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i just need help with part 4 Part Three: Estimation of Beta Please complete the following requirements for two stocks, Dynex Capital Inc. (ticker DX);
i just need help with part 4
Part Three: Estimation of Beta Please complete the following requirements for two stocks, Dynex Capital Inc. (ticker DX); International Paper Company (ticker 1P). 1. (10 Points) Download monthly Adj. close prices (adjusted for dividend and stock split) from 12/1/2009 through 12/31/2012 for each stock. 2. (10 Points) Compute monthly holding period return using Adj. close prices. 3. (50 Points) Suppose we consider the USA S&P 500 index (GSPC) as the market portfolio. Estimate betas of DX and IP based on the index model regressions and show your regression output. (see section 6.5, page 166-171 of the textbook). 4.(30 Points) Based on the regression results, is there any arbitrage opportunity of trading the three securities, "GSPC, DX and IP? Is the arbitrage opportunity reliable? And explain why? (At least a half page discussion, double space) Part Three: Estimation of Beta Please complete the following requirements for two stocks, Dynex Capital Inc. (ticker DX); International Paper Company (ticker 1P). 1. (10 Points) Download monthly Adj. close prices (adjusted for dividend and stock split) from 12/1/2009 through 12/31/2012 for each stock. 2. (10 Points) Compute monthly holding period return using Adj. close prices. 3. (50 Points) Suppose we consider the USA S&P 500 index (GSPC) as the market portfolio. Estimate betas of DX and IP based on the index model regressions and show your regression output. (see section 6.5, page 166-171 of the textbook). 4.(30 Points) Based on the regression results, is there any arbitrage opportunity of trading the three securities, "GSPC, DX and IP? Is the arbitrage opportunity reliable? And explain why? (At least a half page discussion, double space) Step by Step Solution
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