Build a model to analyze a stock's beta, alpha and average monthly returns. Use your model...
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Build a model to analyze a stock's beta, alpha and average monthly returns. Use your model to answer the following questions: What is the stock's beta? What is the stock's alpha? What is the stock's arithmetic average monthly return over the 10 years of historical data? What is the stock's geometric average monthly return over the 10 years of historical data? What is the stock's total return over 10 years? What is the total return from compounding the arithmetic average monthly return for 10 years? What is the total return from compounding the geometric average monthly return for 10 years? Month 0 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 56 16 Excess Market Return Excess Stock Return X -1.895% -4.412% -0.615% 5.356% 3.799% -0.212% -1.467% -3.193% 1.774% 11.080% -5.722% 6.791% -5.960% -0.780% 0.509% -2.012% X -1.660% -3.657% -1.435% 3.503% 2.471% 0.389% -1.320% -4.524% 3.292% 9.893% -4.894% 7.195% -4.155% -1.677% 1.176% -2.898% 1 + Excess Market Return X 1 + Excess Stock Return X Your Answer Cumulative Market Return 1.00 Correct Answer 0.72 0.27% 1.10% 1.04% 247.40% 272.54% 247.40% Cumulative Stock Return 1.00 Build a model to analyze a stock's beta, alpha and average monthly returns. Use your model to answer the following questions: What is the stock's beta? What is the stock's alpha? What is the stock's arithmetic average monthly return over the 10 years of historical data? What is the stock's geometric average monthly return over the 10 years of historical data? What is the stock's total return over 10 years? What is the total return from compounding the arithmetic average monthly return for 10 years? What is the total return from compounding the geometric average monthly return for 10 years? Month 0 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 56 16 Excess Market Return Excess Stock Return X -1.895% -4.412% -0.615% 5.356% 3.799% -0.212% -1.467% -3.193% 1.774% 11.080% -5.722% 6.791% -5.960% -0.780% 0.509% -2.012% X -1.660% -3.657% -1.435% 3.503% 2.471% 0.389% -1.320% -4.524% 3.292% 9.893% -4.894% 7.195% -4.155% -1.677% 1.176% -2.898% 1 + Excess Market Return X 1 + Excess Stock Return X Your Answer Cumulative Market Return 1.00 Correct Answer 0.72 0.27% 1.10% 1.04% 247.40% 272.54% 247.40% Cumulative Stock Return 1.00
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Stock Performance Analysis Model This model can be built using spreadsheet software like Excel or Google Sheets Heres a breakdown of the model and how it answers your questions about the stock Data In... View the full answer
Related Book For
Applied Regression Analysis and Other Multivariable Methods
ISBN: 978-1285051086
5th edition
Authors: David G. Kleinbaum, Lawrence L. Kupper, Azhar Nizam, Eli S. Rosenberg
Posted Date:
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