Presented By Yuan Zhou CAPM EXERCISE 1.IBMs Estimated definitive family19881989199019911992 Intercept-0.00578-0.01302-0.00931-0.00919-0.01644 of import0.7448040.7588950.6501790.6019890.528854 Year19931994199519961997 Intercept-0.0133-0.00279-0.003930.0013550.008738 beta0.3711110.3272870.3419031.123781.34791 Year19981999200020012002 Intercept0.0193960.0167820.0109890.0152270.013698 Beta0.9432270.8535011.1423281.1300941.402587 The Beta above is calculated by regression seat. As we can see above, the cardinal of IBM decreased gradually pointless frame 1988 to 1995, then soared up to 1.3 in 1997. And during the following 5 year, the beta of IBM fluctuates and reversed back to 1.3 up level in 2002. In summary, the beta of IBM tended to increase for the period between 1988 and 2002, which indicated that the overbearing lay on the line of IBM became a more important to concern for investor. 2.IBMs Beta: Estimate from 1 VS conception in Summary Year N1998 19992000 Estimate ended in N0.9432 0.8535 1.1423 S&P500 in N+11.0807 1.2198 1.2370 The estimate betas from regression object lesson tend to be lower than those provided by S&P 500. Problem 3-8 are listed below, detailed comment will be provided in part 9.
* compute of value in for each one quintileNumber(Quintile) form result by Beta 1999-2001 1999-Beta take Number of non-missing value470 Number of value in each quintile94(1-5) fair(a)ReturnBeta 134.3105060.370876 219.7238420.753483 314.8483340.968989 420.5279551.198613 534.5268211.717389 2000-Beta S orting Number of no! n-missing value477 Number of value in each quintile96(1-4)93(5) AverageReturnBeta 15.3152210.268138 22.6768670.666927 31.9845490.881528 42.9105621.144654 5-11.40731.777323...If you fate to get a full essay, order it on our website:
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