Step-by-step solution file
MTRM6040 Assignment 1 Due: 11.10.2016 Note: All tests are based
Good day can some assist me In accurately completing the attached questions in detail.
It's actually due tomorrow at 2:30 pm my time.
Would really appreciate it. Please respond.
MTRM6040 Assignment 1 Due: 11.10.2016 Note:
All tests are based on the 5% significance level
Do not hand in computer output. Use cut-and-paste to summarize the output. There
is no need to keep many digits in an answer.
This is a group assignment
Consider the daily simple returns of Starbucks (SBUX) stock, CRSP value-weighted index
(VW), CRSP equal-weighted index (EW), and the S&P composite index (SP) from January 3,
2007 to December 31, 2015.
Returns of the three indexes include dividends. The data are in the file dsbux3dx.txt and the
columns show permno of sbux, date, sbux, vwretd, ewretd, and sprtrn respectively, with the
last four columns showing the simple returns.
(a) Compute the sample mean, standard deviation, skewness, excess kurtosis, minimum,
and maximum of each simple return series. (b) Obtain the empirical density function of the simple returns of Starbucks stock. Are
the daily simple returns normally distributed? Perform a normality test to justify your
answer. (c) Transform the simple returns to log returns. Compute the sample mean, standard
deviation, skewness, excess kurtosis, minimum, and maximum of each log return series. (d) Test the null hypothesis that the mean of the log returns of Starbucks stock is zero. Do
the same test for S&P composite index. (e) Obtain the empirical density plots for the daily log returns of Starbucks stock and that
of the value-weighted index. Question 2
The daily log returns on a stock are independent and normally distributed with mean 0.001
and standard deviation 0.015. Suppose you buy $1000 worth of this stock.
What is the probability that after one trading day your investment is worth less than
What is the probability that after five trading days your investment is worth less than
$990? Question 3
Suppose the price of a stock at times 1, 2, and 3 are P1 = 95 P2 = 103 Find r3 ( 2 ) Question 4
The prices and dividends of a stock are given in the table below.
(i) What is R2 ? (ii) What is R4 ( 3) ? (iii) What is r3 ? and P3 = 98
This question was answered on: Feb 21, 2020
This attachment is locked
We have a ready expert answer for this paper which you can use for in-depth understanding, research editing or paraphrasing. You can buy it or order for a fresh, original and plagiarism-free copy (Deadline assured. Flexible pricing. TurnItIn Report provided)
Need a similar solution fast, written anew from scratch? Place your own custom order
We have top-notch tutors who can help you with your essay at a reasonable cost and then you can simply use that essay as a template to build your own arguments. This we believe is a better way of understanding a problem and makes use of the efficiency of time of the student. New solution orders are original solutions and precise to your writing instruction requirements. Place a New Order using the button below.