Question: There are three columns of data: a monthly date, a closing price for an individual stock, and the market close. Calculate a monthly return series
- There are three columns of data: a monthly date, a closing price for an individual stock, and the market close.
- Calculate a monthly return series from the closing monthly prices of both the market and the individual security.
- Calculate the arithmetic mean return and the standard deviation of the monthly return for both series.
- Calculate the geometric mean return for both series.
- Calculate the beta of the individual security.
Date Closing Price Market Closing Price Security Return Market Return
12/1/2003 43.73 1111.92
1/1/2004 42.43 1131.13
2/1/2004 43.05 1144.94
3/1/2004 43.56 1126.21
4/1/2004 43.8 1107.3
5/1/2004 44.47 1120.68
6/1/2004 43.93 1140.84
7/1/2004 38.17 1101.72
8/1/2004 38.91 1104.24
9/1/2004 35.06 1114.58
10/1/2004 35.59 1130.2
11/1/2004 34.63 1173.82
12/1/2004 36.68 1211.92
1/1/2005 36.55 1181.27
2/1/2005 37.7 1203.6
3/1/2005 36.95 1180.59
4/1/2005 38.52 1156.85
5/1/2005 39.57 1191.5
6/1/2005 37.26 1191.33
7/1/2005 39.05 1234.18
8/1/2005 39.26 1220.33
9/1/2005 38.79 1228.81
10/1/2005 38.42 1207.01
11/1/2005 38.59 1249.48
12/1/2005 36.44 1248.29
1/1/2006 37.41 1280.08
2/1/2006 37.94 1280.66
3/1/2006 38.13 1294.87
4/1/2006 38.21 1310.61
5/1/2006 40.09 1270.09
6/1/2006 39.46 1270.2
7/1/2006 40.81 1276.66
8/1/2006 41.1 1303.82
9/1/2006 41.26 1335.85
10/1/2006 43.15 1377.94
11/1/2006 43.54 1400.63
12/1/2006 44.86 1418.3
1/1/2007 44.51 1438.24
2/1/2007 43.4 1406.82
3/1/2007 44.94 1420.86
4/1/2007 48.87 1482.37
5/1/2007 49.62 1530.62
6/1/2007 49.31 1503.35
7/1/2007 49.12 1455.27
8/1/2007 50.69 1473.99
9/1/2007 54.5 1526.75
10/1/2007 58.57 1549.38
11/1/2007 59.22 1481.14
12/1/2007 58.52 1468.36
1/1/2008 56.26 1378.55
2/1/2008 55.74 1330.63
3/1/2008 58.42 1322.7
4/1/2008 56.5 1385.59
5/1/2008 54.95 1400.38
6/1/2008 50.21 1280
7/1/2008 49.75 1267.38
8/1/2008 50.3 1282.83
9/1/2008 51.45 1164.74
10/1/2008 42.86 968.75
11/1/2008 45.99 896.24
12/1/2008 44.42 903.25
Step by Step Solution
3.34 Rating (145 Votes )
There are 3 Steps involved in it
Calculate the Security return and Market returns from 01012004 Formula for Monthly Returns P2P11100 P2 Price of current months P1 Price of Previous mo... View full answer
Get step-by-step solutions from verified subject matter experts
