$4396$ Y$2$CO Corporate Finance

ST$24$

Case Study $1\mathrm{.}0$

Each team analyzes a company from the Computers$/$Peripherals industry. Your group

number $($G#$)$ specifies "your" firm $($No$.)$ in the list below.

Compute the Book and Market Leverage on a yearly and quarterly basis for your firm

for the last $6$ years back from $12/31/2023.$

$($We define Book leverage as total debt, which is defined as long$-$term debt plus debt

in current liabilities, divided by book equity $($total assets minus total debt$).$ We define

Market Leverage as the ratio of total debt over the market value of equity.$)$

Compute the Gross Margin, Net Profit Margin, Price$-$Earnings Ratio, the Market$-$to$-$

Book Ratio, the Interest Coverage Ratio, the Return on Equity, the Return on Assets,

the Cash from operating activities, the Cash from investing activities and the Cash

from financing activities on a yearly and quarterly basis for your firm for the last $6$

years back from $12/31/2023.$

Find the announcement$/$ declaration date of dividends, dividend, ex$-$dividend date,

announcements of open market or tender offers for shares repurchases within the

last $6$ years back from $12/31/2023.$

Use the data library from Kenneth R$.$ French and calculate for the time window $1927$

to $2023$ :

a$.$ Average returns of investments in the market portfolio for an investment

duration of $1,10$ and $20$ years.

Hints: A duration of $10$ years for instance means your investment starts

$1\mathrm{.}1\mathrm{.}1927$ and ends $31\mathrm{.}12\mathrm{.}1936,$ etc. For investment durations of $10$ and $20$ years

please take overlapping time windows for calculating average returns.

b$.$ Annualize the average returns for investment durations of $10$ and $20$ years.

c$.$ Calculate the bootstrap standard error.

d$.$ Compare the returns of investments in the market portfolio with the average of

risk free interest rates for the corresponding investment duration $($if available$).$

Find a proxy for the Market Portfolio:

a$.$ Compute the arithmetic average annual return and the compound annual return

with daily, weekly and monthly returns for the estimating window $1/1/2018$ to

$12/31/2023$ for your firm and your Market Portfolio.

b$.$ Estimate the Return Volatility for your firm and your Market Portfolio with daily,

weekly and monthly returns for the estimating window $\frac{1}{1}\frac{?}{2018}$ to $12/21/2023.$

c$.$ Plot the rolling $2$ years $(104$ weeks$)$ Return Volatility for your firm and your

Market Portfolio with weekly returns from $\frac{1}{1}\frac{?}{2008}$ to $12/31/2023.$

d$.$ Plot the rolling $2$ years $(104$ weeks$)$ Return Correlation between your firm and

your Market Portfolio with weekly returns from $\frac{1}{1}\frac{?}{2008}$ to $\frac{12}{31}\frac{?}{2023}.$

Prepare a presentation with an audio commentary comparable to a live presentation

$($duration exactly $8$ Minutes$).$

Please submit your documents $($presentation$,$ input$/$ output files, code$)$ via "Assignments"

@canvas.

Filenames:

Code $4396\_$Y$2$CO$\_$CS$1\_$R$\_$G#

Input$/$ output files $4396\_$Y$2$CO$\_$CS$1\_$I$\_$G#$,0446\_$Y$2$CO$\_$CS$1\_$O$\_$G# Presentation

$4396\_$Y$2$CO$\_$CS$1\_$P$\_$G#