he prices of S&P500 index, the four company stocks are given with rate of return of Treasury bill, in the datasheets

INSTRUCTIONS TO CANDIDATES

ANSWER ALL QUESTIONS

part 1

(a) The prices of S&P500 index, the four company stocks are given with rate of return of Treasury bill, in the datasheets. Therefore, firstly, rates of return were calculated In

the excel sheet itself. then the excess return was calculated In Greti.

(b)SwnmayStutistic.uing the obseration 2004:04 - 2018:12Variable Mean Median S.D. Min Max

exces_Markea -0.712 -0.45e 428 -17.4 10.8

cxccs_Target .0.796 -0.855 7.03 -19.8 21.3

ecess_Cisco -0.627 -0.258 7.48 -21.7 19.5

cxees_BestBuy -0395 -1.07 ¡1.2 -41.0 37.2

excess_AMGEN -0323 -0.0630 7.35 -19.1 31.2

Correlation coefficients, uxing the obiervution 2004:04 - 21)1 X: I 2

5% ciitiçul value (two-tuilcij) = 0.1476 for n = ¡77

excess_Market excess_Target excess_Cisco excess_BesBuy excess_A MGEN

I .(XMX) 0.53 15 06MO 0.5050 Œ46l() cxces%_Mar&ct

l_0000 (1.4334 0.4504 0.2050 excess_Targel

¡.0000 0.3977 0.2374 exccss_Cisco

¡.0000 0.1433 excess_BestBuy

I .0001) excecs_AM(IENI

Mean is negative for all three assets and the S&P500 index. The rate of return is, usually, below the risk-free rate in this economy. SD is much higher. This is a dynamic market. So the risk in this economy also becomes high. Correlation coefficients show a positive relationship as expected. All excess returns shown to be positively affected on each other.

(c) There are outliers in the graph. To find the outliers a Scatter graph was used. In 2014 there is an outlier in excess AMGEN. Other assets and price indices show no outliers.

AMGEN has had a huge depreciation in its stock there. But there are two other points which AMGEN gets their stock price increase suddenly. So, AMGEN stock price has lost

their price stability. Other assets or Market price index does not show such issue. Therefore, AMGEN has a instability which only affect themselves.

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