Go to finance.yahoo.com and find the monthly rates of return over a 2-year period for five companies of your choice. Then, access the WRDS database (https://wrds- web.wharton.upenn.edu/wrds/) using the following login information: Username: f3012019 Password: FIN3_rcks!! 1. Locate the same companies from the WRDS database and verify that the monthly returns from CRSP and yahoo are identical to each other. Note that WRDS contains more information about the financials of public firms compared to Yahoo. Explore this database as you desire. How to access the stock return data after logging into the WRDS? Click on CRSP / Stock - Security Files / Monthly Stock File and follow the instructions on the data download page. Note that you should download the "Holding period return with dividends" and "Holding period return" series. By the way, what is the difference between the two? 2. Now assume you form each month an equally weighted portfolio of five firms (i.e., a portfolio with equal investments in each firm). What is the rate of return each month on your portfolio? 3. Compare the standard deviation of the monthly portfolio return with that of each firm and with the average standard deviation across the five firms. What do you conclude about portfolio diversification? 4. Use the Excel functions for average (AVERAGE) and sample standard deviation (STDEV) to calculate the average and the standard deviation of the returns for each of the five firms. 5. Use Excel's correlation function (CORREL) to find the correlations between each pair of five stocks. What are the highest and lowest correlations? 6. Try finding correlations between pairs of stocks in the same industry. Are the correlations higher than those you found in part (5)? Is this surprising? Please email us your solutions in an Excel worksheet. upload a response file (15MB max) Dosya Se Dosya seilmedi save Go to finance.yahoo.com and find the monthly rates of return over a 2-year period for five companies of your choice. Then, access the WRDS database (https://wrds- web.wharton.upenn.edu/wrds/) using the following login information: Username: f3012019 Password: FIN3_rcks!! 1. Locate the same companies from the WRDS database and verify that the monthly returns from CRSP and yahoo are identical to each other. Note that WRDS contains more information about the financials of public firms compared to Yahoo. Explore this database as you desire. How to access the stock return data after logging into the WRDS? Click on CRSP / Stock - Security Files / Monthly Stock File and follow the instructions on the data download page. Note that you should download the "Holding period return with dividends" and "Holding period return" series. By the way, what is the difference between the two? 2. Now assume you form each month an equally weighted portfolio of five firms (i.e., a portfolio with equal investments in each firm). What is the rate of return each month on your portfolio? 3. Compare the standard deviation of the monthly portfolio return with that of each firm and with the average standard deviation across the five firms. What do you conclude about portfolio diversification? 4. Use the Excel functions for average (AVERAGE) and sample standard deviation (STDEV) to calculate the average and the standard deviation of the returns for each of the five firms. 5. Use Excel's correlation function (CORREL) to find the correlations between each pair of five stocks. What are the highest and lowest correlations? 6. Try finding correlations between pairs of stocks in the same industry. Are the correlations higher than those you found in part (5)? Is this surprising? Please email us your solutions in an Excel worksheet. upload a response file (15MB max) Dosya Se Dosya seilmedi save
