本次代写主要为金融股票收益相关的lab
在本实验中,您将使用CAPM模型来预测两个公开交易的预期收益率
美国公司。
第1部分:选择两家公司
选择两个满足以下要求的公司。 1)它们都是标准普尔500指数的一部分。2)
他们已经公开交易了至少五年。您可以找到当前隶属于的公司的列表
标准普尔500指数:https://en.wikipedia.org/wiki/List_of_S%26P_500_companies。
第2部分:下载数据
使用Yahoo!金融(yahoo.finance.com),下载五年历史每月调整价格
两家公司的数据。同时下载标准普尔500的五年月度调整价格数据
(股票代号“ ^ GSPC”)。
1个
将数据放到具有统一日期变量的单个excel电子表格中
范围从1到60(2021年3月1日)。标记每列。将日期变量标记为“ date_num”。
第3部分:图形和回归Beta分析
x打开Stata并通过选择文件Æ导入ÆExcel电子表格并选择
选项将第一行视为变量名。
x运行“ gen数据集= 1”,然后运行“ xtset数据集date_num”告诉Stata您具有面板数据。
x为每只股票和标准普尔500生成回报变量。
x为每只股票创建具有线性预测线的市场收益与收益的散点图。
x将每只股票的收益与市场进行回归。
x在表中记录每只股票的R平方,常数和beta。
第4部分:Beta分析
哪家公司的Beta高?根据我们对Beta决定因素的讨论,这是否令人惊讶
你?为什么或者为什么不?
第5部分:詹森的Alpha分析
计算每个公司的詹森的Alpha。詹森的Alpha上的单位应为年化百分比
返回。哪支股票的詹森的Alpha值更高?依靠过去五年的新闻报道,
这让你感到惊讶吗?为什么或者为什么不?
In this lab, you will use the CAPM model to predict the expected rate of return for two publicly traded
US firms.
Part 1: Pick Two Companies
Choose two companies that meet the following requirements. 1) They are both part of the S&P 500. 2)
They have been publicly traded for at least five years. You can find a list of companies currently part of
the S&P 500 here: https://en.wikipedia.org/wiki/List_of_S%26P_500_companies.
Part 2: Download Data
Using Yahoo! Finance (yahoo.finance.com), download five years of historical monthly adjusted price
data for both companies. Also download five years of monthly adjusted price data for the S&P 500
(ticker “^GSPC”).
1
Put the data together in a single excel spreadsheet with a unified date variable that
ranges from 1 to 60 (March 1, 2021). Label each column. Label the date variable “date_num”.
Part 3: Graphical and Regression Beta Analysis
x Open Stata and load the data by selecting File Æ Import Æ Excel Spreadsheet and selecting the
option treat first row as variable names.
x Run “gen dataset = 1” then “xtset dataset date_num” tell Stata that you have panel data.
x Generate a return variable for each stock and for the S&P 500.
x Create a scatterplot of returns against market returns with linear predicted line for each stock.
x Regress the return for each stock against the market.
x Record R-squared, the constant, and beta for each stock in a table.
Part 4: Beta Analysis
Which firm had a higher beta? Based on our discussion of the determinants of beta, does this surprise
you? Why or why not?
Part 5: Jensen’s Alpha Analysis
Calculate Jensen’s Alpha for each firm. The units on your Jensen’s Alpha should be annualized percent
return. Which stock had a higher Jensen’s Alpha? Relying on news articles over the past five years, does
this surprise you? Why or why not?