Question
There are three columns of data: a monthly date, a closing price for an individual stock, and the market close. Calculate a monthly return series
- There are three columns of data: a monthly date, a closing price for an individual stock, and the market close.
- Calculate a monthly return series from the closing monthly prices of both the market and the individual security.
- Calculate the arithmetic mean return and the standard deviation of the monthly return for both series.
- Calculate the geometric mean return for both series.
- Calculate the beta of the individual security.
Date Closing Price Market Closing Price Security Return Market Return
12/1/2003 43.73 1111.92
1/1/2004 42.43 1131.13
2/1/2004 43.05 1144.94
3/1/2004 43.56 1126.21
4/1/2004 43.8 1107.3
5/1/2004 44.47 1120.68
6/1/2004 43.93 1140.84
7/1/2004 38.17 1101.72
8/1/2004 38.91 1104.24
9/1/2004 35.06 1114.58
10/1/2004 35.59 1130.2
11/1/2004 34.63 1173.82
12/1/2004 36.68 1211.92
1/1/2005 36.55 1181.27
2/1/2005 37.7 1203.6
3/1/2005 36.95 1180.59
4/1/2005 38.52 1156.85
5/1/2005 39.57 1191.5
6/1/2005 37.26 1191.33
7/1/2005 39.05 1234.18
8/1/2005 39.26 1220.33
9/1/2005 38.79 1228.81
10/1/2005 38.42 1207.01
11/1/2005 38.59 1249.48
12/1/2005 36.44 1248.29
1/1/2006 37.41 1280.08
2/1/2006 37.94 1280.66
3/1/2006 38.13 1294.87
4/1/2006 38.21 1310.61
5/1/2006 40.09 1270.09
6/1/2006 39.46 1270.2
7/1/2006 40.81 1276.66
8/1/2006 41.1 1303.82
9/1/2006 41.26 1335.85
10/1/2006 43.15 1377.94
11/1/2006 43.54 1400.63
12/1/2006 44.86 1418.3
1/1/2007 44.51 1438.24
2/1/2007 43.4 1406.82
3/1/2007 44.94 1420.86
4/1/2007 48.87 1482.37
5/1/2007 49.62 1530.62
6/1/2007 49.31 1503.35
7/1/2007 49.12 1455.27
8/1/2007 50.69 1473.99
9/1/2007 54.5 1526.75
10/1/2007 58.57 1549.38
11/1/2007 59.22 1481.14
12/1/2007 58.52 1468.36
1/1/2008 56.26 1378.55
2/1/2008 55.74 1330.63
3/1/2008 58.42 1322.7
4/1/2008 56.5 1385.59
5/1/2008 54.95 1400.38
6/1/2008 50.21 1280
7/1/2008 49.75 1267.38
8/1/2008 50.3 1282.83
9/1/2008 51.45 1164.74
10/1/2008 42.86 968.75
11/1/2008 45.99 896.24
12/1/2008 44.42 903.25
Step by Step Solution
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Step: 1
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