Consider the monthly stock returns of S&P composite index from January 1975 to December 2003 in Exercise

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Consider the monthly stock returns of S&P composite index from January 1975 to December 2003 in Exercise 1.2.

Answer the following questions:

(a) What is the average annual log return over the data span?

(b) Assume that there were no transaction costs. If one invested

$1.00 on the S&P composite index at the beginning of 1975, what was the value of the investment at the end of 2003?

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Analysis Of Financial Time Series

ISBN: 9780471690740

2nd Edition

Authors: Ruey S. Tsay

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Question Posted: Jun 10, 2024 02:03 AM

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Consider the monthly stock returns of S&P composite index from January 1975 to December 2003 in Exercise

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Analysis Of Financial Time Series

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