The Stocks are attached to this file

The objectives of this exercise:

1. To access and download stock and index price data from yahoo.com.

2. To discern the difference between a real-time closing price and an adjusted closing price.

3. To discover how yahoo.com calculates beta for an individual stock.

4. To replicate the yahoo.com calculation for twenty firms in the S&P 500 index, tabulate the results and report your findings.

Learning Outcomes:

Students should be able to:

1. Identify individual stocks in the S&P 500 index and discuss the composition of the S&P 500 index.

2. Collect financial data including closing stock prices and adjusted closing stock prices.

3. Estimate beta from historical data.

4. Tabulate regression results and discuss empirical findings.

Guidelines:

1. You will be assigned twenty (20) stocks from the current S&P 500 index. You must use these 20 stocks (or, more precisely, the ticker symbols) to download data from yahoo.com. Go to yahoo.com, then Finance, then type in your ticker symbol. Next choose Historical Prices from the tabs on the left. Tag Monthly then choose the appropriate dates (to be determined below). Click Get Prices, scroll to the bottom of the page and download to spreadsheet (it is actually saved as a .csv file, but it will open okay in Excel). The last month of return data should be December 2016. Be sure to use end-of-month data! Yahoo might print a beginning of month date in the monthly output, but it should be end of month. To check this, look at the daily data and verify that the last day of the month is used in the monthly spreadsheet (it should be if you wait until after the sample period to collect your data).

2. You must determine how exactly yahoo.com calculates historical beta, then replicate their calculations. This requires the use of regression software (or functions in Excel, if you know how to do that). Note, you must calculate returns first. Is the data sorted correctly in time order? If not, you must sort your stock prices and market prices so that the oldest prices are first, then calculate returns. Answer the following questions:

a. How, exactly, does yahoo.com calculate their beta? How many months of return data do they use? How many months of price data do you need? How do you know that you and Yahoo used the same data period?

b. Should you use closing price or adjusted price when calculating returns? Why?

c. What is the market proxy? What ticker did you use for your market proxy?

3. After calculating returns for your twenty stocks and the market, you must calculate beta for each of your twenty stocks. Create a Table showing the following: Ticker, Company Name, yahoo beta, calculated beta, intercept and r-square from your regressions.

4. Do your regression results match yahoo.com results? Why or why not?

Output:

You must submit a brief write-up of your results. Your paper should be detailed enough so that someone else could pick up your paper and replicate your results. So, you will need a brief introduction describing your data sources, how you manipulated the data, how you calculated returns, how you calculated beta, a Table, and a brief summary and discussion of your findings. In total, you must submit:

1. Your write-up as a Word file including the Table described above in Guideline #3 and your answers to the various questions.

2. An Excel spreadsheet (one sheet), properly formatted, containing the ticker symbol, closing price, adjusted price and dates (dates should be the same for each ticker) for each of your twenty stocks and your market proxy.

3. Another Excel spreadsheet, properly formatted, detailing how, exactly, you calculated the results in your Table (i.e., replicate the detailed findings for your stocks). The two Excel worksheets should be in one file with two different labeled worksheet tabs. Alternatively, you may use 20 Excel sheets named with the ticker symbol if you wish to combine the date, ticker symbol, closing price, adjusted closing price, and calculations and/or regressions separately for each of your 20 companies.

List of Stocks in the S&P 500 Index on December 31, 2016: Ticker No. Ticker Symbol Company SCANA Corp 401 SCG Schlumberger Ltd 402 SLB Scripps Networks Interactive 403 SNI Seagate Technology 404 STX Sealed Air Corp 405 SEE Sempra Energy 406 SRE Sherwin-Williams Co 407 SHW Signet Jewelers 408 SIG Simon Property Group 409 SPG Skyworks Solutions Inc. 410 SWKS SL Green Realty 411 SLG Smucker J.M. Co 412 SJM Snap On Inc 413 SNA Southern Co 414 SO Southwest Airlines Co 415 LUV Southwestern Energy Co 416 SWN Spectra Energy Corp 417 SE Stanley Black & Decker 418 SWK Staples Inc 419 SPLS Starbucks Corp 420 SBUX