Am. 134. Compute daily abnomal returns of MRK and RXDX on the announcement day. Since April 16, 2023 was Sunday (= notrading), use the following trading day, April 17, 2023, as the announcement day for this analysis. Use daily returns onSPY (S&P500 ETF) as benchmark retums during the same period and 0.018% as daily risk free rate. Show your work inExcel to receive any credit.10 4/12/2023 113.7511 4/13/2023 115.5812 4/14/2023 115.31 -0.23%13 4/17/2023 115.01 -0.26%4 4/18/2023 114.831.12%1.61%4/12/2023 112.25 -1.51%4/13/2023 112.86 0.54%4/14/2023 114.01 1.02%4/17/2023 193.51 69.73%4/12/2023 408.05 -0.41%4/13/2023 413.47 1.33%-0.16%4/18/2023 193.5 -0.01%4/14/2023 412.46 -0.24%4/17/20234/18/2023 414.21413.94 0.36%0.07%MRXRXDXSPY

4. Calculate Abnormal Returns:In an empty column after the daily return columns (e.g., Column G for…

Answered: Compute daily abnomal returns of MRK…

Essentials Of Investments

11th Edition

ISBN:9781260013924

Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.

Publisher:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.

Chapter1: Investments: Background And Issues

Section: Chapter Questions

Problem 1PS

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Assume that you are given the following historical returns for the Market and Security J. Also assume that the expected risk-free rate for the coming year is 4.0 percent, while the expected market risk premium is 15.0 percent. Given this information, determine the required rate of return for Security J for the coming year, using CAPM. Year 1 2 O21.20% 3 4 5 6 O22.34% O 23.49% O24.63% O24.10% Market 10.00% 12.00% 16.00% 14.00% 12.00% 10.00% Security J 12.00% 14.00% 18.00% 22.00% 18.00% 14.00%
3. Excel Question. Download the monthly NASDAQ prices (1985-2023) from Brightspace.What is the simple arithmetic average return over this period?What would have been your annualized HPR if you invested (reinvesting the proceeds)over this period? Disregard the question above because I cant attach the entire excel file but i will attach a screenshot. Please just tell me and explain to me which column do i use to find the arithmetic average return for this period and also how to calculate the annualized HPR over this period. I am just confused which column and which numbers to use.
The most recent estimate of the daily volatility of an asset is 1.75% and the price of the asset at the close of trading yesterday was $50.00. The parameter (1-x ) in the Exponentially Weighted Moving Average (EWMA) model is 0.20. Suppose that the price of the asset at the close of trading today is $55.00. Calculate how this will cause the volatility to be updated by the EWMA model.
Measuring risk and rate return) Given the following holding-period returns, calculate the average return for the market. Month Champ Inc. Market 1 2.8% 1.8% 2 3.2% 1.2% 3 9.0% 11.0% 4 -2.6% -1.0% 5 -2.9% -4.7% 6 12.0% 8.0% answer is 2.72%
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Suppose that the current 1-year rate ( 1-year spot rate) and expected 1-year T-bill rates over the following three years (i.e years 2,3, and 4 respectively) as follows: 1R1=3.22%, E(2r1)=4.65%,E(3r1)=5.15%,E(4r1)=6.65% Using the unbiased expectations theory, calculate the current (long-term) for one-, two-, three-, and four- year- maturity treasury securities. ( Round your answers to 2 decimal places.)
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