Use the data shown in the following table:Ka. Compute the average return for each of the assets from 1929 to 1940 (the Great Depression).b. Compute the variance and standard deviation for each of the assets from 1929 to 1940.c. Which asset was the riskiest during the Great Depression? How does that fit with your intuition?Note: For all your answers type decimal equivalents.Data tableYear192919301931193219331934193519361937193819391940S&P 500-0.08906-0.25256- 0.43861-0.088540.52880-0.023410.472210.32796-0.352580.33204-0.00914- 0.10078Small Stocks- 0.43081-0.44698-0.54676-0.004712.161380.571950.691120.70023- 0.561310.089280.04327-0.28063Corp. Bonds0.043200.06343-0.023800.121990.052550.097280.068600.062190.025460.043570.042470.04512World Portfolio-0.07692-0.22574-0.393050.030300.664490.025520.227820.19283-0.169500.05614-0.014410.03528Treasury Bills0.044710.022660.011530.008820.005160.002650.001710.001730.002670.000600.000420.00037CPI0.00585- 0.06395- 0.09317-0.102740.007630.015150.029850.014490.02857-0.027780.000000.00714X

Step 1: Calculate the annual returns for each asset from 1929 to 1940.To compute the annual returns,…

Use the data shown in the following table: a. Compute the average return for each of the assets from 1929 to 1940 (the Great Depression). b. Compute the variance and standard deviation for each of the assets from 1929 to 1940. c. Which asset was the riskiest during the Great Depression? How does that fit with your intuition? Note: For all your answers type decimal equivalents.

Use the data shown in the following table: a. Compute the average return for each of the assets from 1929 to 1940 (the Great Depression). b. Compute the variance and standard deviation for each of the assets from 1929 to 1940. c. Which asset was the riskiest during the Great Depression? How does that fit with your intuition? Note: For all your answers type decimal equivalents.

Essentials of Business Analytics (MindTap Course List)

2nd Edition

ISBN:9781305627734

Author:Jeffrey D. Camm, James J. Cochran, Michael J. Fry, Jeffrey W. Ohlmann, David R. Anderson

Publisher:Jeffrey D. Camm, James J. Cochran, Michael J. Fry, Jeffrey W. Ohlmann, David R. Anderson

Chapter8: Time Series Analysis And_forecasting

Section: Chapter Questions

Problem 22P: Consider the following time series: a. Construct a time series plot. What type of pattern exists in...

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Given the data here, Compute the average return for each of the assets from 1929 to 1940 (the Great Depression) (Round to five decimalplaces.) Compute the variance and standard deviation for each of the assets from 1929 to 1940. (Round to five decimalplaces.) Which asset was riskiest during the Great Depression? How does that fit with your intuition? (Round to five decimalplaces.) Note: Notice that the answers for average return, variance and standard deviation must be entered in decimal format.
Consider the following time series data: Construct a time series plot. What type of pattern exists in the data? Use a multiple regression model with dummy variables as follows to develop an equation to account for seasonal effects in the data: Qtr1 = 1 if quarter 1, 0 otherwise; Qtr2 = 1 if quarter 2. 0 otherwise; Qtr3 = 1 if quarter 3, 0 otherwise. Compute the quarterly forecasts for next year based on the model you developed in part (b). Use a multiple regression model to develop an equation to account for trend and seasonal effects in the data. Use the dummy variables you developed in part (b) to capture seasonal effects and create a variable t such that t = 1 for quarter 1 in year 1, t = 2 for quarter 2 in year 1, … t = 12 for quarter 4 in year 3. Compute the quarterly forecasts for next year based on the model you developed in part (d). Is the model you developed in part (b) or the model you developed in part (d) more effective? Justify your answer.
Consider the following time series: a. Construct a time series plot. What type of pattern exists in the data? Is there an indication of a seasonal pattern? b. Use a multiple linear regression model with dummy variables as follows to develop an equation to account for seasonal effects in the data: Qtr1 = 1 if quarter 1, 0 otherwise; Qtr2 = 1 if quarter 2, 0 otherwise; Qtr3 = 1 if quarter 3, 0 otherwise. c. Compute the quarterly forecasts for next year.
Show your work (use of formula, etc.) in solving the problem. Provide your answer/solution in the answer space provided below. Answer the question: Given the following historical returns, calculate the average return and the standard deviation: Year Return 1 14% 2 10% 3 15% 4 11%
Suppose the average return on Asset A is 6.6 percent and the standard deviation is 8.6 percent and the average return and standard deviation on Asset B are 3.8 percent and 3.2 percent, respectively. Further assume that the returns are normally distributed. Use the NORMDIST function in Excel® to answer the following questions. a. What is the probability that in any given year, the return on Asset A will be greater than 11 percent? Less than 0 percent? (Do not round intermediate calculations and enter your answers as a percent rounded to 2 decimal places, e.g., 32.16.) b. What is the probability that in any given year, the return on Asset B will be greater than 11 percent? Less than 0 percent? (Do not round intermediate calculations and enter your answers as a percent rounded to 2 decimal places, e.g., 32.16.) c-1. In a particular year, the return on Asset A was −4.25 percent. How likely is it that such a low return will recur at some point in the future? (Do…
Suppose the returns on an asset are normally distributed. The historical average annual return for the asset was 5.7 percent and the standard deviation was 18.3 percent. a. What is the probability that your return on this asset will be less than –4.1 percent in a given year? Use the NORMDIST function in Excel® to answer this question. (Do not round intermediate calculations and enter your answer as a percent rounded to 2 decimal places, e.g., 32.16.) b. What range of returns would you expect to see 95 percent of the time? (Enter your answers for the range from lowest to highest. A negative answer should be indicated by a minus sign. Do not round intermediate calculations and enter your answers as a percent rounded to 2 decimal places, e.g., 32.16.) c. What range of returns would you expect to see 99 percent of the time? (Enter your answers for the range from lowest to highest. A negative answer should be indicated by a minus sign. Do not round intermediate calculations…
Suppose the returns on an asset are normally distributed. The historical average annual return for the asset was 5.2 percent and the standard deviation was 10.6 percent. a. What is the probability that your return on this asset will be less than -9.7 percent in a given year? Use the NORMDIST function in Excel® to answer this question. Note: Do not round intermediate calculations and enter your answer as a percent rounded to 2 decimal places, e.g., 32.16. b. What range of returns would you expect to see 95 percent of the time? Note: Enter your answers for the range from lowest to highest. A negative answer should be indicated by a minus sign. Do not round intermediate calculations and enter your answers as a percent rounded to 2 decimal places, e.g., 32.16. c. What range of returns would you expect to see 99 percent of the time? Note: Enter your answers for the range from lowest to highest. A negative answer should be indicated by a minus sign. Do not round intermediate calculations and…
es Suppose the returns on an asset are normally distributed. The historical average annual return for the asset was 5.7 percent and the standard deviation was 18.3 percent. a. What is the probability that your return on this asset will be less than -4.1 percent in a given year? Use the NORMDIST function in Excel® to answer this question. (Do not round intermediate calculations and enter your answer as a percent rounded to 2 decimal places, e.g., 32.16.) b. What range of returns would you expect to see 95 percent of the time? (Enter your answers for the range from lowest to highest. A negative answer should be indicated by a minus sign. Do not round intermediate calculations and enter your answers as a percent rounded to 2 decimal places, e.g., 32.16.) c. What range of returns would you expect to see 99 percent of the time? (Enter your answers for the range from lowest to highest. A negative answer should be indicated by a minus sign. Do not round intermediate calculations and enter…
The data presented below represents the expected returns on a financial asset in different seasons of the year. Season of year Probability Returns Spring 40% 2% Summer 35% 6% Winter 25% 10% What is the expected return on the asset? ii) What is the standard deviation on the asset? What is the covariance of the asset?
Why would you use mean absolute deviation as opposed to the mean average?3. Describe a specific scenario of how you would use a pro forma financial statement?4. List and describe three time series models, and explain when would you use it? (be specific)
uppose the average return on Asset A is 7.1 percent and the standard deviation is 8.3 percent, and the average return and standard deviation on Asset B are 4.2 percent and 3.6 percent, respectively. Further assume that the returns are normally distributed. Use the NORMDIST function in Excel® to answer the following questions. a. What is the probability that in any given year, the return on Asset A will be greater than 12 percent? Less than 0 percent? (Do not round intermediate calculations and enter your answers as a percent rounded to 2 decimal places, e.g., 32.16.) b. What is the probability that in any given year, the return on Asset B will be greater than 12 percent? Less than 0 percent? (Do not round intermediate calculations and enter your answers as a percent rounded to 2 decimal places, e.g., 32.16.) c-1. In a particular year, the return on Asset A was −4.38 percent. How likely is it that such a low return will recur at some point in the future? (Do not round…
Suppose the returns on an asset are normally distributed. The historical average annual return for the asset was 5.2 percent and the standard deviation was 10.6 percent. a. What is the probability that your return on this asset will be less than –9.7 percent in a given year? Use the NORMDIST function in Excel® to answer this question. b. What range of returns would you expect to see 95 percent of the time? c. What range of returns would you expect to see 99 percent of the time?