1. You are provided with the following data on the return to the stock of XYZ...
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1. You are provided with the following data on the return to the stock of XYZ Corporation (XYZ_R), return to market index (Market R), and risk-free government bond (Bond R) for the past 10 years. (Note: All the calculation for this problem should be done manually). < له XYZ R Market R 64 4.54 54 14 5.5 2.5€ 6 74 4.54 44 9€ 6.5€ 9€ 3 < 7.5€ 7.5€ 8 10€ 8.5€ 74 Bond R 24 2.5 24 14 1.5 1.54 14 14 1.5 24 a. Estimate a CAPM regression of risk premium of XYZ Corporation to market risk premium. 2 b. Do a comprehensive statistical analysis of the regression output. < c. Draw the security market line (SML) and analyze XYZ Corporation as an investment opportunity. < d. The market risk premium for the next yea is estimated to be 11%. Forecast XYZ's risk premium for the next year and write a 95% confidence interval. e. What is the expected rate of return on the XYZ's stock for the next year. < f. The Yahoo Finance site lists the ß coefficient for XYZ Corporation as 1.10. Is the ß in your regression statistically different from the one in Yahoo Finance? 1. You are provided with the following data on the return to the stock of XYZ Corporation (XYZ_R), return to market index (Market R), and risk-free government bond (Bond R) for the past 10 years. (Note: All the calculation for this problem should be done manually). < له XYZ R Market R 64 4.54 54 14 5.5 2.5€ 6 74 4.54 44 9€ 6.5€ 9€ 3 < 7.5€ 7.5€ 8 10€ 8.5€ 74 Bond R 24 2.5 24 14 1.5 1.54 14 14 1.5 24 a. Estimate a CAPM regression of risk premium of XYZ Corporation to market risk premium. 2 b. Do a comprehensive statistical analysis of the regression output. < c. Draw the security market line (SML) and analyze XYZ Corporation as an investment opportunity. < d. The market risk premium for the next yea is estimated to be 11%. Forecast XYZ's risk premium for the next year and write a 95% confidence interval. e. What is the expected rate of return on the XYZ's stock for the next year. < f. The Yahoo Finance site lists the ß coefficient for XYZ Corporation as 1.10. Is the ß in your regression statistically different from the one in Yahoo Finance?
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Related Book For
Financial and managerial accounting
ISBN: 978-1118016114
1st edition
Authors: Jerry J. Weygandt, Paul D. Kimmel, Donald E. Kieso
Posted Date:
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