RISK RETURN 10
Current riskfree rate = 6.50% Risk premium for stocks= 5.50% Current stock price=
Number of periods of data= 53 Riskfree rate during period = 6.00% Current Annual DPS =
RISK RETURN 11
Time period Index Price(Stock) DPS(Stock) Split Factor Index Level Return(Stock) Return(Mkt) (R(jt)-Rj)^2
1 1 $30.75 1 179.63
2 1 $28.00 1 181.19 -8.94% 0.87% 0.011087348
3 1 $27.75 $0.00 1 180.66 -0.89% -0.29% 0.00061475
4 1 $27.50 1 179.83 -0.90% -0.46% 0.000618745
5 1 $26.38 1 189.55 -4.07% 5.41% 0.003202751
6 1 $26.00 $0.00 1 191.85 -1.44% 1.21% 0.000916299
7 1 $28.25 1 190.92 8.65% -0.48% 0.004994656
8 1 $26.00 1 188.63 -7.96% -1.20% 0.009122466
9 1 $25.75 $0.00 1 182.08 -0.96% -3.47% 0.00064928
10 1 $25.50 1 189.82 -0.97% 4.25% 0.000654046
11 1 $28.50 1 202.17 11.76% 6.51% 0.010359469
12 1 $29.25 $0.00 1 211.28 2.63% 4.51% 0.000109207
13 1 $28.25 1 211.78 -3.42% 0.24% 0.002505365
14 1 $27.75 1 226.92 -1.77% 7.15% 0.001126589
15 1 $26.00 $0.00 1 238.90 -6.31% 5.28% 0.006229731
16 1 $28.50 1 235.52 9.62% -1.41% 0.006446205
17 1 $27.25 1 247.35 -4.39% 5.02% 0.003567103
18 1 $23.00 $0.00 1 250.84 -15.60% 1.41% 0.029525166
19 1 $18.25 1 236.12 -20.65% -5.87% 0.049456121
20 1 $23.00 1 252.93 26.03% 7.12% 0.059735461
21 1 $19.50 $0.00 1 231.32 -15.22% -8.54% 0.028237272
22 1 $20.25 1 243.98 3.85% 5.47% 0.000510577
23 1 $23.00 1 249.22 13.58% 2.15% 0.014384856
24 1 $21.00 $0.00 1 242.17 -8.70% -2.83% 0.010572385
25 1 $31.25 1 274.08 48.81% 13.18% 0.223000846
26 1 $38.00 1 284.20 21.60% 3.69% 0.040053785
27 1 $38.50 $0.00 1 289.20 1.32% 1.76% 7.33158E-06
28 1 $47.00 1 288.36 22.08% -0.29% 0.041989599
29 1 $43.88 1 290.10 -6.64% 0.60% 0.006764826
30 1 $44.00 $0.00 1 304.10 0.27% 4.83% 0.000172419
31 1 $47.75 1 318.66 8.52% 4.79% 0.004811044
32 1 $52.75 1 329.80 10.47% 3.50% 0.007893693
33 1 $57.75 $0.00 1 321.83 9.48% -2.42% 0.006228547
34 1 $26.00 1.5 251.79 -32.47% -21.76% 0.11596811
35 1 $21.50 1 230.30 -17.31% -8.53% 0.035699271
36 1 $26.50 $0.00 1 247.08 23.26% 7.29% 0.046955664
RISK RETURN 12
37 1 $25.50 1 257.07 -3.77% 4.04% 0.002873114
38 1 $28.25 1 267.82 10.78% 4.18% 0.00845987
39 1 $29.38 $0.00 1 258.89 4.00% -3.33% 0.00058247
40 1 $31.00 1 261.33 5.51% 0.94% 0.001542444
41 1 $30.75 1 262.16 -0.81% 0.32% 0.00057265
42 1 $36.13 $0.00 1 273.50 17.50% 4.33% 0.025310826
43 1 $34.75 1 272.02 -3.82% -0.54% 0.002922591
44 1 $28.00 1 261.52 -19.42% -3.86% 0.044146291
45 1 $27.50 $0.00 1 271.91 -1.79% 3.97% 0.001137222
46 1 $24.75 1 278.97 -10.00% 2.60% 0.013424833
47 1 $20.25 1 273.30 -18.18% -2.03% 0.039078871
48 1 $23.75 $0.00 1 277.72 17.28% 1.62% 0.024640812
49 1 $26.00 1 297.47 9.47% 7.11% 0.006220675
50 1 $25.75 1 288.86 -0.96% -2.89% 0.00064928
51 1 $26.25 $0.00 1 294.87 1.94% 2.08% 1.26159E-05
52 1 $29.00 1 309.64 10.48% 5.01% 0.007902556
53 1 $32.50 1 320.52 12.07% 3.51% 0.010988086
54 0 $29.00 $0.00 1 317.98 0.00% 0.00% 0
55 0 $30.50 1 346.08 0.00% 0.00% 0
56 0 $30.00 1 351.45 0.00% 0.00% 0
57 0 $32.25 $0.00 1 349.15 0.00% 0.00% 0
58 0 $33.75 1 340.36 0.00% 0.00% 0
59 0 $34.75 1 345.99 0.00% 0.00% 0
60 0 $34.50 $0.00 1 353.40 0.00% 0.00% 0
RISK RETURN 13
REGRESSION STATISTICS AND RISK PARAMETERS
RISK AND PERFORMANCE MEASURES
Intercept (Alpha) = -0.45%
Slope (Beta)= 1.778808243
Rf(1- Beta) = -0.38%
Intercept-Rf(1-Beta)= -0.07%
VARIANCE STATISTICS
Variance of the stock= 0.019110514
Variance of the market = 0.002779917
Systematic variance= 0.0087961
Unsystematic variance= 0.010314414
R squared = 46.03%
USING BETA
In estimating expected returns:
Riskfree Rate = 6.50%
Historical return premium= 5.50%
Expected return= 16.28%
In forecasting prices:
Current price= $35.00
Annualized DPS= $0.00
Predicted prices:
- One year from now $40.70
RISK RETURN 14
- Two years from now $47.33
- Three years from now $55.03
- Four years from now $63.99
- Five years from now $74.41
RISK RETURN 15
$35.00
$0.00
RISK RETURN 16
(R(mt)-R(m))^2 (R(jt)-R(j))
(R(mt)-R(m))
6.00522E-06 0.000258035
0.000197689 0.00034861
0.000247412 0.000391261
0.001841781 -0.002428738
9.97856E-07 -3.0238E-05
0.000255444 -0.001129537
0.00053498 0.002209148
0.00210306 0.001168535
0.00098431 -0.000802361
0.002908074 0.005488725
0.001150974 0.000354534
7.68874E-05 0.000438897
0.00364263 -0.002025771
0.001735461 -0.003288078
0.000639243 -0.002029948
0.001528357 -0.002334911
8.84757E-06 -0.000511103
0.004874539 0.015526616
0.003606908 0.014678567
0.009326486 0.016228201
0.001900463 0.000985055
0.000106959 0.001240399
0.001554199 0.00405359
0.014552047 0.056965945
0.000665044 0.005161157
4.1708E-05 -1.74867E-05
0.000197111 -0.002876913
2.60197E-05 0.000419546
0.001378202 -0.000487472
0.001350115 0.00254862
0.000567574 0.002116662
0.001246177 -0.002786014
0.052333654 0.077904011
0.009309158 0.018229924
0.00381015 0.013375654
RISK RETURN 17
0.000858324 -0.001570371
0.000941405 0.002822086
0.001978325 -0.001073459
2.92486E-06 -6.71672E-05
6.33459E-05 0.00019046
0.001031756 0.005110243
0.000273784 0.000894515
0.002473588 0.010449867
0.000817628 -0.000964274
0.000219911 -0.001718217
0.000989722 0.0062191
2.53777E-05 0.000790777
0.003597567 0.004730676
0.00160634 0.001021256
9.35254E-05 3.43498E-05
0.001517476 0.003462938
0.00057612 0.00251604
0 0
0 0
0 0
0 0
0 0
0 0
0 0