Estimating the Index Model using Historical Data
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Estimating The Index Model Using Historical Data
a. Using the "excess returns" for ABC, XYZ, and Market listed in the table near-by, compute the following statistical values:
1. Average
2. Variance
3. Std Deviation
4. Correlation (ABC:Market)
5. Covariance (Covariance.P, ABC:Market)
6. Beta
I have attached the historical data.
Excess Returns
Week ABC XYZ MRK Rf ABC XYZ Market
1 $59.92 -$19.84 $64.40 5.23 $54.69 -$25.07 $59.17
2 $47.69 $27.67 $24.00 4.76 $42.93 $22.91 $19.24
3 -$28.35 -$5.68 $9.15 6.22 -$34.57 -$11.90 $2.93
4 -$13.92 -$45.00 -$35.57 3.78 -$17.70 -$48.78 -$39.35
5 $64.98 $29.73 $11.59 4.43 $60.55 $25.30 $7.16
6 $99.19 $29.00 $23.13 3.78 $95.41 $25.22 $19.35
7 -$23.15 $61.77 $8.54 3.87 -$27.02 $57.90 $4.67
8 $46.44 $24.31 $25.87 4.15 $42.29 $20.16 $21.72
9 -$33.50 -$42.94 -$13.15 3.99 -$37.49 -$46.93 -$17.14
10 -$38.82 $46.31 $20.21 4.01 -$42.83 $42.30 $16.20.
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Solution Summary
The solution estimates the index model using historical data.
Education
- Bachelor of Science in Business Administration, University of the Philippines
- Master in Business Administration, Saint Mary's University
- Doctor of Philosophy in Education, University of the Philippines
- Doctor in Business Adminstration (IP), Polytechnic University of the Philippines
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