Answered step by step
Verified Expert Solution
Link Copied!

Question

1 Approved Answer

Build a model to analyze a stock's beta, alpha and average monthly returns. Use your model to answer the following questions: What is the

 

Build a model to analyze a stock's beta, alpha and average monthly returns. Use your model to answer the following questions: What is the stock's beta? What is the stock's alpha? What is the stock's arithmetic average monthly return over the 10 years of historical data? What is the stock's geometric average monthly return over the 10 years of historical data? What is the stock's total return over 10 years? What is the total return from compounding the arithmetic average monthly return for 10 years? What is the total return from compounding the geometric average monthly return for 10 years? Month 0 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 56 16 Excess Market Return Excess Stock Return X -1.895% -4.412% -0.615% 5.356% 3.799% -0.212% -1.467% -3.193% 1.774% 11.080% -5.722% 6.791% -5.960% -0.780% 0.509% -2.012% X -1.660% -3.657% -1.435% 3.503% 2.471% 0.389% -1.320% -4.524% 3.292% 9.893% -4.894% 7.195% -4.155% -1.677% 1.176% -2.898% 1 + Excess Market Return X 1 + Excess Stock Return X Your Answer Cumulative Market Return 1.00 Correct Answer 0.72 0.27% 1.10% 1.04% 247.40% 272.54% 247.40% Cumulative Stock Return 1.00

Step by Step Solution

3.47 Rating (154 Votes )

There are 3 Steps involved in it

Step: 1

a financial model that can be used to analyze a stocks beta alpha and average monthly returns The model uses 10 years of historical data to calculate ... 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

Applied Regression Analysis And Other Multivariable Methods

Authors: David G. Kleinbaum, Lawrence L. Kupper, Azhar Nizam, Eli S. Rosenberg

5th Edition

1285051084, 978-1285963754, 128596375X, 978-1285051086

Students also viewed these Finance questions

Question

What are the seven situations that require feedback for users?

Answered: 1 week ago