Фин анализ ценных бумаг и индексов № 40987

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Выполнить 1 марта 2019

Закрыто автоматически

Produce a 8-page (maximum) report of analysis for at least 10 years of daily CRSP value-weighted index returns (including distributions) and ten years of daily returns (including distributions) for 5 stocks of your choice, each from a different industry. Your audience is a portfolio manager with an MBA in finance so you need not define common terms. Estimate (in EXCEL/SAS/Matlab/R) a simple AR(5) model for both the index and the stocks, using the daily return data from CRSP. Estimate a simple market model for your stock. Comment on similarities and differences between the index and the individual stock. In addition to one page of text with descriptions, commentary and summary statistics (mean, standard deviation, etc.) for the returns on the index and your stock, your report may also include a table of contents and an appendix to elaborate on statistical analysis, provide plots, etc.