fm3_chapter11

fm3_chapter11 - A 1 B C D E F G H I PRICE DATA FOR THE...

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Date Boeing BA 3-Jul-01 1211.23 35.37 81.32 33.73 53.64 40.97 24.73 36.29 1-Aug-01 1133.58 34.50 76.43 30.46 47.06 37.49 22.45 35.01 4-Sep-01 1040.94 28.06 76.24 24.30 30.79 33.15 20.11 32.07 1-Oct-01 1059.78 29.34 76.82 24.68 29.97 37.26 20.23 34.18 1-Nov-01 1139.45 35.09 80.54 27.60 32.43 39.34 21.45 38.21 3-Dec-01 1148.08 32.32 77.64 29.93 35.83 41.46 23.63 36.63 2-Jan-02 1130.20 32.59 72.51 30.13 37.83 39.06 22.91 38.06 1-Feb-02 1106.73 34.31 72.38 30.64 42.64 37.29 25.29 40.68 1-Jul-05 1234.18 27.48 59.76 47.68 65.02 42.62 53.28 41.22 1-Aug-05 1220.33 26.38 58.92 47.89 66.26 42.89 54.85 38.55 1-Sep-05 1228.81 24.05 61.67 49.79 67.18 44.60 58.07 38.16 3-Oct-05 1207.01 23.92 64.49 49.41 63.91 44.86 52.22 40.62 1-Nov-05 1249.48 27.16 66.82 51.04 67.67 48.04 57.37 42.02 1-Dec-05 1248.29 29.30 67.91 51.08 69.71 48.02 57.36 41.77 3-Jan-06 1280.08 31.21 65.15 52.19 67.79 46.09 67.69 38.48 1-Feb-06 1280.66 29.19 66.05 53.61 72.44 46.37 72.85 39.91 1-Mar-06 1294.87 30.43 65.93 52.28 77.66 47.23 71.58 41.87 3-Apr-06 1310.61 33.63 65.09 53.66 83.17 49.95 75.74 43.74 1-May-06 1270.09 31.72 60.80 54.21 83.25 49.30 72.95 42.53 1-Jun-06 1270.20 32.36 59.05 53.07 81.91 48.25 74.48 41.60 3-Jul-06 1265.48 33.55 58.97 51.98 79.99 49.08 72.58 40.54 Market cap 29.12 153.17 64.13 63.96 243.99 48.6 37.35 All the data from Yahoo, 9jul06 PRICE DATA FOR THE DOW-JONES INDUSTRIAL STOCKS AND T July 2001 - July 2006 SP 500 Index ^SPX Alcoa AA American International Group AIG American Express AXP Citigroup C Caterpillar CAT Du Pont DD A B C D E F G H I 1 2 3 4 5 6 7 8 9 10 51 52 53 54 55 56 57 58 59 60 61 62 63 64 65 66 67
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IBM 25.02 38.33 49.72 48.26 32.75 22.83 101.02 28.70 49.51 24.14 36.04 43.14 44.06 33.27 21.48 96.10 26.93 48.40 17.68 32.93 33.81 36.79 23.57 14.92 88.18 19.69 50.87 17.65 32.23 32.56 36.66 26.38 15.65 103.90 23.52 53.17 19.43 34.08 39.63 44.78 29.77 20.45 111.27 31.49 53.65 19.88 35.63 38.75 48.97 30.38 19.17 116.44 30.32 54.43 20.21 33.03 40.77 48.09 30.19 20.64 103.86 33.78 52.97 22.07 34.39 42.67 48.00 34.43 18.78 94.58 27.54 56.26 25.37 33.53 34.89 42.97 38.43 24.36 82.55 26.70 62.56 24.93 32.66 32.86 39.92 37.66 27.47 79.94 25.38 62.32 23.88 32.94 29.42 37.76 36.89 28.97 79.54 24.32 62.21 24.11 33.17 26.33 40.63 33.65 27.82 81.19 23.19 61.56 24.67 34.94 21.44 41.46 36.15 29.44 88.36 26.42 61.02 23.97 34.53 19.01 40.17 36.85 28.48 81.70 24.72 59.39 25.31 32.27 23.56 40.24 38.01 31.02 80.80 21.05 56.86 27.99 32.63 20.11 41.83 40.74 32.64 79.95 20.49 57.29 27.89 34.52 21.06 42.13 42.55 32.81 82.17 19.36 58.85 27.96 34.33 22.66 39.77 42.28 32.38 82.04 19.88 58.25 30.50 34.01 26.93 37.97 41.18 32.29 79.90 18.02 60.22 30.00 32.96 29.79 35.79 40.30 31.68 76.82 19.00 59.92 29.83 33.30 29.48 35.37 38.96 32.85 76.42 18.56 60.62 65.47 346.27 16.67 73.11 32.26 91.64 118.48 107.96 179.5 HE STANDARD AND POORS 500 Disney DIS General Electric GE General Motors GM Home Depot HD Honeywell HON Hewlitt Packard HPQ Intel INTC Johnson & Johnson JNJ J K L M N O P Q R 1 2 3 4 5 6 7 8 9 10 51 52 53 54 55 56 57 58 59 60 61 62 63 64 65 66 67
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37.96 40.25 26.97 50.55 35.61 53.98 28.78 36.99 32.14 34.54 43.93 27.79 47.30 37.10 51.96 24.81 34.47 33.55 29.94 42.28 25.11 44.71 37.79 53.16 22.25 36.08 32.94 31.00 43.21 24.12 47.43 36.63 50.93 25.29 37.70 33.57 33.07 42.54 25.08 52.33 36.92 54.07 27.92 39.07 35.24 31.87 42.72 24.73 53.99 36.34 47.18 28.81 35.95 36.00 29.85 39.64 25.39 50.70 39.71 47.48 27.70 37.59 37.34 25.64 42.93 24.38 54.16 41.73 49.21 25.37 37.07 38.76 33.94 42.58 30.54 73.31 64.09 29.58 25.28 25.60 54.78 32.73 42.81 31.80 69.96 67.67 27.25 27.10 24.79 54.63 32.77 42.29 32.82 72.13 71.34 26.27 25.47 24.29 58.55 35.72 41.89 30.96 74.70 72.64 27.24 25.44 21.15 55.42 37.31 42.08 33.85 77.57 70.45 28.75 27.48 20.80 56.60 38.72 39.73 33.72 76.60 73.08 31.10 25.96 22.88 57.29 39.11 40.79 35.01 71.91 70.75 33.73 27.95 25.20 58.90 40.48 41.37 34.91 73.20 70.32 34.09 26.77 25.94 59.60 40.97 41.57 34.36 75.29 70.06 34.83 27.10 24.69 57.31 45.01 41.66 34.57 84.98 72.34 34.03 24.06 25.09 58.21 42.29 43.71 33.17 83.66 71.54 33.29 22.65 23.66 54.25 41.66 43.02 33.60 80.77 73.43 36.43 23.30 23.47 55.60 42.41 43.18 33.18 74.10 77.80 36.97 23.30 23.68 56.50 147.36 101.72 41.34 55.87 162.46 80.69 237.69 173.51 185.4 JP Morgan JPM Coca Cola KO McDonalds MCD 3M MMM Altria MO Merck MRK Microsoft MSFT Pfizer PFE Proctor Gamble PG S T U V W X Y Z AA 1 2 3 4 5 6 7 8 9 10 51 52 53 54 55 56 57 58 59 60 61 62 63 64 65 66 67
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35.55 33.96 43.92 53.51 37.11 32.30 31.75 40.55 45.99 35.88 37.20 21.58 43.89 47.45 35.21 30.26 25.01 40.68 49.28 35.25 29.68 28.05 38.39 52.87 33.62 31.10 30.11 38.76 55.24 35.32 29.93 32.02 38.15 57.57 35.10 30.24 34.11 38.52 59.52 37.34 23.23 49.88 32.57 48.69 57.57 22.87 49.40 31.13 44.50 58.98 22.77 51.22 31.11 43.37 62.57 22.97 50.67 30.37 46.83 55.28 23.99 53.42 30.82 48.07 57.43 23.58 55.47 29.03 46.46 55.59 25.33 57.91 30.91 45.78 62.11 26.93 58.26 32.90 45.03 59.07 26.39 57.73 33.25 47.07 60.56 25.90 62.55 32.63 44.87 62.76 25.75 62.52 30.83 48.45 60.91 27.56 63.42 33.08 48.17 61.35 27.74 63.10 32.71 46.00 62.84 107.85 63.79 95.42 191.72 380.08 AT&T T United Technologies UTX Verizon VZ Walmart WMT Exxon Mobil XOM AB AC AD AE AF 1 2 3 4 5 6 7 8 9 10 51 52 53 54 55 56 57 58 59 60 61 62 63 64 65 66 67
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Date Boeing BA Citigroup C Average return 0.07% -0.09% 0.67% 0.30% Beta 1.00 1.90 1.30 Alpha 0 -0.23% -0.61% 0.62% 0.58% 0.21% R-squared 1 0.6085 0.3518 0.7052 0.2487 0.5972 1-Aug-01 -6.63% -2.49% -6.20% -10.20% -13.09% -8.88% 4-Sep-01 -8.53% -20.66% -12.30% 1-Oct-01 1.79% 4.46% 11.69% 1-Nov-01 7.25% 17.90% 4.73% 11.18% 7.89% 5.43% 3-Dec-01 0.75% -8.22% -3.67% 8.10% 9.97% 5.25% 2-Jan-02 -1.57% 0.83% -6.84% 0.67% 5.43% -5.96% 1-Feb-02 -2.10% 5.14% -0.18% 1.68% 11.97% -4.64% 1-Mar-02 3.61% 0.47% -2.52% 11.66% 4.85% 9.02% 1-Apr-02 -6.34% -10.35% -4.27% 0.32% -7.85% -13.41% 1-May-02 -0.91% 3.20% -3.15% 3.58% -4.09% 0.11% 3-Jun-02 -7.52% -5.38% 1.92% -15.73% 5.37% -10.81% 1-Jul-02 -8.23% -19.75% -6.53% -2.75% -8.07% -14.43% 1-Aug-02 0.49% -7.53% -1.76% 2.26% -10.86% 5.13% 3-Sep-02 -11.66% -26.22% -13.73% -14.54% -8.26% -9.96% 1-Oct-02 8.29% 13.33% 13.41% 15.62% -13.74% 22.52% 1-Nov-02 5.55% 15.32% 4.08% 6.81% 14.06% 5.09% 2-Dec-02 -6.22% -11.47% -11.81% -9.42% -3.17% -9.98% 2-Jan-03 -2.78% -14.15% -6.67% 0.50% -4.35% -1.86% 3-Feb-03 -1.71% 4.37% -9.36% -5.63% -13.11% -2.98% 3-Mar-03 0.83% -5.57% 0.43% -1.06% -9.49% 3.27% 1-Apr-03 7.79% 17.46% 15.86% 13.27% 8.49% 13.05% 1-May-03 4.96% 7.06% -0.12% 9.56% 12.28% 4.91% 2-Jun-03 1.13% 3.56% -4.68% 0.37% 11.24% 4.27% 1-Jul-03 1.61% 8.53% 15.14% 5.74% -3.56% 5.35% 1-Aug-03 1.77% 3.38% -7.49% 1.97% 12.66% -3.30% 2-Sep-03 -1.20% -8.80% -3.07% 0.00% -8.55% 4.86%
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fm3_chapter11 - A 1 B C D E F G H I PRICE DATA FOR THE...

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