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USF Capital Asset Pricing Model Regression analysis Worksheet

USF Capital Asset Pricing Model Regression analysis Worksheet

Question Description

Instructions:

In this assignment, follow the steps below and apply CAPM regression analysis (the Single Index Model) to examine stocks and give a conclusion if a stock is a good investment or not in the long run.

1. Pick three stocks (not including the ones that I attached ) you are interested in to analyze.

2. For each stock, apply the CAPM regression analysis in Excel:

  • Collect historical price data from Yahoo! Finance for the stocks, for market return, and for risk-free return.
  • You can examine the data of the stocks you pick in the past 6 months, 1 year, 2 years, 5 years…any period you like. Make sure your conclusion is consistent with your testing period.
  • Use daily rate of return for analysis.
  • Construct appropriate X and Y series.
  • Do the CAPM regression using a scatter chart. Include the trendline and regression equation in the chart.

3. Write a brief detailed report in a word file. Include the three charts you generate in Excel. Identify the Jensen’s alpha and historical beta for each stock. You do not need to calculate the future beta. Reach a conclusion for each stock based on your testing period, alpha and beta information, and briefly explain your conclusion:

1000 words at least

  • Is this stock a good investment?
  • Why is it a good/bad investment?
  • What is your strategy, long or short?

submit both word and excel file


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