# CAPM - COMMERCE 374 CAPM Regression A nalysis Assignment#3 Cain Tong Ji Grace Tang Joshua Tiong Jesse Xin Natalie Ng 1 Calculate the sample mean

This preview shows pages 1–4. Sign up to view the full content.

COMMERCE 374 CAPM Regression Analysis Assignment #3 Cain Tong Ji, Grace Tang, Joshua Tiong, Jesse Xin, Natalie Ng 3/15/2011

This preview has intentionally blurred sections. Sign up to view the full version.

View Full Document
1. Calculate the sample mean and sample standard deviation of the historical monthly returns for each financial asset above. T-bill Exxon GM IBM Ford Sample Mean 0.0035 2 0.00838 0.02632 0.03673 0.01284 0.00725 0.01069 0.00792 Sample SD 0.0015 4 0.03996 0.10257 0.15161 0.04580 0.09327 0.08761 0.09448 2. Calculate the sample correlation matrix for the monthly returns of these assets. T-bill soft Dell Exxon GM IBM Ford T-bill 1 0.06922 0.1324 0.06114 0.03865 -0.00266 0.04134 -0.01254 S&P 500 0.06922 1 0.5439 9 0.43517 0.45093 0.44741 0.54018 0.23912 Micros oft 0.13241 0.54399 1 0.52712 0.13734 0.12264 0.46422 0.03211 Dell 0.06114 0.43517 0.5271 2 1 0.06558 0.17795 0.36041 0.08237 Exxon 0.03865 0.45093 0.1373 4 0.06558 1 0.20574 0.25684 0.18099 GM -0.00266 0.44741 0.1226 4 0.17795 0.20574 1 0.27395 0.31590 IBM 0.04134 0.54018 0.4642 2 0.36041 0.25684 0.27395 1 0.08397 Ford -0.01254 0.23912 0.0321 0 0.08237 0.18099 0.31590 0.08397 1 3. Interpret the results you obtained:

This preview has intentionally blurred sections. Sign up to view the full version.

View Full Document
This is the end of the preview. Sign up to access the rest of the document.

## This note was uploaded on 04/17/2011 for the course COMM 299 taught by Professor Desrochers during the Spring '08 term at The University of British Columbia.

### Page1 / 6

CAPM - COMMERCE 374 CAPM Regression A nalysis Assignment#3 Cain Tong Ji Grace Tang Joshua Tiong Jesse Xin Natalie Ng 1 Calculate the sample mean

This preview shows document pages 1 - 4. Sign up to view the full document.

View Full Document
Ask a homework question - tutors are online