Question
I have completed up to Question 10 on this project, but I am struggling with 11 and 12. Can you provide assistance? Estimation of Beta
I have completed up to Question 10 on this project, but I am struggling with 11 and 12. Can you provide assistance?
Estimation of Beta
Please answer the following questions for two stocks, Dynex Capital Inc. (ticker DX) and International Paper Company (ticker IP). The risk free rate is provided in a separate EXCEL file. Note that the risk free rate is quoted as annual percentage rate.
Q7: (4') Download monthly Adj. close prices (adjusted for dividend and stock split) from 01/01/2013 through 12/31/2018 for each stock.
Q8: (8') Compute monthly holding period return using Adj. close prices for each stock.
Suppose we consider the US S&P 500 index (ticker: ^GSPC) as the market portfolio.
Q9: (4') Download monthly Adj. close prices for the S&P 500 index from 01/01/2013 through 12/31/2018.
Q10: (4') Compute monthly holding period return using Adj. close prices for the S&P 500 index.
Q11: (12') Estimate betas of DX and IP based on the index model regressions and show your regression output.
Q12: Calculate mean return (4'), Standard deviation (4'), and beta of the two portfolios (6'): Portfolio A (90% in ^GSPC and 10% in DX), Portfolio B (90% in ^GSPC and 10% in IP).
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