Descriptive statistics for every stock, Applied Statistics

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.

Posted Date: 3/20/2013 5:47:00 AM | Location : United States







Related Discussions:- Descriptive statistics for every stock, Assignment Help, Ask Question on Descriptive statistics for every stock, Get Answer, Expert's Help, Descriptive statistics for every stock Discussions

Write discussion on Descriptive statistics for every stock
Your posts are moderated
Related Questions
Waht is the product of £ x

First Moment of Dispersion or Mean Deviation Mean deviation or the average deviation is the measure if dispersion which   is based upon all the items in a variable .It is the a

what are the characteristics of research tool?

a. How can break-even analysis be used in selecting a new plant site? b. What are potential advantages and disadvantage of locating a production facility in foreign country i

Weighted Arithmetic Mean Another aspect to be considered is the importance we assign to each observation. The arithmetic mean as we calculated it so far gives equal

fixed capacitor and variable capacitor

Flow Chart for Confidence Interval We can now prepare a flow chart for estimating a confidence interval for μ, the population parameter. Figure

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

i want assignmrnt help

Question 1 Suppose that you have 150 observations on production (yt) and investment (it), and you have estimated the following ADL(3,2) model: (1 – 0.5L – 0.1L2 – 0.05L3)yt = 0.7