FIN 5620 Investments;Project 1: Beta and Return.;This project is worth 15% of your final grade.;This project must be completed individually.;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 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 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 September 2014. 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.;View Full Attachment;List of Stocks in S&P 500 Index September 2014.xlsx Download Attachment;List of Stocks in the S&P 500 Index on September 20, 2014;Ticker No. Ticker Symbol;Company;1 FOXA;21st Century Fox;2 MMM;3M Co;3 ACE;ACE Limited;4 AES;AES Corp;5 AFL;AFLAC Inc;6 GAS;AGL... Show more;Quantitative Problem Set 1 Answer Sheet Evening Fall 2014.xls Download Attachment;FIN 5620 - EVT - Jack De Jong: Quantitative Problem Set #1;Due: Tuesday, October 28, 2014 by 6:00 PM;Name;Problem;Points Questions Your Answers;Period 0;Period 1;1.1 (4);PWI;(4);Divisor;(2)... Show more;Additional Requirements;Level of Detail: Show all work;Other Requirements: Please make sure you utilize stocks 81-100 and solve as indicated on the instruction sheet and excel spreadsheet attached.
Paper#28695 | Written in 18-Jul-2015Price : $37