Analyze past returns.

You have collected historical data on the annual returns earned over the past 10 years (data range from year -10 to year -1) for the stock market as a whole

• A and B stocks.

This data is shown in the following table.

1. Calculate the means and standard deviations of the realized returns
2. Calculate the correlation coefficients between each pair of variables (A,M), (B, M), (A,B).
3. Calculate the covariances between each of the pairs of variables (A,M), (B, M), (A, B).
4. Determine the beta coefficients of each of the stocks

 

Transcribed Image Text:

Anne -10 a -8 -7 -6 -5 T -3 -2 -1 March 8,43% 23,46% 16,28% 3,07% -6,12% 30,89% 27,31% 23,10% -24,46% 33,66% Action A 23,45% % 87,17% 45,22% -19,47% -61,98% 42,33% 46,89% -22,36% -52,21% 60,24% Action B 37,24% 56,32% -14,26% -3,58% 5,60% 49,12% 62,94% 40,39% -11,17% -10,49% Anne -10 a -8 -7 -6 -5 T -3 -2 -1 March 8,43% 23,46% 16,28% 3,07% -6,12% 30,89% 27,31% 23,10% -24,46% 33,66% Action A 23,45% % 87,17% 45,22% -19,47% -61,98% 42,33% 46,89% -22,36% -52,21% 60,24% Action B 37,24% 56,32% -14,26% -3,58% 5,60% 49,12% 62,94% 40,39% -11,17% -10,49%

Answer rating: 100% (QA)

To calculate the means standard deviations correlation coefficients covariances and beta coefficients of the stocks A and B with respect to the market ... View the full answer