BetaCalculations - -0.2208 Nov-2009-0.0400 0.0178...

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Q: Using the data below for Macquarie Group (MQG.AX), calculate it beta for the year 2009 Month MQG ($) Dec-2008 28.81 24,801 4.22 Jan-2009 25.99 23,592 4.09 Feb-2009 16.98 22,513 4.25 Mar-2009 27.05 24,310 4.33 Apr-2009 33.48 25,664 4.51 May-2009 31.65 26,012 5.00 Jun-2009 39.1 27,054 5.56 Jul-2009 44.02 0.4 29,032 5.49 Aug-2009 50.8 30,940 5.53 Sep-2009 58.79 32,870 5.32 Oct-2009 50 32,186 5.45 Nov-2009 48 32,760 5.47 Dec-2009 48.4 0.86 33,986 5.47 A: Monthly returns (1) (2) (3) (4) (5) (6) Month Stock Return Index Return Bond Return Jan-2009 -0.0979 -0.0487 0.0035131 -0.1014 -0.0523 -0.1682 Feb-2009 -0.3467 -0.0457 0.0034048 -0.3501 -0.0491 -0.4169 Mar-2009 0.5931 0.0798 0.0035442 0.5895 0.0763 0.5227 Apr-2009 0.2377 0.0557 0.0036064 0.2341 0.0521 0.1673 May-2009 -0.0547 0.0136 0.0037600 -0.0584 0.0098 -0.1252 Jun-2009 0.2354 0.0401 0.0041702 0.2312 0.0359 0.1644 Jul-2009 0.1361 0.0731 0.0046306 0.1314 0.0685 0.0646 Aug-2009 0.1540 0.0657 0.0045732 0.1494 0.0611 0.0826 Sep-2009 0.1573 0.0624 0.0046110 0.1527 0.0578 0.0859 Oct-2009 -0.1495 -0.0208 0.0044364 -0.1540 -0.0252
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Unformatted text preview: -0.2208 Nov-2009-0.0400 0.0178 0.0045419-0.0445 0.0133-0.1113 Dec-2009 0.0263 0.0374 0.0045556 0.0217 0.0329-0.0451 Mean 0.0668 0.0234 Variance 0.0570 0.0020 Beta of MQG 2009 4.50 Historic 1.07 Need longer sample to get more accurate estimates Dividend Paid ($) S&P/ASX 200 Accumulation index 31 December 1979 = 1 000 10 yr Bond (% pa) Excess Stock Return Excess Index Return Variation in excess stock return 0.60 29.17-0.06 37.5-0.04 45.83 0.02 54.17 0.13 62.5 0.15 70.83 0.15 79.17 0.23 87.5 0.23 95.83 0.59-0.40 0.10 0.60-0.40-0.30-0.20-0.10 0.00 0.10 0.20 0.30 0.40 0.50 Excess Index Return Excess stock Return (7) (8) (6)*(7)-0.0757 0.01273-0.0726 0.03025 0.0529 0.02763 0.0287 0.00480-0.0136 0.00170 0.0125 0.00205 0.0451 0.00291 0.0377 0.00312 0.0344 0.00295-0.0487 0.01074-0.0101 0.00113 0.0095-0.00043 Covaraince 0.01 Variation in excess index return...
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BetaCalculations - -0.2208 Nov-2009-0.0400 0.0178...

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