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Given the sample of returns of the Top Black Asphalt Company and the S&P 500 index,...
. Given the sample of returns of the Top Black Asphalt Company and the S&P 500...
. Given the sample of returns of the Top Black Asphalt Company and the S&P 500 index, calculate Top Black's covariance and beta. I Year Rs(Top Black) +15% + 6% -10% 0 ( Rm(Market) +8% +2% -7% 3% 2% 0% 1 4% )
Consider a portfolio that is 60% (wS) in the S&P 500 index and 40% (wB) in...
Consider a portfolio that is 60% (wS) in the S&P 500 index and 40% (wB) in the JPM bond index. Suppose an analyst estimates that E[rS] = 15%, σs = 20%, E[rB] = 10%, σB =12%, and ρ = 0%. 1) Calculate the portfolio's standard deviation given that the correlation is zero: 2) Calculate the weighted average of the standard deviations of the S&P 500 index and the JPM bond index:
For the past two years, S&P 500 Index has the annual returns of 9% and 22%....
For the past two years, S&P 500 Index has the annual returns of 9% and 22%. FB stock has the annual returns of 32% and 27%. Based on the information, compute the beta for FB stock.
Average 4-2 The spreadsheet below contains the total returns for the S&P 500 Index for the...
Average 4-2 The spreadsheet below contains the total returns for the S&P 500 Index for the years 2000-2009 in decimal form. This 10-year period has been called the "Lost Decade a. Calculate the average annual total return (geometric mean) for this index for this 10-year period. Interpret your result. b. What was the cumulative wealth on December 31, 2009, per dollar invested on January 1, 2000? c. What was the cumulative wealth on December 31, 2002, per dollar invested on...
Let Y and X be weekly excess returns of a US firm and S&P 500 index...
Let Y and X be weekly excess returns of a US firm and S&P 500 index for the past two years, respectively. The regression output for this data set in shown in the table below: (You can actually download similar data from http://finance.yahoo.com/) Variable Coefficient Intercept -0.008194 1.690067 t-value p-value 0.0282 12.392<2×10-16 s.e. 0.003680-2.22 7 0.136379 n 103 R 0.6033 s 0.03734 (ii) Compute the sample variance for Y (รื่.) and sample correlation between X and Y (Txy).
1. Stock prices and stand-alone risk The S&P 500 Index is one of the most commonly...
1. Stock prices and stand-alone risk The S&P 500 Index is one of the most commonly used benchmark indices for the U.S. equity markets. Consisting of 500 companies, it is a market value-weighted index. This means that each company's performance is reflected in the index, weighted by the ratio of the company's value to the total value of all the companies. Based on your understanding of P/E ratios, in which of the following situations would the average trailing P/E ratio...
return on the S&P 500 index is 7.7% When the three month treasury bill rate is...
return on the S&P 500 index is 7.7% When the three month treasury bill rate is 0. per year. The Beta for Walmart stock is 0.19 and the beta for Apple Computer in Please answer the following question. SML (B) Beta-1 Beta=0 a. In the diagram above, please fill in (A) and (B) with both symbols in the SML and numbers. (1 pt) b. Please calculate the expected return on Walmart stock with an equation. (0.5pt) C. Please calculate the...
1. using daily historical returns for the S&P 500 and the Toronto Stock Exchange Composite (TSX)...
1. using daily historical returns for the S&P 500 and the Toronto Stock Exchange Composite (TSX) you notice that the majority of the times when the S&P 500 has positive returns so does the TSX composite. Based on this qualitative assessment, one could expect that: a) the covariance between the return in the S&P 500 and TSX is greater than 0 b)the covariance between the return in the S&P 500 and TSX is equal to 0 c) the correlation between...
Realized Return for the S&P 500, Microsoft, and Treasury Bills, 2002-2014 S&P 500 Index Dividends Paid...
Realized Return for the S&P 500, Microsoft, and Treasury Bills, 2002-2014 S&P 500 Index Dividends Paid S&P 500 Realized Return Microsoft Realized Return 1-Month T-Bill Return Year End 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 1148.08 879.82 1111.92 1211.92 1248.29 418.30 1468.36 903.25 1115.10 1257.64 1257.60 1426.19 1848.36 2058.90 20.80 20.98 23.15 -22.1% 28.7% 109% -22 0% 6.8% 89% 15.8% 5.5% -37.0% 26 5% 158% 20.8% -44.4% 60 5% -65% -4.5% 4.8% 47%...
Let Y and X be weekly excess returns of a US firm and S&P 500 index...
Let Y and X be weekly excess returns of a US firm and S&P 500 index for the past two years, respectively. The regression output for this data set in shown in the table below: (You can actually download similar data from http://finance.yahoo.com/) Variable Coefficient Intercept -0.008194 1.690067 t-value p-value 0.0282 12.392<2×10-16 s.e. 0.003680-2.22 7 0.136379 n 103 R 0.6033 s 0.03734 (iv) Suppose further that X = 0.0001 and 8x = 0.02711201. Construct the 90% forecast interval for the...
. Given the sample of returns of the Top Black Asphalt Company and the S&P 500 index, calculate Top Black's covariance and beta. I Year Rs(Top Black) +15% + 6% -10% 0 ( Rm(Market) +8% +2% -7% 3% 2% 0% 1 4% )
Average 4-2 The spreadsheet below contains the total returns for the S&P 500 Index for the years 2000-2009 in decimal form. This 10-year period has been called the "Lost Decade a. Calculate the average annual total return (geometric mean) for this index for this 10-year period. Interpret your result. b. What was the cumulative wealth on December 31, 2009, per dollar invested on January 1, 2000? c. What was the cumulative wealth on December 31, 2002, per dollar invested on...
Let Y and X be weekly excess returns of a US firm and S&P 500 index for the past two years, respectively. The regression output for this data set in shown in the table below: (You can actually download similar data from http://finance.yahoo.com/) Variable Coefficient Intercept -0.008194 1.690067 t-value p-value 0.0282 12.392<2×10-16 s.e. 0.003680-2.22 7 0.136379 n 103 R 0.6033 s 0.03734 (ii) Compute the sample variance for Y (รื่.) and sample correlation between X and Y (Txy).
1. Stock prices and stand-alone risk The S&P 500 Index is one of the most commonly used benchmark indices for the U.S. equity markets. Consisting of 500 companies, it is a market value-weighted index. This means that each company's performance is reflected in the index, weighted by the ratio of the company's value to the total value of all the companies. Based on your understanding of P/E ratios, in which of the following situations would the average trailing P/E ratio...
return on the S&P 500 index is 7.7% When the three month treasury bill rate is 0. per year. The Beta for Walmart stock is 0.19 and the beta for Apple Computer in Please answer the following question. SML (B) Beta-1 Beta=0 a. In the diagram above, please fill in (A) and (B) with both symbols in the SML and numbers. (1 pt) b. Please calculate the expected return on Walmart stock with an equation. (0.5pt) C. Please calculate the...
Realized Return for the S&P 500, Microsoft, and Treasury Bills, 2002-2014 S&P 500 Index Dividends Paid S&P 500 Realized Return Microsoft Realized Return 1-Month T-Bill Return Year End 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 1148.08 879.82 1111.92 1211.92 1248.29 418.30 1468.36 903.25 1115.10 1257.64 1257.60 1426.19 1848.36 2058.90 20.80 20.98 23.15 -22.1% 28.7% 109% -22 0% 6.8% 89% 15.8% 5.5% -37.0% 26 5% 158% 20.8% -44.4% 60 5% -65% -4.5% 4.8% 47%...
Let Y and X be weekly excess returns of a US firm and S&P 500 index for the past two years, respectively. The regression output for this data set in shown in the table below: (You can actually download similar data from http://finance.yahoo.com/) Variable Coefficient Intercept -0.008194 1.690067 t-value p-value 0.0282 12.392<2×10-16 s.e. 0.003680-2.22 7 0.136379 n 103 R 0.6033 s 0.03734 (iv) Suppose further that X = 0.0001 and 8x = 0.02711201. Construct the 90% forecast interval for the...
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