Answered step by step
Verified Expert Solution
Link Copied!

Question

1 Approved Answer

(5) Download the historical data for market index during the same sample period and calculate its holding period returns. Since ^GSPC is not available to

(5) Download the historical data for market index during the same sample period and calculate its holding period returns. Since ^GSPC is not available to download directly on yahoo finance, you can use ^SPY instead, which is an ETF for S&P 500 index. Use SPY's holding period returns as market returns, run a regression to estimate the beta of this stock. Y: stock returns . X: market returns.

(6) Once beta is estimated, calculate the expected return of this stock using CAPM. According to CAPM, Expected return = Rf + beta*(Rm-Rf). In this equation, Rf is risk-free rate, the one-year Treasury bill yield is widely considered as the risk-free rate. Rm is historical annualized market return, which can be calculated using average of daily S&P 500 returns in part (5) multiplied by 252.

please provide answer using excel

Step by Step Solution

There are 3 Steps involved in it

Step: 1

blur-text-image

Get Instant Access to Expert-Tailored Solutions

See step-by-step solutions with expert insights and AI powered tools for academic success

Step: 2

blur-text-image

Step: 3

blur-text-image

Ace Your Homework with AI

Get the answers you need in no time with our AI-driven, step-by-step assistance

Get Started

Recommended Textbook for

Technical Analysis Of The Financial Markets

Authors: John J. Murphy

1st Edition

0735200661, 978-0735200661

More Books

Students also viewed these Finance questions

Question

Exude confidence, not arrogance.

Answered: 1 week ago

Question

3.1 Given A = 3E1, E3, E6, E94 , define A.

Answered: 1 week ago