics: Evaluation of CAPM Model Email: help@globalassignmenthelp.com, Phone: (UK) +44 203 3555 345 Website: www.globalassignmenthelp.com
  3. 3. This is a sample document owned by www.globalassignmenthelp.com Table of Contents INTRODUCTION ...........................................................................................................................2 CONCEPTUAL FRAME ..................................................................................................................9 DATA ANALYSIS........................................................................................................................10 REFERENCES .............................................................................................................................13 APPENDIX .................................................................................................................................12 Email: help@globalassignmenthelp.com, Phone: (UK) +44 203 3555 345 Website: www.globalassignmenthelp.com
  4. 4. This is a sample document owned by www.globalassignmenthelp.com List of tables Table 1 Stock beta coefficient estimates (Time-series regression outputs).............................11 Table 2. Result output from the cross-sectional regression .....................................................13 Email: help@globalassignmenthelp.com, Phone: (UK) +44 203 3555 345 Website: www.globalassignmenthelp.com
  5. 5. This is a sample document owned by www.globalassignmenthelp.com For complete project contact Call now : +44 203 3555 345 Email Address: help@globalassignmenthelp.com Email: help@globalassignmenthelp.com, Phone: (UK) +44 203 3555 345 Website: www.globalassignmenthelp.com
  6. 6. This is a sample document owned by www.globalassignmenthelp.com INTRODUCTION Almost certainly, among the most widespread questions posed before an investor is where to invest the money owned, so as to retain or not losing the present value, and at the same time to increase the wealth. As per the critical global events happening around the world, economy has itself become much volatile now. Such critical condition is encountered in the financial sector much frequently, where troughs and peaks are quite evident in economies. In financial economics, the proposition stating that a properly regulated security market bears a vital package for economic services is widely accepted now. Among the numerous vital functions of security market or the stock exchange comprise of requisites for liquidity and an unremitting market for shares from the standpoint of investors. For economy’s growth, in general , a vigorous stock market is considered as indispensable factor and is expected to add in productivity. An efficient pricing mechanism in a stock market is the driving force to channelize the savings into commercial investment and thus, make it possible for an optimal allocation of funds. This implies that the pricing mechanism assures a suitable return on investment. Therefore in stock markets, pricing function is considered to be important and is regarded as a subject of broad research. According to the literature survey for stock market, majority of the researches are based on the asset pricing models like capital asset pricing model (CAPM), Merton (1973) inter-temporal CAPM, the arbitrage pricing theory (APT) and Breeden (1979) version of consumption based CAPM. Email: help@globalassignmenthelp.com, Phone: (UK) +44 203 3555 345 Website: www.globalassignmenthelp.com
  7. 7. This is a sample document owned by www.globalassignmenthelp.com CAPM has been the heart of all the studies. Here, the main objective is to review the conceptual framework of this model, also, to test the efficiency of the CAPM model in the context of any stock market. CAPM model is developed by different authors in almost the same time frame. These authors are Treynor (1961), Sharpe (1964), while Lintner (1965), Mossin (1966). Further the model has been extended by Black (1972) and he clarified it. Certainly, there exist numerous models in Finance and Economics to estimate risks, and the expected returns for both risky as well as risk-free assets. In addition to this, there are also many models, which are capable of estimating the effects of each individual asset on the entire investment portfolio and thus imply the concept of optimal portfolio management. In the present paper, Capital asset pricing model has been chosen, which is one of the most extensively used approach for valuation of an asset, constructing efficient investment portfolios and forecasting the future rates of return of such asset. So the research project is primarily devoted to the efficiency test of the Capital Asset Pricing Model. Main Objectives of the report are: Identify the relationship between the expected returns and risks Spot the interdependence amongst variables Email: help@globalassignmenthelp.com, Phone: (UK) +44 203 3555 345 Website: www.globalassignmenthelp.com
  8. 8. This is a sample document owned by www.globalassignmenthelp.com For complete project contact Call now : +44 203 3555 345 Email Address: help@globalassignmenthelp.com Email: help@globalassignmenthelp.com, Phone: (UK) +44 203 3555 345 Website: www.globalassignmenthelp.com
  9. 9. This is a sample document owned by www.globalassignmenthelp.com CAMP MODEL In Finance, theoretically, CAPM is the method used to determine a appropriate rate of return required for an asset, while adding that to an existing well-diversified portfolio, given the non-diversifiable risk of the asset. CAPM has been the model employed for the most of the real world analysis available and used for the longest time period. In finance, this method is considered to be the standard one for investment analyses (Bossaerts, 2003). An investor thinks about several things before investing in any instrument. Every financial instrument has its own risk and return and so investor must know about risks involved in any investment and expected return from it. A fundamental concept of finance indicates that risk and return from investment are correlated to each other which means more the risk involved in an investment, higher the rate of return (Brigham and Houston, 2009). So as an investor every individual deserves a rate of return that compensates him for taking risk by investing in an instrument. Most of the Investors do a long analysis by using various risk management techniques before taking an investment decision so that they can minimize the risk. Risk management techniques help an investor about knowing and minimizing risks involved in an investment (Doherty, 2000). Capital Asset and Pricing Model (CAPM) is one of the key analyses which are done by an investor before taking an investment decision. This model provides a formula which calculates the expected return on an investment based on involved risk level in it. This model declares that the riskier the stock, the superior its expected return. The below given economic specification of this model describes that the risk free rate plus beta times the difference of the return on the market and the risk free rate. − = + − + Email: help@globalassignmenthelp.com, Phone: (UK) +44 203 3555 345 Website: www.globalassignmenthelp.com
  10. 10. This is a sample document owned by www.globalassignmenthelp.com The expected values of each side of this model can be seen as below: − = + [ − ] It looks like CAPM but the asset pricing model imposes the following constant on expected returns: − = + [ − ] OR = 0 Email: help@globalassignmenthelp.com, Phone: (UK) +44 203 3555 345 Website: www.globalassignmenthelp.com
  11. 11. This is a sample document owned by www.globalassignmenthelp.com For complete project contact Call now : +44 203 3555 345 Email Address: help@globalassignmenthelp.com Email: help@globalassignmenthelp.com, Phone: (UK) +44 203 3555 345 Website: www.globalassignmenthelp.com
  12. 12. This is a sample document owned by www.globalassignmenthelp.com Value of the beta factor for market portfolio is always 1 as from the above expression it is evident that the covariance of the market portfolio and itself is simply the variance of market. Riskier assets are expected to have values of betas greater than 1, whereas the less risky assets will have a beta less than one (Damodaran, 2003) There are three basic inputs as described by Professor Damodaran (2002) for CAPM. These are as follows: Return on the risk-free asset: Risk free asset is the one for which the expected return are known by the investor with certainty in a defined time horizon taken for the analysis. Here, the risk free assets can be taken as the government bonds, T-bills etc. Risk premium for the asset: Risk premium is the additional return demanded by the investor for investing in the market portfolio including all risky assets. In accounting terms, risk premium is the opportunity cost for not investing in risk-free asset. Beta: It measures the additional risk contributed by the asset to the overall market portfolio. There are two key importance of CAPM, 1. This model helps investors in measuring and evaluating portfolio risk and expected return of the investment. 2. On the basis of this model risk can be classified as either systematic, that is unavoidable due to the nature of the market itself diversifiable or diversifiable risk which can be avoided by balanced investing (Brigham and Ehrhardt, 2011). Email: help@globalassignmenthelp.com, Phone: (UK) +44 203 3555 345 Website: www.globalassignmenthelp.com
  13. 13. This is a sample document owned by www.globalassignmenthelp.com CONCEPTUAL FRAME Theoretical CAPM model is given by the following equation: − = + − + Taking the expectation of both sides: − = [ ] + − + [ ] + 0− = + − − = + − Theoretical constraint for the above equation is that: = 0 Thus, − = − This implies that the expected excess return on security holds a linear relationship with the security’s beta. Here, beta is the systematic risk of security in the market portfolio. This model can also be derived with statistical technique of least square estimate. Thing making CAPM model indifferent from the statistical model is that CAPM imposes the constraint of alpha being zero. To test the efficiency of the model, betas of particular securities should be examined for explaining the cross sectional differences in the average returns. For this, following cross sectional regression equation can be considered: − = + ∗ + Now, for testing the efficiency of the CAPM model, 1. 2. = 0 = ℎ Email: help@globalassignmenthelp.com, Phone: (UK) +44 203 3555 345 Website: www.globalassignmenthelp.com
  14. 14. This is a sample document owned by www.globalassignmenthelp.com Through regression using SPSS software, for all the 30 stocks with respect to the market portfolio (S&P 500 index), thirty different betas, alphas, and residuals of such stocks are derived. All this terms are further used to run the cross-sectional regression, to evaluate whether these betas are linked to the expected values of return predicted by the CAPM model. Form of the cross-sectional regression is as follows: − = + + ε At the start, the mean returns for each stock will be calculated. In the second regression, mean returns are treated to be the dependent variable. Then these mean returns are regressed with respect to the previously estimated betas. For being CAPM efficient, the coefficients of the regression must be or at least not significantly differ from the following: = 0 = − Cross-sectional regression must be checked for heteroscedasticity. For this, the regression run must consist of the same dependent variable, but with new independent variables. DATA ANALYSIS Research has included two parts. First one, as shortly mentioned in the previous section, includes estimation of betas of each security by using 30 ranges of observations for thirty stocks collected over 36 months’ time periods. Below table demonstrates values of Beta for each security as calculated. Values of the estimated beta range between 0.118 and 0.858 with a standard deviation of 0.185. Values are statistically significant at 95% level. Email: help@globalassignmenthelp.com, Phone: (UK) +44 203 3555 345 Website: www.globalassignmenthelp.com
  15. 15. This is a sample document owned by www.globalassignmenthelp.com For complete project contact Call now : +44 203 3555 345 Email Address: help@globalassignmenthelp.com Email: help@globalassignmenthelp.com, Phone: (UK) +44 203 3555 345 Website: www.globalassignmenthelp.com
  16. 16. This is a sample document owned by www.globalassignmenthelp.com Table 1 Stock beta coefficient estimates (Time-series regression outputs) Company symbols Beta estimates 0.8090 0.8580 0.7380 0.6910 0.7260 0.6610 0.5630 0.7160 0.7240 0.7570 0.7170 0.3550 0.3790 0.6950 0.3980 0.3570 0.6280 0.1320 0.4290 0.5520 0.4980 0.6150 0.7950 0.5020 0.6260 0.6020 0.7050 0.5270 0.1180 0.6310 AA AXP BA CAT DD DIS G.E HD HPQ IBM INTC JNJ KO MCD MMM MRK MSFT PG T UTX WMT XOM JPM PFE TRV BAC CSCO CVX UNH VZ Email: help@globalassignmenthelp.com, Phone: (UK) +44 203 3555 345 Website: www.globalassignmenthelp.com
  17. 17. This is a sample document owned by www.globalassignmenthelp.com Cross-sectional regression has provided following results: A linear curve has been traced. Descriptions of the curve are given in the below table: Model Description Model Name MOD_1 Dependent Variable 1 1 Mean returns Equation Linear BetaIndependent Variable Constant Included UnspecifiedVariable Whose Values Label Observations in Plots Table 2. Result output from the cross-sectional regression Coefficient Value γ0 γ1 -0.023 -0.004 R-Squared: 0.006 F-statistic is 0.165 on 1 and 28 degrees of freedom As per the mentioned requisites, gamma-0 must be zero and in line to this requisite, the obtained value of intercept or the constant is not significantly different from zero or almost equal to zero. Thus, CAPM hypothesis should not be rejected on the basis of intercept criterion only. REFERENCES Books Bossaerts, P., 2003. Testing CAPM in Real Markets: Implications from Experiments. California Institute of Technology. Brigham, E. F. and Ehrhardt, M. C. 2011. Financial Management: Theory and Practice, 13 th Ed. USA: Cengag Learning. Damodar, N., 2003. Basic Econometrics, 4th Ed. United States Military Academy, West Point. Doherty, N. A. 2000. Integrated Risk Management: Techniques and Strategies. USA: McGraw Hill Professional. Email: help@globalassignmenthelp.com, Phone: (UK) +44 203 3555 345 Website: www.globalassignmenthelp.com
  18. 18. This is a sample document owned by www.globalassignmenthelp.com Economic research, 2013. 5-Year Treasury Constant Maturity Rate (GS5). [online] Available through: <http://research.stlouisfed.org/fred2/series/GS5> [Accessed on 15 2013]. th Jan, Gill, J., and Johnson, P., 2002. Research Methods for Managers. 3rd ed. London: SAGE Publications Ltd. Mertens, E., 2002. The CAPM and Regression Tests. University of Basel. Michilidis, G., Tsopoglou, S., Papanastasiou, D. and Mariola, E., 2006. Testing the Capital Asset Pricing Model (CAPM): The Case of the Emerging Greek Securities Market. International Research Journal of Finance and Economics, 4. Rschner, M. K. 2008. Limitations of Capital Asset Pricing Model. Germany: GRIN Verlag. SMR, 2013. DOW JONES 30 COMPANIES. [Online] Available through: < http://www.stockmarketsreview.com/companies_dowjones30/> [Accessed on 15 Jan, 2013]. th Yahoo finance, 2013. [online] Available through: < http://in.finance.yahoo.com/> [Accessed th on 15 Jan, 2013]. Email: help@globalassignmenthelp.com, Phone: (UK) +44 203 3555 345 Website: www.globalassignmenthelp.com
  19. 19. This is a sample document owned by www.globalassignmenthelp.com APPENDIX DOW 30 Index constituents (SMR, 2013) Company 1 MMM 3M Co 2 AA Alcoa Inc 3 4 AXP American Express Co T AT&T Inc 5 6 BAC Bank of America Corp BA Boeing Co 7 8 9 CAT Caterpillar Inc CVX Chevron Corp CSCO Cisco Systems Inc DD E. I. du Pont de Nemours and Co XOM Exxon Mobil Corp GE General Electric Co HPQ Hewlett-Packard Co HD Home Depot Inc INTC Intel Corp IBM International Business Machines Co... JNJ Johnson & Johnson JPM JPMorgan Chase and Co MCD McDonald's Corp MRK Merck & Co Inc MSFT Microsoft Corp PFE Pfizer Inc PG Procter & Gamble Co KO The Coca-Cola Co TRV Travelers Companies Inc UTX United Technologies Corp UNH UnitedHealth Group Inc VZ Verizon Communications Inc WMT Wal-Mart Stores Inc DIS Walt Disney Co 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 Email: help@globalassignmenthelp.com, Phone: (UK) +44 203 3555 345 Website: www.globalassignmenthelp.com
  20. 20. This is a sample document owned by www.globalassignmenthelp.com T-bill return for four weak (Economic research, 2013) Title: 5-Year Treasury Constant Maturity Rate Series ID: Source: Release: Seasonal Adjustment: Frequency: Units: GS5 Board of Governors of the Federal Reserve System H.15 Selected Interest Rates Not Seasonally Adjusted Monthly Percent Date Range: Last Updated: Notes: 2002-01-01 to 2005-12-01 2013-01-08 4:01 PM CST Averages of business days. For further information regarding treasury constant maturity data, please refer to http://www.federalreserve.gov/releases/h15/current/h15.pdf and VALUEDATE 01-01-02 4.34 4.3 4.74 4.65 4.49 4.19 3.81 3.29 2.94 2.95 3.05 3.03 3.05 2.9 2.78 2.93 2.52 2.27 2.87 3.37 3.18 3.19 3.29 3.27 3.12 3.07 2.79 3.39 3.85 3.93 3.69 3.47 3.36 3.35 3.53 3.6 3.71 3.77 4.17 4 01-02-02 01-03-02 01-04-02 01-05-02 01-06-02 01-07-02 01-08-02 01-09-02 01-10-02 01-11-02 01-12-02 01-01-03 01-02-03 01-03-03 01-04-03 01-05-03 01-06-03 01-07-03 01-08-03 01-09-03 01-10-03 01-11-03 01-12-03 01-01-04 01-02-04 01-03-04 01-04-04 01-05-04 01-06-04 01-07-04 01-08-04 01-09-04 01-10-04 01-11-04 01-12-04 01-01-05 01-02-05 01-03-05 01-04-05 01-05-05 01-06-05 01-07-05 01-08-05 01-09-05 01-10-05 01-11-05 01-12-05 3.85 3.77 3.98 4.12 4.01 4.33 4.45 4.39 Email: help@globalassignmenthelp.com, Phone: (UK) +44 203 3555 345 Website: www.globalassignmenthelp.com
  21. 21. This is a sample document owned by www.globalassignmenthelp.com Realized Rates of Return for 30 stocks, 1 risk-free asset, and S&P 500 Index (Yahoo finance, 2013) Date AA AXP BA CAT DD DIS GE HD HPQ IBM INTC 01-12-04 -7.59% 1.19% 2.39% 6.51% 8.23% 4.33% 3.85% 2.36% 5.25% 4.60% 4.53% 01-11-04 01-10-04 01-09-04 02-08-04 01-07-04 01-06-04 03-05-04 01-04-04 01-03-04 02-02-04 02-01-04 01-12-03 03-11-03 01-10-03 02-09-03 01-08-03 01-07-03 02-06-03 01-05-03 01-04-03 03-03-03 03-02-03 02-01-03 02-12-02 01-11-02 01-10-02 03-09-02 01-08-02 01-07-02 03-06-02 01-05-02 01-04-02 01-03-02 01-02-02 5.05% -3.25% 3.77% 1.54% -3.00% 5.49% 2.31% -11.37% -7.42% 10.13% -10.08% 15.84% 4.43% 20.64% -8.37% 3.42% 8.91% 3.61% 7.28% 19.16% -5.49% 4.50% -13.22% -10.83% 16.57% 14.30% -23.08% -7.26% -17.94% -5.22% 3.24% -9.82% 0.46% 5.24% 4.96% 3.38% 2.87% -0.47% -2.19% 1.55% 3.56% -5.58% -2.75% 3.04% 7.48% 5.75% -2.61% 4.39% 0.00% 2.00% 5.91% 0.35% 10.05% 14.22% -1.06% -5.48% 0.49% -8.96% 7.04% 16.94% -13.54% 2.26% -2.72% -14.58% 3.67% 0.33% 12.39% 1.68% -0.37% -1.50% 0.61% 1.79% 5.87% 2.34% -4.83% 2.74% 2.20% -5.84% -1.06% 11.97% -2.91% 9.63% -0.95% -3.81% -7.26% 0.39% 8.95% 18.29% -3.59% -14.87% -9.04% -4.87% 11.01% 29.36% -18.74% -10.60% -8.50% -11.08% 10.43% -16.44% -1.07% 1.04% 13.66% 0.64% 10.66% -1.06% -7.03% 5.43% -3.06% -1.24% 4.38% -3.05% -5.45% 9.16% 3.78% 6.92% -4.15% 6.48% 21.95% 6.70% -0.85% 7.61% 4.71% 6.86% -3.10% -8.38% 22.13% 10.78% -14.70% -2.40% -7.90% -6.36% -4.29% -3.33% 2.43% 10.37% 6.53% 0.16% 1.29% -0.58% -3.50% 2.84% 1.42% 1.71% -6.35% 3.51% -4.33% 10.71% 3.50% 0.99% -10.58% 2.62% 5.54% -1.18% -0.13% 9.46% 5.95% -2.22% -10.67% -4.97% 9.07% 14.34% -10.51% -3.02% -5.61% -3.46% 4.17% -5.64% 0.67% 6.88% 6.59% 11.82% 0.45% -2.74% -9.44% 8.62% 1.91% -7.82% -5.83% 10.55% 2.86% 2.03% 1.96% 12.27% -1.61% -6.45% 10.98% 0.46% 5.32% 9.65% -0.20% -2.54% 7.27% -16.67% 18.67% 10.30% -3.46% -11.53% -6.17% -17.54% -1.15% 0.45% 0.35% 9.22% 3.64% 1.59% 3.03% -1.41% 2.66% 4.74% 3.88% -1.86% -6.15% -2.71% 8.56% 8.74% -1.13% -2.71% 1.44% 3.97% -0.82% 0.58% -2.54% 15.44% 6.06% 4.77% -4.99% -9.51% 7.36% 2.46% -17.69% -6.34% 10.84% -6.14% -1.27% -15.65% -2.86% 4.09% 1.84% 4.79% 7.24% 8.67% -4.19% -1.80% 2.08% -5.82% 3.08% 2.39% -0.07% -3.26% -0.84% 16.41% -0.78% 3.08% -5.77% 2.12% 15.49% 15.47% 4.18% 12.19% -12.96% -8.82% -8.58% 10.66% -20.63% 6.61% -15.92% -11.77% -10.10% -4.62% -2.68% -0.18% 7.16% -0.47% 5.27% -11.23% -4.52% -0.26% 7.80% -13.74% 0.93% -4.55% 3.60% 6.03% -2.56% 15.23% -2.48% -5.85% -0.58% 9.62% 19.61% 4.87% -1.43% -8.94% 0.26% -10.48% 23.32% 35.39% -12.56% -5.11% -7.43% -19.57% 11.67% -4.69% -10.47% -9.01% 5.21% 4.68% 1.23% -2.52% -1.23% -0.49% 0.67% -3.99% -4.83% -2.60% 7.07% 2.37% 1.36% 1.31% 7.71% 1.13% -1.52% -6.28% 3.89% 8.24% 0.62% -0.12% 0.89% -10.83% 10.31% 35.39% -22.66% 7.31% -2.22% -10.50% -3.76% -19.47% 6.00% -8.94% 0.72% 10.93% -5.76% -12.53% -11.65% -3.35% 11.16% -5.44% -6.85% -4.20% -4.74% -4.45% 1.85% 19.74% -3.75% 14.92% 19.65% -0.06% 13.30% 12.95% -5.57% 10.30% 0.56% -25.43% 20.82% 24.59% -16.73% -11.13% 2.81% -33.83% -3.42% -5.89% 6.50% -18.47% Mean returns 0.34% 0.8090 1.59% 0.8580 -0.24% 0.7380 2.42% 0.6910 0.77% 0.7260 1.23% 0.6610 0.40% 0.5630 0.00% 0.7160 0.57% 0.7240 0.23% 0.7570 -0.23% 0.7170Beta Email: help@globalassignmenthelp.com, Phone: (UK) +44 203 3555 345 Website: www.globalassignmenthelp.com
  22. 22. This is a sample document owned by www.globalassignmenthelp.com Date JNJ KO MCD 4.29% 7.41% 4.01% 3.74% -1.77% 5.80% -1.55% -3.05% -4.70% 0.99% 9.93% 3.65% -3.14% 4.15% 6.17% 5.04% -2.59% 4.29% 17.81% 9.48% 18.31% 6.20% -4.38% -11.46% -13.05% 3.56% 2.53% -25.69% MMM 3.11% 3.06% -3.00% -2.90% 0.45% -8.50% 6.45% -1.80% 5.64% 4.94% -0.92% -6.98% 7.57% 0.65% 14.19% -3.04% 2.09% 8.70% 1.98% 0.87% -3.07% 3.73% 1.17% 1.01% -5.04% 2.79% 15.43% MRK 16.33% -10.53% -5.13% -25.98% -0.83% -4.54% 1.20% 0.62% 6.36% -7.36% 0.99% 3.05% 14.78% -8.24% -12.58% 1.33% -3.82% -8.72% 9.65% -4.47% 6.23% 4.57% -4.79% -2.15% -4.11% 9.51% 18.68% -8.85% MSFT -0.31% 6.80% 1.18% 1.29% -3.90% -0.27% 8.92% 0.35% 4.82% -6.01% -4.06% 1.05% 6.46% -1.65% -5.44% 4.81% 0.40% 3.02% 4.16% -3.75% 5.65% 2.16% 0.17% -8.21% -10.37% 7.89% 22.24% -10.85% PG T UTX 5.89% 5.52% -0.61% -0.56% 0.82% 2.22% 8.12% -1.50% -0.03% -6.31% -3.23% 0.81% 10.58% 1.60% 9.59% -3.71% 7.04% 6.21% 3.77% 10.90% 6.97% -1.37% -7.51% 2.65% -0.82% 1.67% 9.19% -4.89% WMT 1.69% -3.44% 1.35% 1.03% -0.42% 0.99% -5.81% -1.99% -4.51% 0.44% 10.61% 1.52% -4.50% -5.61% 5.72% -5.62% 5.84% 4.16% 2.19% -6.59% 8.25% 8.43% 0.55% -5.35% -6.15% 0.65% 8.75% -7.80% XOM 0.02% 4.69% 1.86% 4.82% 0.18% 4.25% 2.67% 2.30% 2.30% -1.38% 4.03% -0.51% 13.26% -0.34% -0.07% -2.93% 6.70% -0.93% -1.32% 4.13% 0.71% 2.74% 0.29% -2.26% 0.40% 4.08% 5.49% -9.99% 01-12-04 01-11-04 01-10-04 01-09-04 02-08-04 01-07-04 01-06-04 03-05-04 01-04-04 01-03-04 02-02-04 02-01-04 01-12-03 03-11-03 01-10-03 02-09-03 01-08-03 01-07-03 02-06-03 01-05-03 01-04-03 03-03-03 03-02-03 02-01-03 02-12-02 01-11-02 01-10-02 03-09-02 5.14% 3.81% 3.64% -3.04% 5.65% -0.76% -0.02% 3.64% 6.54% -5.91% 1.35% 3.40% 4.79% -1.57% 1.62% -0.10% -3.83% 0.18% -4.87% -3.16% -2.60% 10.33% -1.77% -0.20% -5.79% -2.63% 8.63% -0.41% 5.95% -2.68% 1.52% -9.91% 1.92% -13.11% -1.20% 1.52% 0.56% 1.18% 1.46% -2.99% 9.12% 0.72% 8.00% -0.78% -3.23% -3.13% 2.35% 12.78% -0.19% 1.24% -0.58% -7.72% -3.97% -1.36% -3.08% -5.60% 2.98% 4.50% -4.99% -3.31% 7.34% -3.76% 0.98% 1.90% 1.37% 2.29% 1.42% 1.68% 3.77% -2.09% 6.40% 6.34% -0.67% -0.95% -2.88% 2.20% 1.36% 8.78% -4.33% 0.06% 1.65% -4.42% -0.61% 0.82% -3.37% 7.78% -3.33% -1.15% 3.30% -0.66% 11.54% 7.78% 3.96% -5.31% 4.28% -0.92% 9.76% 0.19% 12.14% -8.21% 13.51% -3.51% 11.90% 13.09% 8.83% -9.06% -12.27% -4.26% -3.10% 15.08% -12.85% -7.92% - 11.98% -0.23%01-08-02 01-07-02 03-06-02 01-05-02 01-04-02 01-03-02 01-02-02 Mean returns Beta 3.62% 0.66% -14.83% -3.60% -1.68% 6.65% 6.21% 0.55% 0.3550 2.12% -10.82% 1.20% 0.10% 6.20% 10.75% 8.29% 0.19% 0.3790 -3.99% -13.00% -4.97% 5.42% 2.32% 6.35% -3.97% 0.98% 0.6950 1.86% -2.05% -10.74% 5.07% -5.63% -5.59% 3.66% -0.92% 0.3570 2.25% -12.29% 7.46% -2.57% -13.34% 3.34% -8.40% 0.09% 0.6280 -0.38% 0.18% 0.50% -0.79% 0.59% 6.27% 3.79% 1.09% 0.1320 -10.31% -7.73% 5.50% -4.01% -7.57% 4.99% 12.70% 1.17% 0.4290 -14.21% 2.36% -1.43% -1.48% -5.44% 1.70% 6.55% 1.46% 0.5520 8.74% -10.60% 1.81% -3.15% -8.88% -1.02% 3.37% -0.15% 0.4980 -2.97% -10.14% 2.48% -0.03% -8.36% 6.12% 6.41% 1.11% 0.6150 2.31% -1.95% 0.21% 9.37% -2.48% 6.83% 1.45% 0.3980 Email: help@globalassignmenthelp.com, Phone: (UK) +44 203 3555 345 Website: www.globalassignmenthelp.com
  23. 23. This is a sample document owned by www.globalassignmenthelp.com Date JPM PFE TRV 2.22% 7.41% 2.75% -4.10% -6.43% -8.56% 2.72% -2.44% 2.18% -5.71% 1.46% 6.25% 7.68% -2.69% 2.94% 7.38% -1.16% -3.67% 0.60% 6.52% 7.97% 3.95% -5.45% -4.12% -7.81% 13.53% 14.23% -4.65% -2.54% -19.81% -8.00% -14.44% 8.63% -5.62% 9.42% 0.02% BAC 2.55% 3.32% 3.37% -2.71% 5.82% 0.45% 2.80% 3.28% -0.61% -0.19% 0.58% 1.27% 7.74% -0.38% -2.95% -0.54% -4.01% 4.46% 7.44% 0.18% 10.80% -2.55% -1.16% 0.70% 0.20% 0.39% 9.42% -8.14% 5.37% -5.47% -6.44% 4.58% 6.57% 6.37% 2.41% 1.57% CSCO 3.05% -2.43% 6.14% -3.49% -10.33% -11.74% 5.94% 7.00% -11.32% 1.79% -9.94% 6.13% 6.72% 8.49% 6.84% 2.33% -1.81% 16.08% 2.34% 9.42% 15.52% -7.13% 4.58% 2.06% -12.25% 33.43% 6.74% -24.19% 4.80% -5.44% -11.64% 7.73% -13.44% 18.63% -27.95% 0.65% CVX -3.82% 3.69% -1.10% 10.05% 2.78% 1.62% 4.11% -0.41% 4.23% -0.66% 3.19% -0.06% 15.04% 2.07% 3.97% -1.93% 2.04% -0.11% 1.77% 14.10% -2.82% 0.73% 0.74% -3.15% -0.79% 0.17% -2.36% -9.64% 3.11% -15.24% 1.43% 1.39% -3.94% 6.89% 1.66% 1.11% UNH 6.25% 14.43% -1.81% 11.50% 5.15% 1.04% -4.61% 6.15% -4.60% 3.98% 1.85% 4.63% 7.95% 5.91% 1.12% 1.82% -5.10% 3.66% 4.75% 4.13% 0.50% 10.59% -5.66% 5.26% 2.52% -10.44% 4.27% -1.28% 0.76% -4.25% 0.83% 3.43% 14.88% 5.48% -2.53% 2.64% VZ S&P 500 3.01% 4.45% 1.29% 1.00% 0.25% -3.22% 1.85% 1.71% -1.89% -1.32% 1.35% 1.97% 5.04% 1.09% 5.35% -1.09% 2.06% 1.81% 1.06% 5.48% 8.45% 0.22% -1.35% -2.46% -5.66% 6.17% 8.22% -10.48% 0.69% -7.88% -7.38% -0.60% -5.81% 3.32% -1.79% 0.43% rf 01-12-04 01-11-04 01-10-04 01-09-04 02-08-04 01-07-04 01-06-04 03-05-04 01-04-04 01-03-04 02-02-04 02-01-04 01-12-03 03-11-03 01-10-03 02-09-03 01-08-03 01-07-03 02-06-03 01-05-03 01-04-03 03-03-03 03-02-03 02-01-03 02-12-02 01-11-02 01-10-02 03-09-02 01-08-02 01-07-02 03-06-02 01-05-02 01-04-02 01-03-02 01-02-02 Mean 3.62% -2.47% -2.01% 0.38% 6.03% -2.86% 5.24% -2.01% -9.64% 2.26% 5.46% 6.89% 3.77% -1.39% 5.59% 0.30% -2.37% 3.56% 4.02% 11.95% 25.60% 4.51% -2.84% -1.35% -4.65% 21.36% 11.11% -28.04% 5.77% -25.61% -5.63% 2.41% -0.59% 21.86% -14.09% 1.32% -3.17% -3.50% -5.41% -6.33% 2.78% -6.78% -3.00% -0.69% 2.01% -4.36% 0.51% 3.69% 5.22% 6.77% 4.02% 1.51% -9.90% -2.31% 10.08% 1.34% -1.32% 4.53% -1.79% -0.19% -3.04% -0.37% 9.44% -12.26% 2.67% -7.56% 1.16% -4.47% -8.52% -2.99% -1.40% -0.96% -1.73% 5.43% 0.24% 0.33% 1.83% 7.69% 4.63% -8.35% 4.34% -4.69% 3.99% 6.21% 6.84% -2.26% 4.73% -8.13% 0.91% -10.43% 4.23% 1.26% 6.89% 2.22% -9.66% -0.31% -7.47% 10.88% 39.25% -11.45% -6.07% -16.99% -6.62% 7.19% -12.23% -1.52% 0.99% 0.35% 3.60% 3.53% 3.35% 3.36% 3.47% 3.69% 3.93% 3.85% 3.39% 2.79% 3.07% 3.12% 3.27% 3.29% 3.19% 3.18% 3.37% 2.87% 2.27% 2.52% 2.93% 2.78% 2.90% 3.05% 3.03% 3.05% 2.95% 2.94% 3.29% 3.81% 4.19% 4.49% 4.65% 4.74% 4.30% 3.38% returns Beta 0.7950 0.5020 0.6260 0.6020 0.7050 0.5270 0.1180 0.6310 Email: help@globalassignmenthelp.com, Phone: (UK) +44 203 3555 345 Website: www.globalassignmenthelp.com
  24. 24. This is a sample document owned by www.globalassignmenthelp.com For complete project contact Call now : +44 203 3555 345 Email Address: help@globalassignmenthelp.com Email: help@globalassignmenthelp.com, Phone: (UK) +44 203 3555 345 Website: www.globalassignmenthelp.com
  25. 25. This is a sample document owned by www.globalassignmenthelp.com Beta estimates Coefficients a Unstandardized Coefficients Standardized Coefficients Model B Std. Error Beta t Sig. .065 .000 1 (Constant) .024 .013 .237 1.911 7.896MP 1.875 .809 a. Dependent Variable: AA Coefficients a Unstandardized Standardized CoefficientsCoefficients BModel Std. Error .007 Beta t Sig. .011 .000 1 (Constant) .019 2.696 9.615MP 1.266 .132 .858 a. Dependent Variable: AXP Coefficients a Unstandardized Standardized CoefficientsCoefficients BModel Std. Error .014 Beta t Sig. .454 .000 1 (Constant) .010 .757 6.288MP 1.593 .253 .738 a. Dependent Variable: BA Email: help@globalassignmenthelp.com, Phone: (UK) +44 203 3555 345 Website: www.globalassignmenthelp.com
  26. 26. This is a sample document owned by www.globalassignmenthelp.com Unstandardized Coefficients Standardized Coefficients Model 1 B Std. Error Beta t Sig. .670 .000 (Constant) -.005 .012 .217 -.430 3.917MP .851 .563 a. Dependent Variable: G.E Coefficients a Unstandardized Standardized CoefficientsCoefficients BModel Std. Error .013 Beta t Sig. .565 .000 1 (Constant) .007 .582 5.897MP 1.417 .240 .716 a. Dependent Variable: HD Coefficients a Unstandardized Standardized CoefficientsCoefficients BModel Std. Error .016 Beta t Sig. .132 .000 1 (Constant) .025 1.546 6.023MP 1.820 .302 .724 a. Dependent Variable: HPQ Coefficients a Unstandardized Standardized CoefficientsModel Coefficients t Sig. Email: help@globalassignmenthelp.com, Phone: (UK) +44 203 3555 345 Website: www.globalassignmenthelp.com
  27. 27. This is a sample document owned by www.globalassignmenthelp.com B Std. Error .013 Beta 1 (Constant) .015 1.172 6.654 .250 .000MP 1.597 .240 .757 a. Dependent Variable: IBM Coefficients a Unstandardized Standardized CoefficientsCoefficients BModel Std. Error .019 Beta t Sig. .194 .000 1 (Constant) .025 1.326 5.911MP 2.103 .356 .717 a. Dependent Variable: INTC Coefficients a Unstandardized Standardized CoefficientsCoefficients BModel Std. Error .009 Beta t Sig. .080 .036 1 (Constant) -.017 -1.805 2.184MP .386 .177 .355 a. Dependent Variable: JNJ Coefficients a Unstandardized Standardized CoefficientsCoefficients BModel Std. Error .011 Beta t Sig. .1061 (Constant) -.018 -1.660 Email: help@globalassignmenthelp.com, Phone: (UK) +44 203 3555 345 Website: www.globalassignmenthelp.com
  28. 28. This is a sample document owned by www.globalassignmenthelp.com Coefficients a Unstandardized Coefficients Standardized Coefficients Model B Std. Error Beta t Sig. .740 .000 1 (Constant) -.004 .012 .215 -.334 4.642MP .998 .628 a. Dependent Variable: MSFT Coefficients a Unstandardized Standardized CoefficientsCoefficients BModel Std. Error .007 Beta t Sig. .006 .451 1 (Constant) -.020 -2.911 .762MP .098 .129 .132 a. Dependent Variable: PG Coefficients a Unstandardized Standardized CoefficientsCoefficients BModel Std. Error .015 Beta t Sig. .958 .010 1 (Constant) .001 .053 2.731MP .787 .288 .429 a. Dependent Variable: T Coefficients a Email: help@globalassignmenthelp.com, Phone: (UK) +44 203 3555 345 Website: www.globalassignmenthelp.com
  29. 29. This is a sample document owned by www.globalassignmenthelp.com Unstandardized Coefficients Standardized Coefficients Model 1 B Std. Error Beta t Sig. .927 .001 (Constant) .001 .010 .181 .092 3.801MP .689 .552 a. Dependent Variable: UTX Coefficients a Unstandardized Standardized CoefficientsCoefficients BModel Std. Error .010 Beta t Sig. .102 .002 1 (Constant) -.017 -1.682 3.300MP .626 .190 .498 a. Dependent Variable: WMT Coefficients a Unstandardized Standardized CoefficientsCoefficients BModel Std. Error .008 Beta t Sig. .569 .000 1 (Constant) -.004 -.575 4.478MP .631 .141 .615 a. Dependent Variable: XOM Coefficients a Unstandardized Standardized CoefficientsModel Coefficients t Sig. Email: help@globalassignmenthelp.com, Phone: (UK) +44 203 3555 345 Website: www.globalassignmenthelp.com
  30. 30. This is a sample document owned by www.globalassignmenthelp.com B Std. Error .013 Beta 1 (Constant) .034 2.568 7.531 .015 .000MP 1.890 .251 .795 a. Dependent Variable: JPM Coefficients a Unstandardized Standardized CoefficientsCoefficients BModel Std. Error .010 Beta t Sig. .010 .002 1 (Constant) -.026 -2.725 3.338MP .596 .178 .502 a. Dependent Variable: PFE Coefficients a Unstandardized Standardized CoefficientsCoefficients BModel Std. Error .012 Beta t Sig. .826 .000 1 (Constant) -.003 -.222 4.614MP 1.059 .230 .626 a. Dependent Variable: TRV Coefficients a Unstandardized Standardized CoefficientsModel Coefficients t Sig. Email: help@globalassignmenthelp.com, Phone: (UK) +44 203 3555 345 Website: www.globalassignmenthelp.com
  31. 31. This is a sample document owned by www.globalassignmenthelp.com Coefficients a Unstandardized Coefficients Standardized Coefficients Model B Std. Error Beta t Sig. .011 .000 1 (Constant) .041 .015 .285 2.705 4.671MP 1.332 .631 a. Dependent Variable: VZ Second regression Analysis report Model Summary and Parameter Estimates Dependent Variable: mean excess return ( − Equatio Model Summary ) Parameter Estimates Constant b1n R Square F df1 1 df2 28 Sig. .687Linear .006 .165 -.023 -.004 The independent variable is beta. Email: help@globalassignmenthelp.com, Phone: (UK) +44 203 3555 345 Website: www.globalassignmenthelp.com
  32. 32. This is a sample document owned by www.globalassignmenthelp.com For complete project contact Call now : +44 203 3555 345 Email Address: help@globalassignmenthelp.com Email: help@globalassignmenthelp.com, Phone: (UK) +44 203 3555 345 Website: www.globalassignmenthelp.com
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