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The question requires you to download data from the Wharton Research Data Services (WRDS) in E-Resources of Library for the estimation of a firms beta
The question requires you to download data from the Wharton Research Data Services (WRDS) in E-Resources of Library for the estimation of a firms beta by the index model. You can download data as follows:
1. Go to access WRDS in E-Resources of Library and choose the database the Center for Research in Security Prices (CRSP)
2. Download a firms stock return (e.g. Disney) and the return on a broad market index (e.g. S&P500) by this access path: click on Stock / Security Files > Monthly Stock Files > choose the date range [Jan 2013-Dec2017] > enter the company code [DIS] > click on Holding Period Return without Dividends and Return on S&P Composite Index respectively > Select the excel spreadsheet format for the output file > Submit Query.
3. Download a risk-free rate proxy by this access path: click on Index /Treasury and Inflation > US Treasury and Inflation Indexes > choose the date range [Jan 2013-Dec2017] > choose monthly return data > click on 30 Day Bill> Select the excel spreadsheet format for the output file > Submit Query.
a. Calculate both the average and standard deviation of returns on the stock, the index and one- month T-bill respectively. (6 marks)
b. Plot the time series of returns on the stock and the index respectively. (2 marks)
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c. Calculate the excess return on the stock and the index respectively for each month. Find the beta of the stock by using the Analysis Tools in Data Analysis of Excel. Is the stock classified as aggressive or defensive? Explain. (3 marks)
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