Investments
11th Edition
ISBN: 9781259277177
Author: Zvi Bodie Professor, Alex Kane, Alan J. Marcus Professor
Publisher: McGraw-Hill Education
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Chapter 12, Problem 15PS
Summary Introduction
To identify:
The primary trends of DJAI market of few months and see whether it on upward trend or downward trend.
Introduction:
DJIA: Dow Jones Industrial Average (DJIA) is a big security market indicator which provides all information and news about the performance in the specific security market. It is a three trend market.
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Students have asked these similar questions
1)Find the forecast for 2012 using the time series
trend method.
Period
Demand
2007
200
2008
150
2009
125
2010
100
2011
50
2) Find the forecast for all possible periods
N=3, using the data and the moving average
method.
Consider the following time series data:
a. Compute MSE using the most recent value as the forecast for the next period. Whatis the forecast for month 8?b. Compute MSE using the average of all the data available as the forecast for the nextperiod. What is the forecast for month 8?c. Which method appears to provide the better forecast?
Use the following output from a market model regression of the weekly percentage returns on the AIG commodities index on a market index to answer questions a. - f.
a. What is the formula for the Commodities Index' characteristic line?
b. You forecast a market return of 1.0% for next week. What is next week's expected return for the commodities index?
c. What is the correlation between the return on the commodities index and the return on the market Index?
d. How much of the variation in the commodities index's returns are explained by the model?
e. Based on these regression results, the commodities index would be considered what kind of an investment?
f. Does this regression have much explanatory power? Why or why not?
Chapter 12 Solutions
Investments
Ch. 12 - Prob. 1PSCh. 12 - Prob. 2PSCh. 12 - Prob. 3PSCh. 12 - Prob. 4PSCh. 12 - Prob. 5PSCh. 12 - Prob. 6PSCh. 12 - Prob. 7PSCh. 12 - Prob. 8PSCh. 12 - Prob. 9PSCh. 12 - Prob. 10PS
Ch. 12 - Prob. 11PSCh. 12 - Prob. 12PSCh. 12 - Prob. 13PSCh. 12 - Prob. 14PSCh. 12 - Prob. 15PSCh. 12 - Prob. 16PSCh. 12 - Prob. 17PSCh. 12 - Prob. 18PSCh. 12 - Prob. 19PSCh. 12 - Prob. 20PSCh. 12 - Prob. 21PSCh. 12 - Prob. 22PSCh. 12 - Prob. 23PSCh. 12 - Prob. 24PSCh. 12 - Prob. 25PSCh. 12 - Prob. 1CPCh. 12 - Prob. 2CPCh. 12 - Prob. 3CPCh. 12 - Prob. 4CPCh. 12 - Prob. 5CP
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