Reference no: EM131224648
Consider the daily stock returns of American Express (axp), Caterpillar (cat), and Starbucks (sbux) from January 1994 to December 2003. The data are simple returns given in the file d-3stock.txt (date, axp, cat, sbux).
(a) Express the simple returns in percentages. Compute the sample mean, standard deviation, skewness, excess kurtosis, minimum, and maximum of the percentage simple returns.
(b) Transform the simple returns to log returns.
(c) Express the log returns in percentages. Compute the sample mean, standard deviation, skewness, excess kurtosis, minimum, and maximum of the percentage log returns.
(d) Test the null hypothesis that the mean of the log returns of each stock is zero. (Perform three separate tests.) Use 5% significance level to draw your conclusion.
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