Finance 30233, Fall 2019 M. J. Neeley School of Business ...
Finance 30233, Fall 2019 M. J. Neeley School of Business, TCU S. Mann Assignment 01, September 05, 2019. 25 points. Due Date: September 19, 2014, at the beginning of class.
1) Use Yahoo Finance (finance....enter a stock ticker and look for "historical prices" and then look at the bottom of the prices for "download spreadsheet") to download monthly prices for i) SPY (the exchange-traded S&P 500 SPiDR) and ii) for the stock of a company of your choice that meets the following criteria: a. Market Cap of Equity at least $2 billion; b. Trading history of at least 60 months;
2) Use the adjusted prices to calculate monthly returns for the S&P 500 Index and the stock of your choice. Use the returns to compute a 5-year monthly beta (through August 2014) for the stock you choose. Use the "data/data analysis/regression" tool. (You may have to enable the analysis tools. Use File/Options/Add-ins/Manage/Excel add-ins.)
3) Login to a Bloomberg terminal, and create a screen for a 60-month beta (use monthly returns) for the stock you choose. Use the "GRAB" feature to email yourself a gif image of the screen (type GRAB and hit "go", or take a screen capture, etc...).
4) The assignment should consist of one or two pages, turned in on hardcopy (paper). i) Part 1:
a) Your name; b) A very short paragraph describing the companies you chose (one or two sentences
should suffice); c) A table showing the following:
i. The raw beta; ii. The regression "r-squared" iii. The correlation; iv. The regression error standard deviation, on an annualized basis; v. The historical "alpha", on an annualized basis. vi. The annualized standard deviation of SPY returns for the past 60 months; vii. The annualized standard deviation of returns of the stock you choose for
the past 60 months; d) A graph showing the "scatterplot" (use "insert/scatter") of paired returns for your regression (similar to the Bloomberg screen). Once you have a scatterplot graph, right click on the data points and "add trendline":
Make sure you are adding the "linear" trendline; Check the boxes in the "format trendline" menu that:
"Display equation on chart"; "Display R-squared value on chart".
ii) Part 2: The Bloomberg Beta screen for the same stock for the same time period. (You may calculate slightly different numbers than Bloomberg)
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