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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.
How do you change the base of the index
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
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Simple Linear Regression While correlation analysis determines the degree to which the variables are related, regression analysis develops the relationship between the var
Simulation When decisions are to be taken under conditions of uncertainty, simulation can be used. Simulation as a quantitative method requires the setting up of a mathematical
Related Positional Measures Besides median, there are other measures which divide a series into equal parts. Important amongst these are quartiles, deciles and percentiles.
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