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

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

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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

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