QuickHelper

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Teaching Since: May 2017
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    Phoniex
    Jul-2007 - Jun-2012

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    ChevronTexaco Corporation
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Category > Accounting Posted 26 May 2017 My Price 13.00

Beta Estimation

Question description

 

For the following THREE exercises A, B & C

1. Calculate daily or weekly or monthly returns for each one, or a complete year of daily returns. You must use at least 100 observations.


2. Estimate a simple linear regression model.


3. Indicate the source of your data.

4. You may use Excel or any software to estimate the regression model.

5. Interpret/explain the output: parameter estimates (alpha and beta), R2, F statistic, T-Statistics, Systematic and unsystematic risks etc.

Include scatter plot of the returns.


6. Work with your partner. One report per team is due on ----


7. Feel free to use your Book for TOM 302 or FRL 363.


8. Place the output i.e. regression models on One page and explain the output in NO more than two pages.

A. Select a STOCK and the appropriate STOCK MARKET index.

The dependent variable is the rate of return on the stock, and the independent variable is the stock market index.

B. For the stock Selected in A use the stock market index as well as a sector/industry index. That is use TWO independent variables.

Estimate a multiple regression model.
The dependent variable is the rate of return on the stock, and the independent variables are the rates of return on the stock market index and the industry index.
An industry ETF can substitute for the industry index.

C. Select a STOCK MUTUAL FUND and the appropriate market index.
The dependent variable is the rate of return on the fund. The independent variable is the RoR on the appropriate market index.

Compare the beta and R2 of stock vs. fund. Helpful links:

http://courses.statistics.com/software/Excel/XL_Ch...

http://www.cba.nau.edu/allen-

d/excel%20regression%20tutorial/excel_regression_tutorial.htm

http://www.jeremymiles.co.uk/regressionbook/extras...

l/

 

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QuickHelper
(10)
Status NEW Posted 26 May 2017 06:05 PM My Price 13.00

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