FM+HW+9-Ch.8+VCM.xlsm - Exercise 1 ANNUAL STOCK PRICE AND RETURN DATA FOR SIX STOCKS General Electric(GE Microsoft(MSFT Johnson Johnson(JNJ Kellogg(K

FM+HW+9-Ch.8+VCM.xlsm - Exercise 1 ANNUAL STOCK PRICE AND...

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Exercise 1 Page 1 Price data Date GE MSFT JNJ K BA IBM 4-Jan-93 2.36 2.68 6.78 20.37 2.34 11.79 3-Jan-94 4.15 2.64 7.20 18.47 4.21 14.62 3-Jan-95 4.98 3.68 10.91 19.90 4.20 15.53 2-Jan-96 8.80 5.73 19.43 29.03 8.09 20.41 2-Jan-97 13.51 12.64 24.44 27.59 13.93 30.78 2-Jan-98 21.64 18.49 29.15 38.01 20.19 31.60 4-Jan-99 30.57 43.37 38.04 34.14 23.47 30.94 3-Jan-00 40.51 48.51 39.36 20.93 36.27 39.24 2-Jan-01 42.42 30.26 43.80 23.52 48.13 48.78 2-Jan-02 34.82 31.58 55.19 28.70 41.39 51.05 2-Jan-03 22.25 23.52 52.15 32.00 32.81 59.63 2-Jan-04 31.86 28.16 51.49 37.36 48.86 81.95 Shares outstanding 10.56 10.86 2.97 0.41 0.84 0.79 Market value Percentage of portfolio Return data Date GE MSFT JNJ K BA IBM 3-Jan-94 3-Jan-95 2-Jan-96 2-Jan-97 2-Jan-98 4-Jan-99 3-Jan-00 2-Jan-01 2-Jan-02 2-Jan-03 2-Jan-04 Average Standard deviation Variance Excess returns Date GE MSFT JNJ K BA IBM 3-Jan-94 3-Jan-95 2-Jan-96 ANNUAL STOCK PRICE AND RETURN DATA FOR SIX STOCKS General Electric (GE), Microsoft (MSFT), Johnson & Johnson (JNJ), Kellogg (K), Boeing IBM
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Exercise 1 Page 2 2-Jan-97 2-Jan-98 4-Jan-99 3-Jan-00 2-Jan-01 2-Jan-02 2-Jan-03 2-Jan-04 Uses the array formula {<-- } to compute the sample var-cov matrix GE MSFT JNJ K BA IBM GE MSFT JNJ K BA IBM Note: To put the array formula into cells B56:G61: 1. Mark the whole area B56:G61 2. Type <-- into one of the cells. 3. When finished typing, hit [Ctrl]+[Shift]+[Enter] to put in the formula as an array formula. In one step Uses the array formula {<-- } to compute the sample var-cov matrix GE MSFT JNJ K BA IBM GE MSFT JNJ K BA IBM
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Exercise 1 Page 3 <-- <-- <-- <-- <-- <-- <-- <-- <-- g (BA), 1. In the following table you will find annual return data for six companies between the years 1993 and 2004 Use these data to calculate the variance- covariance matrix of the returns.
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Exercise 1 Page 4
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Exercise 2 Page 5 Price data Date GE MSFT JNJ K BA IBM 4-Jan-93 2.36 2.68 6.78 20.37 2.34 11.79 3-Jan-94 4.15 2.64 7.20 18.47 4.21 14.62 3-Jan-95 4.98 3.68 10.91 19.90 4.20 15.53 2-Jan-96 8.80 5.73 19.43 29.03 8.09 20.41 2-Jan-97 13.51 12.64 24.44 27.59 13.93 30.78 2-Jan-98 21.64 18.49 29.15 38.01 20.19 31.60 4-Jan-99 30.57 43.37 38.04 34.14 23.47 30.94 3-Jan-00 40.51 48.51 39.36 20.93 36.27 39.24 2-Jan-01 42.42 30.26 43.80 23.52 48.13 48.78 2-Jan-02 34.82 31.58 55.19 28.70 41.39 51.05 2-Jan-03 22.25 23.52 52.15 32.00 32.81 59.63 2-Jan-04 31.86 28.16 51.49 37.36 48.86 81.95 Shares outstanding 10.56 10.86 2.97 0.41 0.84 0.79 Market value Percentage of portfolio Return data Date GE MSFT JNJ K BA IBM 3-Jan-94 3-Jan-95 2-Jan-96 2-Jan-97 2-Jan-98 4-Jan-99 3-Jan-00 2-Jan-01 2-Jan-02 2-Jan-03 2-Jan-04 Average Standard deviation Variance Excess returns Date GE MSFT JNJ K BA IBM 3-Jan-94 3-Jan-95 2-Jan-96 2-Jan-97 2-Jan-98 4-Jan-99 3-Jan-00 2. USING A VBA FUNCTION TO COMPUTE THE COVARIA General Electric (GE), Microsoft (MSFT), Johnson & Johnson (JNJ), Kellogg A B C D E F G 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48
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Exercise 2 Page 6 2-Jan-01 2-Jan-02 2-Jan-03 2-Jan-04 Uses the array formula {<-- } to compute the sample var-cov matrix GE MSFT JNJ K BA IBM GE MSFT JNJ K BA IBM Note: To put the array formula into cells B56:G61: 1. Mark the whole area B56:G61 2. Type <-- into one of the cells. 3. When finished typing, hit [Ctrl]+[Shift]+[Enter] to put in the formula as an array formula. In one step Uses the homemade array formula to compute the sample var-cov matrix GE MSFT JNJ K BA IBM GE MSFT JNJ K BA IBM A B C D E F G 49 50 51 52 53 54 55 56 57 58 59 60 61 62 63 64 65 66 67 68 69 70 71 72 73 74 75 76
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Exercise 2 Page 7 <-- <-- <-- <-- <-- <-- <-- <-- <-- ANCE MATRIX g (K), Boeing (BA), IBM H 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48
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Exercise 2 Page 8 H 49 50 51 52 53 54 55 56 57 58 59 60 61 62 63 64 65 66 67 68 69 70 71 72 73 74 75 76
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