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##### Stock Regression Analysis Assignment

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Question;Summation:Stock Regression Analysis in statistically and in excel, Interpretation of R-Square borth statistically and in excel, Optimal Risky Portfolio showing weights both statiscally and in excel, CAPM analysis statistically and in excel, Fama French analysis, Beta and Alpha Analysis and related interpretations and calculations, Minumum Variance Portfolio Analysis statistical and excel.Instructions:2 (two) Source Files: return_data. xlsx includes Excess Returns, Holding Period Returns and theRisk Free Rate from 01/2009 ? 12/2013 for the following stocks: 1. VZ (Verizon Communications), 2. AMZN (Amazon.com Inc.), 3. GE (General Electric Company), 4. AAPL (Apple Inc.), 5. S&P Composite IndexSection 1: Regression Analysis in ExcelCopy and Paste the Regression Output for VZ (Verizon)? should Look like the following:1) Interpretation of the R?Square estimate from my statistical pricing model:What does sign of Alpha suggest and what is statistical significance Is Beta more or less Risky than SPY and what is statistical significance 2) Calculation of the systematic risk, the firm?specific risk, and the total risk of Dell Stock:Explicitly state the statistical equation used and the numbers used from your regressionoutput to determine these risk measures. Calculate the variance of the excess returns on VZ(i.e. total risk) using the VARP function in Excel and then compare this to the total risk youcalculated using the regression output. Use the ?ANOVA? output and the ?RESIDUAL OUTPUT?to calculate the systematic risk, the firm?specific risk, and the total risk of your stock in Excel3) Confirmation of the R?Square from the regression model:Calculate R?Square yourself? Explicitly state the statistical equation used and the numbersused in the equation4) Confirmation of the Beta estimate from the regression model using the statistical equation forBeta:Explicitly state the statistical equation used and the numbers used in the equation5) Estimate the expected returns for VZ as well as AMZN, GE, AAPL and the S&P Composite Indexusing CAPM and the assumed risk?free rate and expected return on the market portfolio given inthe instructions:Explicitly state the statistical equations and numbers used to calculate the expected returnson these stocks. Use the estimated Beta from your regression analysis, use 1.5% for the annual risk free rate, and use 7% for the expected annual return on the market portfolio.Section 2: Portfolio Optimization Techniques in ExcelCopy and Paste the Variance?Covariance Matrix for VZ Verizon Communications Inc. and GE:1) Characteristics of the ORP combining VZ and GE: (Note: the expected return of your portfolio inyour excel file will be annualized since you are using annualized expected returns for VZ andGE. But the standard deviation of your portfolio will be monthly since you are using monthlydata. Therefore, you need to annualize your standard deviation before reporting it below).Wyour stock =???%WGE:???%Annualized: E(rORP) =???%?ORP =???% (Sharpe Measure)ORP =???2) Comparison of the weights in the ORP of VZ and GE when calculated using Excel?s Solverfunction versus when using the equation from by just calculating it regularly:Explicitly state the statistical equation used and the numbers used in the equationExplain why either the weights are the same or different based on the two methods3) Characteristics of the Minimum Variance Porfolio (MVP):Wyour stock =???%WGE:???%?MVP =???% Annualized: E(rMVP) =???%(Sharpe Measure)MVP =???4) Confirmation of the weights for MVP: Explicitly state the statistical equation used and the numbers used in the equation Compare equation to answer in EXCELSection 3: Expanding Optimization Techniques to Five Risky Assets In ExcelJust Repeat the layout from Section 2 for this case where you use all 4 stocks 1) Characteristics of the ORP combining VZ, AAPL, AMZN and GE: (Note: the expected returnof your portfolio in your excel file will be annualized since you are using annualizedexpected returns for VZ, AAPL, AMZN and GE. But the standard deviation of your portfoliowill be monthly since you are using monthly data. Therefore, you need to annualize yourstandard deviation before reporting it below).Wyour stock =???%WGE:???%Annualized: E(rORP) =???%?ORP =???% (Sharpe Measure)ORP =???2) Comparison of the weights in the ORP of VZ, AAPL, AMZN and GE when calculated usingExcel?s Solver function versus when using the equation from by just calculating it regularly:Explicitly state the statistical equation used and the numbers used in the equationExplain why either the weights are the same or different based on the two methods3) Characteristics of the Minimum Variance Porfolio (MVP):Wyour stock =???% WGE:???%Annualized: E(rMVP) =???%?MVP =???% (Sharpe Measure)MVP =???4) Confirmation of the weights for MVP: Explicitly state the statistical equation used and the numbers used in the equation Compare equation to answer in EXCELSection 4: Fama?French 3?Factor Regression Analysis only for VZCOPY and Paste the Fama?French 3?Factor Model for VZ ? should look something like the following:1) The Fama?French 3?Factor Statistical Pricing Model for VZ:Specifically state the model for VZ given your regression results2) Interpretation of the R?Square from my 3?factor Statistical Pricing Model:What does sign of Alpha suggest and what is statistical significance Is Beta more or less Risky than SPY and what is statistical significance 3) Explanation of the coefficient estimate on SMB for VZ:Give your explanation of what the sign on the coefficient for SMB suggests about VZExplain and give evidence for whether or not the coefficient is statistically significant4) Explanation of the coefficient estimate on HML for VZ:Give your explanation of what the sign on the coefficient for HML suggests about VZExplain and give evidence for whether or not the coefficient is statistically significant

Paper#48412 | Written in 18-Jul-2015

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