Descriptive statistics for every stock, Applied Statistics

Assignment Help:

Simple Linear Regression

One calculate of the risk or volatility of an individual stock is the standard deviation of the total return (capital appreciation plus dividends) over various periods of time. Although the standard deviation is simple to compute, it does not take into account the extent to which the price of a given stock varies as a function of a standard market index, such as the S&P 500.As a result, more financial analysts prefer to use another measure of risk referred to as beta. Betas for individual stocks are determined by simple linear regression. The dependent variable is the total return for the stock and the independent variable is the total return for the stock market.* For this case problem we will use the S&P 500 index as the measure of the total return for the stock market, and an estimated regression equation will be developed using monthly data.
You have been assigned to examine the risk characteristics of these stocks. List a report that contains but is not limited to the following items.

a.    Compute descriptive statistics for every stock and the S&P 500. Comment on your results. Which stocks are the most volatile?

b.    Compute the value of beta for every stock. Which of these stocks would you expect to perform best in an up market? Which would you expect to hold their value best in adown market?

c.    Comment on how much of the return for the individual stocks is detailed by the market.


Related Discussions:- Descriptive statistics for every stock

Melissa Bakery, Melissa Bakery is preparing for the coming thanksgiving fes...

Melissa Bakery is preparing for the coming thanksgiving festival. The bakery plans to bake and sell its favourite cookies; butter cookies, chocolate cookies and almond cookies. A k

Uncertain demand, Consider a Cournot duopoly with two firms (fi rm 1 and f...

Consider a Cournot duopoly with two firms (fi rm 1 and fi rm 2) operating in a market with linear inverse Demand P(Q) = x Q where Q is the sum of the quantities produced by both

Penman-monteith method, (a) Average rainfall during the month of January...

(a) Average rainfall during the month of January is found to be 58 mm. A Class A pan evaporation recorded an average of 8.12 mm/day near an irrigation reservoir. The average

Appropriate statistical test, I would like to know what the appropriate sta...

I would like to know what the appropriate statistical test is for investigating an association between a nominal variable and an ordinal variable assuming normal distribution? It''

Coefficient of variation, Coefficient of Variation or C.V. To compare t...

Coefficient of Variation or C.V. To compare the variability between or more series, coeffiecnt of variation is used, it is relative measure of dispersion, it innovated and used

Population variance, Examining the Population Variance Business decisio...

Examining the Population Variance Business decision making does not limit itself to setting up the hypothesis to test for the equality of more than two means or proportions sim

O-give curves, real time applications on graphical representation of o-give...

real time applications on graphical representation of o-give curves

Introduction to multiple regression, In simple regression the dependent var...

In simple regression the dependent variable Y was assumed to be linearly related to a single variable X. In real life, however, we often find that a dependent variable may depend o

Mode, Mode The mode is the value which occurs most frequ...

Mode The mode is the value which occurs most frequently in a set of observations on the point of maximum frequency and around which other items of the set cluste

Write Your Message!

Captcha
Free Assignment Quote

Assured A++ Grade

Get guaranteed satisfaction & time on delivery in every assignment order you paid with us! We ensure premium quality solution document along with free turntin report!

All rights reserved! Copyrights ©2019-2020 ExpertsMind IT Educational Pvt Ltd