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The relevant data sets are provided to you at the bottom of this sheet, regarding two competitor stocks: China Eastern Airlines (CEA) and China Southern Airlines (ZNH). Based on the given data, you shall calculate the following measures to answer the following questions: 1) If each of these two stocks is considered stand-alone only, what is the "coefficient of variation over the past decade for each stock's return, respectively? 2) If portfolio diversification strategies are feasible, what shall be the long-term expected return in market equilibrium (determined by the CAPM) for each stock, respectively? 3) Based on your findings in 1) and 2), what shall be the market-risk-adjusted excess return ("Alpha") for each stock, respectively? 4) Based on all above findings: Over the past 5 years, if each stock is stand-alone only, which stock has performed relatively better i.e., with a more favorable risk-return tradeoff)? If each stock is combined with other stocks in portfolio, which stock has performed relatively better (i.e., with a more favorable risk-return tradeoff)? CEA stock prices, monthly, 12/2015-11/2020 ZNH Historical Beta monthly 1.80 Date US T-bond return, 1918-2019 annual avg. 5.15% 1 1 1 1 1 TI - - A027-- - 1 1 - 1 - - - 1 - 1 - 1 1 Date 12/1/15 1/1/16 2/1/16 3/1/16 4/1/16 5/1/16 6/1/16 7/1/16 8/1/16 9/1/16 10/1/16 11/1/16 12/1/16 1/1/17 2/1/17 3/1/17 441417 5/1/17 6/1/17 7/1/17 8/1/17 9/1/17 10/1/17 11/1/17 12/1/17 1/1/18 2/1/18 3/1/18 4/1/18 5/1/18 6/1/18 7/1/18 8/1/18 9/1/18 10/1/18 11/1/18 12/1/18 1/1/19 2/1/19 3/1/19 4/1/19 5/1/19 6/1/19 7/1/19 8/1/19 9/1/19 10/1/19 11/1/19 12/1/19 1/1/20 2/1/20 3/1/20 4/1/20 5/1/20 6/1/20 7/1/20 8/1/20 9/1/20 10/1/20 11/1/20 1 1 1 1 1 1 1 1 1 1 Data sets provided as below: ZNH stock prices, monthly 12/2015-11/2020 CEA Historical Beta (5Y monthly 0.85 Adj Close 12/1/15 $35.83 1/1/16 $28.14 1 S&P 500 stock return, 1928-2019 annual avg. 2/1/16 $26.56 11.57% 3/1/16 $29.34 1 4/1/16 $28.97 5/1/16 $27.81 1 6/1/16 $26.75 7/1/16 $31.75 1 8/1/16 $28.65 9/1/16 $26.97 1 10/1/16 $26.91 11/1/16 $27.53 1 12/1/16 $24.63 1/1/17 $27.75 2/1/17 $31.26 3/1/17 $31.86 21:32 5/1/17 $36.74 6/1/17 $39.67 7/1/17 $37.19 8/1/17 $37.65 9/1/17 $33.52 1 10/1/17 $36.07 11/1/17 $43.86 1 12/1/17 $50.54 1/1/18 $63.10 2/1/18 $64.48 3/1/18 $51.33 1 4/1/18 $52.73 5/1/18 $48.06 6/1/18 $38.55 1 7/1/18 $35.10 8/1/18 $32.94 1 9/1/18 $31.70 10/1/18 $27.11 1 11/1/18 $33.94 12/1/18 $30.04 I 11/19 $35.49 2/1/19 $40.01 I 3/1/19 $43.05 1 4/1/19 $42.54 I 5/1/19 $31.51 6/1/19 $33.94 I 7/1/19 $32.38 8/1/19 $28.22 1 9/1/19 $30.05 10/1/19 $30.93 11/1/19 $31.44 12/1/19 $33.60 1/1/20 $27.61 1 2/1/20 $26.78 1 3/1/20 $21.72 1 4/1/20 $25.17 1 5/1/20 $20.84 1 6/1/20 $22.09 7/1/20 $22.94 8/1/20 $26.21 9/1/20 $27.19 10/1/20 $26.82 11/1/20 $28.60 Adj Close $26.50 $22.83 $22.29 $25.20 $24.95 $25.42 $23.95 $26.55 $24.52 $21.90 $21.37 $23.04 $21.48 $24.17 $26.54 $27.48 $25.13 $28.21 $2941 $26.89 $26.72 $23.77 $24.78 $28.70 $35.15 $43.69 $41.15 $35.79 $39.54 $38.22 $33.21 $30.54 $31.40 $31.37 $27.64 $30.89 $26.91 $30.33 $31.55 $33.77 $33.81 $26.94 $28.91 $27.00 $23.19 $23.72 $24.31 $24.91 $26.90 $22.40 $21.05 $17.09 $19.38 $17.08 $17.81 $17.41 $20.31 $21.60 $19.65 $20.89 1 1 1 1 Page Page 4 1 Page 6 1 1 1 1 1 1 1 1 1 1 1 1 1 The relevant data sets are provided to you at the bottom of this sheet, regarding two competitor stocks: China Eastern Airlines (CEA) and China Southern Airlines (ZNH). Based on the given data, you shall calculate the following measures to answer the following questions: 1) If each of these two stocks is considered stand-alone only, what is the "coefficient of variation over the past decade for each stock's return, respectively? 2) If portfolio diversification strategies are feasible, what shall be the long-term expected return in market equilibrium (determined by the CAPM) for each stock, respectively? 3) Based on your findings in 1) and 2), what shall be the market-risk-adjusted excess return ("Alpha") for each stock, respectively? 4) Based on all above findings: Over the past 5 years, if each stock is stand-alone only, which stock has performed relatively better i.e., with a more favorable risk-return tradeoff)? If each stock is combined with other stocks in portfolio, which stock has performed relatively better (i.e., with a more favorable risk-return tradeoff)? CEA stock prices, monthly, 12/2015-11/2020 ZNH Historical Beta monthly 1.80 Date US T-bond return, 1918-2019 annual avg. 5.15% 1 1 1 1 1 TI - - A027-- - 1 1 - 1 - - - 1 - 1 - 1 1 Date 12/1/15 1/1/16 2/1/16 3/1/16 4/1/16 5/1/16 6/1/16 7/1/16 8/1/16 9/1/16 10/1/16 11/1/16 12/1/16 1/1/17 2/1/17 3/1/17 441417 5/1/17 6/1/17 7/1/17 8/1/17 9/1/17 10/1/17 11/1/17 12/1/17 1/1/18 2/1/18 3/1/18 4/1/18 5/1/18 6/1/18 7/1/18 8/1/18 9/1/18 10/1/18 11/1/18 12/1/18 1/1/19 2/1/19 3/1/19 4/1/19 5/1/19 6/1/19 7/1/19 8/1/19 9/1/19 10/1/19 11/1/19 12/1/19 1/1/20 2/1/20 3/1/20 4/1/20 5/1/20 6/1/20 7/1/20 8/1/20 9/1/20 10/1/20 11/1/20 1 1 1 1 1 1 1 1 1 1 Data sets provided as below: ZNH stock prices, monthly 12/2015-11/2020 CEA Historical Beta (5Y monthly 0.85 Adj Close 12/1/15 $35.83 1/1/16 $28.14 1 S&P 500 stock return, 1928-2019 annual avg. 2/1/16 $26.56 11.57% 3/1/16 $29.34 1 4/1/16 $28.97 5/1/16 $27.81 1 6/1/16 $26.75 7/1/16 $31.75 1 8/1/16 $28.65 9/1/16 $26.97 1 10/1/16 $26.91 11/1/16 $27.53 1 12/1/16 $24.63 1/1/17 $27.75 2/1/17 $31.26 3/1/17 $31.86 21:32 5/1/17 $36.74 6/1/17 $39.67 7/1/17 $37.19 8/1/17 $37.65 9/1/17 $33.52 1 10/1/17 $36.07 11/1/17 $43.86 1 12/1/17 $50.54 1/1/18 $63.10 2/1/18 $64.48 3/1/18 $51.33 1 4/1/18 $52.73 5/1/18 $48.06 6/1/18 $38.55 1 7/1/18 $35.10 8/1/18 $32.94 1 9/1/18 $31.70 10/1/18 $27.11 1 11/1/18 $33.94 12/1/18 $30.04 I 11/19 $35.49 2/1/19 $40.01 I 3/1/19 $43.05 1 4/1/19 $42.54 I 5/1/19 $31.51 6/1/19 $33.94 I 7/1/19 $32.38 8/1/19 $28.22 1 9/1/19 $30.05 10/1/19 $30.93 11/1/19 $31.44 12/1/19 $33.60 1/1/20 $27.61 1 2/1/20 $26.78 1 3/1/20 $21.72 1 4/1/20 $25.17 1 5/1/20 $20.84 1 6/1/20 $22.09 7/1/20 $22.94 8/1/20 $26.21 9/1/20 $27.19 10/1/20 $26.82 11/1/20 $28.60 Adj Close $26.50 $22.83 $22.29 $25.20 $24.95 $25.42 $23.95 $26.55 $24.52 $21.90 $21.37 $23.04 $21.48 $24.17 $26.54 $27.48 $25.13 $28.21 $2941 $26.89 $26.72 $23.77 $24.78 $28.70 $35.15 $43.69 $41.15 $35.79 $39.54 $38.22 $33.21 $30.54 $31.40 $31.37 $27.64 $30.89 $26.91 $30.33 $31.55 $33.77 $33.81 $26.94 $28.91 $27.00 $23.19 $23.72 $24.31 $24.91 $26.90 $22.40 $21.05 $17.09 $19.38 $17.08 $17.81 $17.41 $20.31 $21.60 $19.65 $20.89 1 1 1 1 Page Page 4 1 Page 6 1 1 1 1 1 1 1 1 1 1 1 1 1