1- Estimate the b coefficients of the CAPM model for AAPL using monthly data from 2018M1 to 2022M12. Comment on the significance and interpretation of the estimated coefficients.
- Does AAPL follow the market closely?
- Test the hypothesis that the systematic risk of AAPL (b) is no different from the market risk (a= .05).
- Do an ex-post forecasting for the three month of your data. Comment on the results.
- Assume that the expected market risk premium for the first three months of 2023 will be .010, .015 and .018 during the January, February, and March of 2023, respectively. Do an ex-ante forecasting of the expected return for AAPL for the first three months of 2023.
2- Using monthly data for the period 2018M1 to 2022M12 compute and compare the following finance ratios for APPL and TSLA:
- CV (coefficient of variation).
- Sharpe ratio
- Treynor ratio
- Sortino ratio
What do the ratios imply on investment opportunities in three securities?
3- On August 12, 2020 Tesla announced a 5 to 1 stock split. The office of All-Honest Law Ltd. believes that a group of investors with inside information to the company’s operation have benefited from the news. You are hired by All-Honest Law Ltd. to investigate the case. Test whether the pre-split changes in the stock price of TSLA was due to random fluctuations of the market or due to the leak of the stock split information.
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