Run a single factor regression model for foreign portfolio #2 and write the solution for beta in the blank.
beta FP#2 =
Excel File 35% 0 Sun 10:22 PM Tony Laaksonen Q E Share Comments AS#8: FS Returns & GK Edit View Insert Format Tools Data Window Help ... AutoSave OFF QE S U AS#10-SystematicRiskData(FIN3582) Home Insert Draw Page Layout Formulas Data Review View Calibri (Body) 12 A A = = = General Paste BI U OA E $ % 38 H6 x fax ! Conditional Formatting Format as Table Cell Styles ! Insert 2X Delete Format Editing Ideas UMSL Account CO) Dashboard Courses 38 FP#1: On 15-Sep a Malaysian investor buys, on margin, Mitsui stock trading on the Tokyo Stock Exchange, denominated in JPY. FP#2: On 15-Sep a Japanese investor shorts Mitsui stock trading on the Malaysian Stock Exchange, Kuala Lumpur denominated in Malaysian ringgit. Portfolio Date Security Position Margin Currency Foreign Portfolio #1 Matsui (JPY) Long IM = 52% Yen (JPY) Purchase 15-Sep6,290.69375 MM = 45% 95.81 JPY/USD Date of Record 16-Oct Dividend payment 20-Oct 14.49 Liquidation 10-Nov 6,714.84375 101.33 JPY/USD Foreign Portfolio #2 Matsui (MYR) Short IM = 59% Ringgit (MYR) Short 15-Sep RM 314.5345 4.2815 MYR/USD Date of Record 16-Oct MM = 48% Dividend payment 20-Oct RM 0.7245 Liquidation 10-Nov RM 335.742 4.7866 MYR/USD Groups Calendar & Inbox Help Descriptions Data + E E - - + 100% E Comments Ideas M N Excel File Edit View Insert Format Tools Data Window Help 35% 0 Sun 10:22 PM Tony Laaksonen Q ... AutoSave OFF QES UE AS#10-SystematicRiskData(FIN3582) Home Insert Draw Page Layout Formulas Data Review View Share AS#8: FS Returns & GK Verdana 12 A A = = = General ! Conditional Formatting ! Insert Format as Table 9X Delete Paste B U D OWA $ Editing % 28 * Cell Styles Format E18 X fx G H I J K L Table 10.2 Data Inputs for Risk Evaluation Account Kuala Mitsui in Mitsui in Nikki 400 MYR FX JPY FX Lumpur Date MYR/USD JPY/USD MYR/JPY JPY/MYR JPY () Ringgit (RM) Index Index Index CO) Index Dashboard 15-Sep 6290.69 314.5345 1962.87 1768.11 95.81 4.2815 85.63591.68 0.044687 22.37767 22-Sep 6,616.14 330.8069 1999.49 1782.91 9 3.15 4.5345 84.892 91.78 0.04868 20.54251 Courses 29-Sep 7,070.38 353.5188 2016.42 | 1732.44 90.64 4.5161 84.016 91.9 0.049825 20.07041 6,539.13 326.9563 1717.25 96.27 4.8979 38 85.839 91.65 0.050877 19.65536 Groups Pag, 4 13-Oct 6,681.58 334.0791 1953.25 1756.73 99.32 5 .005 85.729 91.66 0.050393 19.84416 20-Oct 6,390.70 319.5352 2043.631777.98 104.73 5.1215 87.811 91.39 0.048902 20.44909 Calendar 627-Oct 6,547.04 327.3519 2 056.61 1770.06 105.67 4.9909 88.127 91.35 0.047231 21.17253 3-Nov 6,613.23 330.6613 2092.79 1785.37 103.48 4.6484 86.45591.57 0.044921 22.26142 118 10-Nov 6714.84 335.7420 2035.92 1793.52 101.33 4.7866 80.635 92.42 0.047238 21.16951 Inbox 6-Oct Help I Descriptions Data + E B - O + 100% Excel File 35% 0 Sun 10:22 PM Tony Laaksonen Q E Share Comments AS#8: FS Returns & GK Edit View Insert Format Tools Data Window Help ... AutoSave OFF QE S U AS#10-SystematicRiskData(FIN3582) Home Insert Draw Page Layout Formulas Data Review View Calibri (Body) 12 A A = = = General Paste BI U OA E $ % 38 H6 x fax ! Conditional Formatting Format as Table Cell Styles ! Insert 2X Delete Format Editing Ideas UMSL Account CO) Dashboard Courses 38 FP#1: On 15-Sep a Malaysian investor buys, on margin, Mitsui stock trading on the Tokyo Stock Exchange, denominated in JPY. FP#2: On 15-Sep a Japanese investor shorts Mitsui stock trading on the Malaysian Stock Exchange, Kuala Lumpur denominated in Malaysian ringgit. Portfolio Date Security Position Margin Currency Foreign Portfolio #1 Matsui (JPY) Long IM = 52% Yen (JPY) Purchase 15-Sep6,290.69375 MM = 45% 95.81 JPY/USD Date of Record 16-Oct Dividend payment 20-Oct 14.49 Liquidation 10-Nov 6,714.84375 101.33 JPY/USD Foreign Portfolio #2 Matsui (MYR) Short IM = 59% Ringgit (MYR) Short 15-Sep RM 314.5345 4.2815 MYR/USD Date of Record 16-Oct MM = 48% Dividend payment 20-Oct RM 0.7245 Liquidation 10-Nov RM 335.742 4.7866 MYR/USD Groups Calendar & Inbox Help Descriptions Data + E E - - + 100% E Comments Ideas M N Excel File Edit View Insert Format Tools Data Window Help 35% 0 Sun 10:22 PM Tony Laaksonen Q ... AutoSave OFF QES UE AS#10-SystematicRiskData(FIN3582) Home Insert Draw Page Layout Formulas Data Review View Share AS#8: FS Returns & GK Verdana 12 A A = = = General ! Conditional Formatting ! Insert Format as Table 9X Delete Paste B U D OWA $ Editing % 28 * Cell Styles Format E18 X fx G H I J K L Table 10.2 Data Inputs for Risk Evaluation Account Kuala Mitsui in Mitsui in Nikki 400 MYR FX JPY FX Lumpur Date MYR/USD JPY/USD MYR/JPY JPY/MYR JPY () Ringgit (RM) Index Index Index CO) Index Dashboard 15-Sep 6290.69 314.5345 1962.87 1768.11 95.81 4.2815 85.63591.68 0.044687 22.37767 22-Sep 6,616.14 330.8069 1999.49 1782.91 9 3.15 4.5345 84.892 91.78 0.04868 20.54251 Courses 29-Sep 7,070.38 353.5188 2016.42 | 1732.44 90.64 4.5161 84.016 91.9 0.049825 20.07041 6,539.13 326.9563 1717.25 96.27 4.8979 38 85.839 91.65 0.050877 19.65536 Groups Pag, 4 13-Oct 6,681.58 334.0791 1953.25 1756.73 99.32 5 .005 85.729 91.66 0.050393 19.84416 20-Oct 6,390.70 319.5352 2043.631777.98 104.73 5.1215 87.811 91.39 0.048902 20.44909 Calendar 627-Oct 6,547.04 327.3519 2 056.61 1770.06 105.67 4.9909 88.127 91.35 0.047231 21.17253 3-Nov 6,613.23 330.6613 2092.79 1785.37 103.48 4.6484 86.45591.57 0.044921 22.26142 118 10-Nov 6714.84 335.7420 2035.92 1793.52 101.33 4.7866 80.635 92.42 0.047238 21.16951 Inbox 6-Oct Help I Descriptions Data + E B - O + 100%
