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Exercise 1

Consider an asset with prices P0 = $10.00, P1 = $10.40, P2 = $10.20, P3 = $11.00, and P4 = $11.10. Find the corresponding returns and log-returns.

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Exercise 4

Suppose that an asset has prices P0 = $4.00, P1 = $4.80, P2 = $5.00, and P3 = $5.40 and dividends D1 = 0, D2 = 0.40, and D3 = 0. Find the corresponding returns.

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Exercise 5

For the asset prices and dividends given in Exercise 4, compute the adjusted prices.

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Exercise 13

Consider stock in Papa Johns International, Inc. (symbol PZZA).

Using the R function get.hist.quote, download the adjusted prices needed to calculate three years of daily returns for the period ending December 31, 2015.

Compute five years of monthly returns corresponding to the prices obtained in Part (a).

Use the function summary to compute the summary statistics for the returns computed in Part (b).

Construct a time series plot of the returns calculated in Part (b).

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Exercise 15

For the five years of monthly return data for Papa Johns stock calculated in Exercise 14, calculate the running means using a width of 12 months. Plot the running means versus time; include error bars in the plot; see Example 2.18. Based on this plot, what do you conclude regarding the weak stationarity of the stochastic process corresponding to monthly returns on Papa Johns stock?

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Exercise 18

For the three years of daily returns on Papa Johns stock calculated in Exercise 13, construct a normal probability plot; see Example 2.23. Based on this plot, what do you conclude regarding the distribution of daily returns of Papa Johns stock?

Repeat the analysis using the five years of monthly returns on Papa Johns stock calculated in Exercise 14. Do you reach the same conclusions as you did when analyzing the daily returns?

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