Tag: SML
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Which stock/fund has the highest alpha and which stock/fund has the lowest alpha?
Single Factor Model Estimation Part I: Single Factor Model Estimation Go to finance.yahoo.com and download monthly historical price data over the 5 year period from March 1, 2018 to February 28, 2023 of the following stocks or fund: a. S&P 500 index ETF (ticker: SPY) b. Delta (ticker: DAL) c. Amazon (ticker: AMZN) d. Apple…
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Provide graphs of the security market line and the actual position of the five portfolios for both time periods.
FINANCIAL ECONOMICS Instructions The coursework counts towards 20% of your assessment. Check Sussex Direct for the submission deadline. The coursework is individual work, carried out upholding the values of academic integrity. Upload your solution in a single PDF or Word document. You can copy and paste the results from the Excel exercise (Q1)…
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Using regression analysis estimate the CAPM equation Rpi = Rf +Bpi (Rm-Rf)+ Ei for each of the 3 portfolios. Interpret the meaning of the Bpi value in each of the 3 portfolios. Are there any surprises?
Question Below is a list of 17 US companies across 8 industries. The data file provided to you contains monthly returns on the 17 company stocks beginning in January 1993. Time series of the risk free rate and returns on the market index are also provided in the data file. Industry Company …