You observed the following daily returns for two companies, ABC and DEF. a. Calculate the following for
Question:
You observed the following daily returns for two companies, ABC and DEF.
a. Calculate the following for each stock:
i. Five-day cumulative return
ii. Geometric mean daily return
iii. Arithmetic mean daily return
v. Standard deviation of daily returns
b. Calculate the covariance and correlation between the twostocks.
Transcribed Image Text:
Daily returns ABC Monday Tuesday Wednesday Thursday Friday 5% 4% 18% 2% 5% DEF 4% 16% 14% 10% 4%
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a i Fiveday cumulative returns The fiveday cumulative return is the value on Friday afternoon of 1 i...View the full answer
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Related Book For
Introduction To Corporate Finance
ISBN: 9781118300763
3rd Edition
Authors: Laurence Booth, Sean Cleary
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