(The time-series of returns) In the Excel spreadsheet PS1_Q1_raw.xlsx, I provide you three time-series: the performance...
Fantastic news! We've Found the answer you've been seeking!
Question:
Transcribed Image Text:
(The time-series of returns) In the Excel spreadsheet "PS1_Q1_raw.xlsx," I provide you three time-series: the performance index of selling S&P 500 put options from Bloomberg (Put Selling), the S&P 500 index (SP500), and the S&P 500 total return index (SP500_TR). You will work on this spreadsheet to solve the following problems. Always round off your answers to two decimal place. (a) Calculate the monthly returns for the three indices (don't report these return series). Then fill out the following table: Monthly Returns Put Selling S&P 500 S&P 500 total return ) sample estimators for: ER SDIR] Skew[R] Kurt[R] I Note 1: report E[Re]-and SD [Re] in percentage points; estimate E[Re] using the arithmetic average return r. Note 2: since the Excel function KURT gives excess kurtosis, you should add 3 to the Excel output when filling in the kurtosis estimates into the table. Note 3: the numbers from my slides are calculated from data for a different time period, don't copy them! Put Selling SP500 175.92 200.19 228.5 244.71 286.01 332.93 425.09 503.91 609.8 689.44 616.15 563.31 685.97 751 12/30/2005 801.42 12/29/2006 922.88 12/31/2007 1010.61 12/31/2008 740.1 12/31/2009 973.28 12/31/2010 1061.04 12/30/2011 1126.54 12/31/2012 1218.24 12/31/2013 1367.79 12/31/2014 1455.01 12/31/2015 1548.16 12/30/2016 1668.39 Date 12/31/1991 12/31/1992 12/31/1993 12/30/1994 12/29/1995 12/31/1996 12/31/1997 12/31/1998 12/31/1999 12/29/2000 12/31/2001 12/31/2002 12/31/2003 12/31/2004 12/29/2017 12/31/2018 1849.34 1739.67 12/31/2019 1974.62 12/31/2020 2016.7 12/31/2021 2456.08 12/30/2022 2267.98 417.09 479.63 435.71 516.18 466.45 568.2 459.27 575.7 615.93 792.04 740.74 973.9 970.43 1298.82 1229.23 1670.01 1469.25 2021.4 1320.28 1837.37 1618.98 1261.18 1622.94 1799.55 1148.08 879.82 1111.92 1211.92 1248.29 1418.3 1468.36 903.25 1115.1 1257.64 1257.61 1426.19 1848.36 2058.9 2043.94 2238.83 2673.61 2506.85 SP500 TR 3230.78 3756.07 4766.18 3839.5 1887.94 2186.13 2306.23 1452.98 1837.5 2114.29 2158.94 2504.44 3315.59 3769.44 3821.6 4278.66 5212.76 4984.22 6553.57 7759.35 9986.7 8178.02 (The time-series of returns) In the Excel spreadsheet "PS1_Q1_raw.xlsx," I provide you three time-series: the performance index of selling S&P 500 put options from Bloomberg (Put Selling), the S&P 500 index (SP500), and the S&P 500 total return index (SP500_TR). You will work on this spreadsheet to solve the following problems. Always round off your answers to two decimal place. (a) Calculate the monthly returns for the three indices (don't report these return series). Then fill out the following table: Monthly Returns Put Selling S&P 500 S&P 500 total return ) sample estimators for: ER SDIR] Skew[R] Kurt[R] I Note 1: report E[Re]-and SD [Re] in percentage points; estimate E[Re] using the arithmetic average return r. Note 2: since the Excel function KURT gives excess kurtosis, you should add 3 to the Excel output when filling in the kurtosis estimates into the table. Note 3: the numbers from my slides are calculated from data for a different time period, don't copy them! Put Selling SP500 175.92 200.19 228.5 244.71 286.01 332.93 425.09 503.91 609.8 689.44 616.15 563.31 685.97 751 12/30/2005 801.42 12/29/2006 922.88 12/31/2007 1010.61 12/31/2008 740.1 12/31/2009 973.28 12/31/2010 1061.04 12/30/2011 1126.54 12/31/2012 1218.24 12/31/2013 1367.79 12/31/2014 1455.01 12/31/2015 1548.16 12/30/2016 1668.39 Date 12/31/1991 12/31/1992 12/31/1993 12/30/1994 12/29/1995 12/31/1996 12/31/1997 12/31/1998 12/31/1999 12/29/2000 12/31/2001 12/31/2002 12/31/2003 12/31/2004 12/29/2017 12/31/2018 1849.34 1739.67 12/31/2019 1974.62 12/31/2020 2016.7 12/31/2021 2456.08 12/30/2022 2267.98 417.09 479.63 435.71 516.18 466.45 568.2 459.27 575.7 615.93 792.04 740.74 973.9 970.43 1298.82 1229.23 1670.01 1469.25 2021.4 1320.28 1837.37 1618.98 1261.18 1622.94 1799.55 1148.08 879.82 1111.92 1211.92 1248.29 1418.3 1468.36 903.25 1115.1 1257.64 1257.61 1426.19 1848.36 2058.9 2043.94 2238.83 2673.61 2506.85 SP500 TR 3230.78 3756.07 4766.18 3839.5 1887.94 2186.13 2306.23 1452.98 1837.5 2114.29 2158.94 2504.44 3315.59 3769.44 3821.6 4278.66 5212.76 4984.22 6553.57 7759.35 9986.7 8178.02
Expert Answer:
Answer rating: 100% (QA)
Sample Estimators for Monthly Returns Index ER SDR SkewR KurtR Put Selling 092 478 057 534 SP 500 0... View the full answer
Related Book For
Managerial Economics
ISBN: 978-0133020267
7th edition
Authors: Paul Keat, Philip K Young, Steve Erfle
Posted Date:
Students also viewed these finance questions
-
List three specific parts of the Case Guide, Objectives and Strategy Section (See below) that you had the most difficulty understanding. Describe your current understanding of these parts. Provide...
-
Planning is one of the most important management functions in any business. A front office managers first step in planning should involve determine the departments goals. Planning also includes...
-
Managing Scope Changes Case Study Scope changes on a project can occur regardless of how well the project is planned or executed. Scope changes can be the result of something that was omitted during...
-
Investor's Report Objectives: You will conduct financial statement analysis of two comparable companies and provide recommendations about the financial position about each for two investors. Select...
-
Let r be the relation denoted by the following expression; SP group () as x Show what r looks like, given our usual sample value for SP. Also, show the result of; r ungroup x
-
List causes of stress, and be more effective at controlling stress.
-
You have just bought a new condo for $125,000. If you financed 100 percent of the purchase price via a 30-year, 7.75 percent APR loan from your bank, what will be the total amount of interest paid...
-
Marc Dodier is a recent university graduate and a security analyst with the Kansas City brokerage firm of Lippman, Brickbats, and Shaft. Marc has been following one of the hottest issues on Wall...
-
Textbook Videos [+] Given the information below, estimate the total distance travelled during these 6 seconds using a left endpoint approximation. time (sec) velocity (ft/sec) 0 1 23456 20 36 37 23 6...
-
Modify the single-cycle MIPS processor to implement one of the following instructions. See Appendix B for a definition of the instructions. Mark up a copy of Figure 7.11 to indicate the changes to...
-
You work as a drug and alcohol support worker. Kane has been referred to your service for 10 sessions as part of his Community Corrections Order. Kane is explaining his relationship with Mahlee and...
-
An embezzler draws a check on Bank A as of the fiscal period closing date and deposits it in Bank B the same day. This form of embezzlement is termed: a. Double-checking. b. Lapping. c. Kiting. d....
-
According to an Institute of Internal Auditors' study, those with the least desire to have internal auditors assist external auditors are: a. Chairman of Audit Committees. b. Chief Executive...
-
The external auditors' mission is primarily to: a. Prepare financial statements and reports. b. Offer an opinion on financial statements. c. Issue "management letters" on control weaknesses. d....
-
One company has posted a $5,000 reward to anyone who can breach its EDP security system. Give a reason for and against this idea.
-
Internal auditors work for the organization on whose statements the independent auditor is to express an opinion. Yet the internal auditors may be considered independent if they report to an...
-
Under IFRS and U.S. GAAP, when the temporal method is used, how are translation adjustments treated in the consolidated financial statements? 1. As gains or losses on the current period consolida...
-
Subprime loans have higher loss rates than many other types of loans. Explain why lenders offer subprime loans. Describe the characteristics of the typical borrower in a subprime consumer loan.
-
Manhattan was allegedly purchased from Native Americans in 1626 for $24. If the sellers had invested this sum at a 6 percent interest rate compounded semiannually, how much would it amount to today?
-
Briefly discuss the Coase theorem. What does this theory imply about the role of government in dealing with market externalities?
-
What is the identification problem? What effect will this problem have on the regression estimates of a demand function? Explain.
-
Copy, the verbal portion of advertising, is used to move readers through a persuasive sequence called AIDA: attention, interest, desire, and action. To achieve this, some copywriters have adopted...
-
How does a direct access file processing system edit individual transactions? a. takes place in a separate computer run b. takes place on-line mode as transactions are entered c. takes place during a...
-
Which of the following is an example of an input control? a. making sure that output is distributed to the proper people b. monitoring the work of programmers c. collecting accurate statistics of...
Study smarter with the SolutionInn App