Monthly s p 500 index returns

    • [DOC File]Introduction - Duke's Fuqua School of Business

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      We used the five monthly yield curve spreads and monthly S&P 500 P/E ratio (Jan. 1968 to Jan. 2002) for this part of our analysis. In order to categorize monthly stock return by the combinations of yield curve and PE ratio, we sorted stock return data by nine categories and then averaged all of the returns belonging to such categories.

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    • [DOCX File]Texas Christian University

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      You have run a regression of monthly returns on Amgen, a large biotechnology firm, against monthly returns on the S&P 500 index, and come up with the following output: R. Amgen S tock = 3.28% + 1.65 R S&P 500; R2= 0.20 . The current one-year Treasury bill rate is 4.8% and the current thirty-year bond rate is 6.4%. The firm has 265 million ...

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    • [DOC File]Monthly price and return data for Apple (AAPL) and the S ...

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      1. Calculate the beta for AAPL using the S&P 500 returns as your market index. This will require you to calculate the covariance of AAPL’s returns with those of the S&P 500 and the variance of the S&P 500 returns.. You can use the VAR function in EXCEL to compute return variance.

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    • [DOC File]Chapters 1&2 - Investments, Investment Markets, and ...

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      Collect data (monthly returns of GM, S&P 500 index monthly returns, and monthly T-bill rates from January 1999 to December 2003, 60 observations) Calculate Excess returns of GM and S&P 500 (R = r - rf) Run the regression: Look for slope = 1.24. Then use CAPM to estimate the expected return of GM:

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    • [DOC File]Asset #1 – S&P 500 monthly returns

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      Change in S&P 100 (if positive), Lag 1: This variable measures the weekly price change in the OEX and attempts to capture the impact of movements in the index from which the VIX is derived. We expected large movements in the S&P 100—either up or down—to contribute to increased volatility.

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