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You are given the following data for rates of return on a risky asset, a risk free rate and a market rate of return. Your aim is to calculate a regression line and estimate beta from the capital asset pricing for the rates of return on Asset Y. Task One Copy the table below into Excel and calculate the excess returns for risky Asset Y and the Market X. Year 2 30 day Treasury Bill Rate 15 Excess return on Market 2.0 15 2.0 15 Natural logarithm of returns Asset Year 20.7 46.8 14.5 17.2 Market rate of return 12.5 Excess return on Asset 24.2 2.3 7.6 Task Two Create a scatter diagram from the data and calculate the following for Y and X (the excess returns). 1. The mean 2. The median 3. The standard deviation 4. The correlation coefficient between Y and X Summarise your findings in a short note of approximately 100 words in length. Asset Task Three In the table below, input the missing values using the data from the table above. You will need to insert the excess return for the asset and the market that you calculated earlier. Excess return on Market Excess Returns Market X², ΣΧΥ,

You are given the following data for rates of return on a risky asset, a risk free rate and a market rate of return. Your aim is to calculate a regression line and estimate beta from the capital asset pricing for the rates of return on Asset Y. Task One Copy the table below into Excel and calculate the excess returns for risky Asset Y and the Market X. Year 2 30 day Treasury Bill Rate 15 Excess return on Market 2.0 15 2.0 15 Natural logarithm of returns Asset Year 20.7 46.8 14.5 17.2 Market rate of return 12.5 Excess return on Asset 24.2 2.3 7.6 Task Two Create a scatter diagram from the data and calculate the following for Y and X (the excess returns). 1. The mean 2. The median 3. The standard deviation 4. The correlation coefficient between Y and X Summarise your findings in a short note of approximately 100 words in length. Asset Task Three In the table below, input the missing values using the data from the table above. You will need to insert the excess return for the asset and the market that you calculated earlier. Excess return on Market Excess Returns Market X², ΣΧΥ,

MATLAB: An Introduction with Applications
MATLAB: An Introduction with Applications
6th Edition
ISBN:9781119256830
Author:Amos Gilat
Publisher:Amos Gilat
Chapter1: Starting With Matlab
Section: Chapter Questions
Problem 1P
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You are given the following data for rates of return on a risky asset, a risk free rate and a market rate of return. Your aim is to calculate a regression line and estimate beta from the capital asset pricing for the rates of return on Asset Y. Task One Copy the table below into Excel and calculate the excess returns for risky Asset Y and the Market X. Year 1 2 3 30 day Treasury Bill Rate 15 2.0 Excess return on Market X 15 2.0 15 Year T Natural logarithm of returns 1 Asset 2 20.7 3 46.8 8.6 14.5 17,2 Market rate of return 12.5 24.2 Excess return on Asset Y 2.3 Task Two Create a scatter diagram from the data and calculate the following for Y and X (the excess returns). 1. The mean 2. The median 3. The standard deviation 4. The correlation coefficient between Y and X Summarise your findings in a short note of approximately 100 words in length. 7.6 8.4 Task Three In the table below, input the missing values using the data from the table above. You will need to insert the excess return for the asset and the market that you calculated earlier. Asset Y Excess Returns Excess return on Market Market Xx X² ΣΧΥ,
Transcribed Image Text:You are given the following data for rates of return on a risky asset, a risk free rate and a market rate of return. Your aim is to calculate a regression line and estimate beta from the capital asset pricing for the rates of return on Asset Y. Task One Copy the table below into Excel and calculate the excess returns for risky Asset Y and the Market X. Year 1 2 3 30 day Treasury Bill Rate 15 2.0 Excess return on Market X 15 2.0 15 Year T Natural logarithm of returns 1 Asset 2 20.7 3 46.8 8.6 14.5 17,2 Market rate of return 12.5 24.2 Excess return on Asset Y 2.3 Task Two Create a scatter diagram from the data and calculate the following for Y and X (the excess returns). 1. The mean 2. The median 3. The standard deviation 4. The correlation coefficient between Y and X Summarise your findings in a short note of approximately 100 words in length. 7.6 8.4 Task Three In the table below, input the missing values using the data from the table above. You will need to insert the excess return for the asset and the market that you calculated earlier. Asset Y Excess Returns Excess return on Market Market Xx X² ΣΧΥ,
medi 3. The standard deviation 4. The correlation coefficient between Y and X Summarise your findings in a short note of approximately 100 words in length. Task Three In the table below, input the missing values using the data from the table above. You will need to insert the excess return for the asset and the market that you calculated earlier. Excess return on Market B₁ = Year T = 1 2 3 5 Sum Mean Excess return on Asset Excess return on Market Use the following expressions to calculate estimates for the regression line. ΣXtYt - TXY Σ(XtX) (Yt-Y) Σ(Xt-X)² Σ(X)² – TX² X², = ΣΧΥ, Bo =Y - BiX Once you have results for the regression line, put your results together in a narrative with the two tables you completed. Your narrative should outline the capital asset pricing model and what your estimate of one means in the context of the model.
Transcribed Image Text:medi 3. The standard deviation 4. The correlation coefficient between Y and X Summarise your findings in a short note of approximately 100 words in length. Task Three In the table below, input the missing values using the data from the table above. You will need to insert the excess return for the asset and the market that you calculated earlier. Excess return on Market B₁ = Year T = 1 2 3 5 Sum Mean Excess return on Asset Excess return on Market Use the following expressions to calculate estimates for the regression line. ΣXtYt - TXY Σ(XtX) (Yt-Y) Σ(Xt-X)² Σ(X)² – TX² X², = ΣΧΥ, Bo =Y - BiX Once you have results for the regression line, put your results together in a narrative with the two tables you completed. Your narrative should outline the capital asset pricing model and what your estimate of one means in the context of the model.
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Task Two Complete the values in the table below: X (X minus the mean of X) Sum (X minus the mean of X)' Calculate the standard errors for the estimated parameters: Standard error of (B₁) = Standard error of (Bo) X² S V Σ(Χ. – Χ.)2 Σ(Χ)2 sx Tx E(XtXt)² Task Three Calculate a t-statistic for each of the coefficients. Using a 0.05 level of significance, decide if you can reject the null hypothesis for each estimated parameter. Once you have completed the above tasks, put the content together in a narrative |
Transcribed Image Text:Task Two Complete the values in the table below: X (X minus the mean of X) Sum (X minus the mean of X)' Calculate the standard errors for the estimated parameters: Standard error of (B₁) = Standard error of (Bo) X² S V Σ(Χ. – Χ.)2 Σ(Χ)2 sx Tx E(XtXt)² Task Three Calculate a t-statistic for each of the coefficients. Using a 0.05 level of significance, decide if you can reject the null hypothesis for each estimated parameter. Once you have completed the above tasks, put the content together in a narrative |
Using the data you constructed in the previous activity and the linear regression line you produced when estimating the parameters associated with the capital asset pricing model for Asset Y, complete the tasks below. You will recall that you are interested in the following: E(R) - rf Y B₁ These are the hypotheses: Actual value for excess return for Asset ß(E(Rm) – rf) Bo+B1(X) equals E(R) - rf equals E(Rm) - rf equals & the estimate of riskiness Ho B₁0 versus H₂ : B₁ Ho: Po 0 versus H₂ : Bo Excess return on Market X Task One Using the data from the previous activity, complete the table below: Fitted value for excess return for Asset Y Sum 0 Calculate the sample variance. 0 Estimated residual squared
Transcribed Image Text:Using the data you constructed in the previous activity and the linear regression line you produced when estimating the parameters associated with the capital asset pricing model for Asset Y, complete the tasks below. You will recall that you are interested in the following: E(R) - rf Y B₁ These are the hypotheses: Actual value for excess return for Asset ß(E(Rm) – rf) Bo+B1(X) equals E(R) - rf equals E(Rm) - rf equals & the estimate of riskiness Ho B₁0 versus H₂ : B₁ Ho: Po 0 versus H₂ : Bo Excess return on Market X Task One Using the data from the previous activity, complete the table below: Fitted value for excess return for Asset Y Sum 0 Calculate the sample variance. 0 Estimated residual squared
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