Assignment Required 1) Return construction. (Any share as example) a) Obtain daily share price data for any company listed in Bursa Malaysia. Data is available from Yahoo Finance/Google Finance for over a year (1 Jun 2018 - 30 June 2019). b) Using excel, match the date of your stock to Malaysia Treasury Bill and FTSE Malaysia KLCI (refer to excel template: File name: TMA 1). Convert the price data into a continuously compounded daily return series. c) Using excel or any relevant application, plot the daily return series. Does the series look predictable? (Hint: Use Line Chart) d) Provide statistical tests which examine the distribution of the returns. Comment. (Hint: Use Expected Return, Variance, Standard Deviation) (15 marks)

2) Asset pricing. a) Referring to data given, FTSE Malaysia KLCI is a proxy for market, while Malaysia 3 Months Treasury Bill is a proxy for risk free rate. Estimate of the expected market rate of return and the risk free rate. (Hint: Use Expected Return, Variance, Standard Deviation) b) Justify your estimates. c) Use the CAPM to formulate an expected return for your stock. [Note: you will have to consider the issue of imputation.] ==+( ). [15 marks]

3) Beta estimation. a) Estimate the beta of your chosen company using the data collected in part 1 and Market return. [Note: your beta estimation procedure will need to be justified.] b) Comment on your beta estimate with reference to: stability across time sensitivity to the market index [25 marks]

4) Valuation. a) Forecast the next five years of dividends for your company. Justify your forecasts. b) From your answer to part 4(a), use the Dividend Discount Model to estimate the value of your share. Assume a perpetuity for the dividend stream after 5 years. [20 marks]

5) Market efficiency. a) Compare your theoretical estimate of your stock share price in part 4(b) to the average market price of the share over the last few months. b) What does your valuation indicate that you should do? Discuss. c) Is your valuation and the current market price consistent with the notion of an efficient capital market? Discuss. [25 marks]