13.project1_s11 - University of California Los Angeles...

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Unformatted text preview: University of California, Los Angeles Department of Statistics Statistics C183/C283 Instructor: Nicolas Christou Project Select at least 20 stocks from http://finance.yahoo.com for the period 31-Dec-2003 to 31-Mar-2011 and record their ad- justed close prices. Make sure you select stocks from at least 5 sectors. To find the sector in which each stock belongs go to http://biz.yahoo.com/ic/ind_index.html . Also, for the same period record the adjusted close price of the market ( S & P 500). To answer the questions below you must compute the following ONLY for the period 31-Dec-2003 to 31-Dec-2008 (you will get returns from 31-Jan-2004 to 31-Dec-2008): a. Historical mean returns and variance-covariance matrix of the stocks. b. Historical correlation matrix of the stocks. c. The α and β coefficients for each stock based on the simple regression of the returns of each stock on the return of the S & P 500....
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