RISKRETURN

Current riskfree rate =

Number of periods of data=

6.50%
53

Risk premium for stocks=

Riskfree rate during period

10
5.50%
6.00%

RISKRETURN
Time period
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34

Index
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1

Price(Stock)
$30.75
$28.00
$27.75
$27.50
$26.38
$26.00
$28.25
$26.00
$25.75
$25.50
$28.50
$29.25
$28.25
$27.75
$26.00
$28.50
$27.25
$23.00
$18.25
$23.00
$19.50
$20.25
$23.00
$21.00
$31.25
$38.00
$38.50
$47.00
$43.88
$44.00
$47.75
$52.75
$57.75
$26.00

DPS(Stock)

$0.00

$0.00

$0.00

$0.00

$0.00

$0.00

$0.00

$0.00

$0.00

$0.00

$0.00

Split Factor
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1.5

Index Level
179.63
181.19
180.66
179.83
189.55
191.85
190.92
188.63
182.08
189.82
202.17
211.28
211.78
226.92
238.90
235.52
247.35
250.84
236.12
252.93
231.32
243.98
249.22
242.17
274.08
284.20
289.20
288.36
290.10
304.10
318.66
329.80
321.83
251.79

11
Return(Stock) Return(Mkt)
-8.94%
-0.89%
-0.90%
-4.07%
-1.44%
8.65%
-7.96%
-0.96%
-0.97%
11.76%
2.63%
-3.42%
-1.77%
-6.31%
9.62%
-4.39%
-15.60%
-20.65%
26.03%
-15.22%
3.85%
13.58%
-8.70%
48.81%
21.60%
1.32%
22.08%
-6.64%
0.27%
8.52%
10.47%
9.48%
-32.47%

0.87%
-0.29%
-0.46%
5.41%
1.21%
-0.48%
-1.20%
-3.47%
4.25%
6.51%
4.51%
0.24%
7.15%
5.28%
-1.41%
5.02%
1.41%
-5.87%
7.12%
-8.54%
5.47%
2.15%
-2.83%
13.18%
3.69%
1.76%
-0.29%
0.60%
4.83%
4.79%
3.50%
-2.42%
-21.76%

RISKRETURN
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60

1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
0
0
0
0
0
0
0

$21.50
$26.50
$25.50
$28.25
$29.38
$31.00
$30.75
$36.13
$34.75
$28.00
$27.50
$24.75
$20.25
$23.75
$26.00
$25.75
$26.25
$29.00
$32.50
$29.00
$30.50
$30.00
$32.25
$33.75
$34.75
$34.50

$0.00

$0.00

$0.00

$0.00

$0.00

$0.00

$0.00

$0.00

$0.00

1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1

230.30
247.08
257.07
267.82
258.89
261.33
262.16
273.50
272.02
261.52
271.91
278.97
273.30
277.72
297.47
288.86
294.87
309.64
320.52
317.98
346.08
351.45
349.15
340.36
345.99
353.40

12
-17.31%
23.26%
-3.77%
10.78%
4.00%
5.51%
-0.81%
17.50%
-3.82%
-19.42%
-1.79%
-10.00%
-18.18%
17.28%
9.47%
-0.96%
1.94%
10.48%
12.07%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%

-8.53%
7.29%
4.04%
4.18%
-3.33%
0.94%
0.32%
4.33%
-0.54%
-3.86%
3.97%
2.60%
-2.03%
1.62%
7.11%
-2.89%
2.08%
5.01%
3.51%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%

RISKRETURN
REGRESSION STATISTICS AND RISK PARAMETERS
RISK AND PERFORMANCE MEASURES
Intercept (Alpha) =
Slope (Beta)=

-0.45%
1.77880824

Rf(1- Beta) =

-0.38%

Intercept-Rf(1-Beta)=

-0.07%

VARIANCE STATISTICS
Variance of the stock=

0.01911051

Variance of the market =

0.00277992

Systematic variance=
Unsystematic variance=

0.0087961
0.01031441

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=
Annualized DPS=
Predicted prices:

$35.00
$0.00

13

RISKRETURN
- One year from now

$40.70

- Two years from now

$47.33

- Three years from now

$55.03

- Four years from now

$63.99

- Five years from now

$74.41

14

RISKRETURN
Current stock price
Current Annual DPS

$35.00
$0.00

15

RISKRETURN
(R(jt)-Rj)^2

(R(mt)-R(m))^2

0.0110873483
0.0006147501
0.0006187454
0.0032027514
0.0009162993
0.0049946557
0.009122466
0.0006492797
0.0006540459
0.0103594687
0.0001092068
0.0025053647
0.001126589
0.0062297313
0.0064462051
0.0035671034
0.0295251662
0.0494561214
0.0597354606
0.0282372725
0.0005105772
0.0143848565
0.0105723854
0.2230008465
0.0400537846
7.33157947E-006
0.0419895987
0.006764826
0.0001724193
0.0048110439
0.0078936931
0.0062285473
0.1159681103

6.00522424E-006
0.0001976887
0.0002474121
0.0018417808
9.97856153E-007
0.0002554439
0.0005349796
0.0021030605
0.0009843099
0.0029080742
0.0011509744
7.68874034E-005
0.0036426303
0.0017354608
0.0006392429
0.0015283569
8.84757451E-006
0.0048745391
0.0036069081
0.0093264859
0.0019004634
0.000106959
0.0015541992
0.0145520472
0.0006650443
0.000041708
0.0001971114
2.60196916E-005
0.0013782023
0.0013501151
0.0005675742
0.0012461772
0.052333654

(R(jt)-R(j))
(R(mt)-R(m))
0.00025803
0.00034861
0.00039126
-0.00242874
-3.024E-005
-0.00112954
0.00220915
0.00116854
-0.00080236
0.00548873
0.00035453
0.0004389
-0.00202577
-0.00328808
-0.00202995
-0.00233491
-0.0005111
0.01552662
0.01467857
0.0162282
0.00098505
0.0012404
0.00405359
0.05696594
0.00516116
-1.749E-005
-0.00287691
0.00041955
-0.00048747
0.00254862
0.00211666
-0.00278601
0.07790401

16

RISKRETURN
0.0356992709
0.0469556638
0.0028731136
0.0084598704
0.0005824701
0.0015424445
0.0005726497
0.0253108263
0.0029225906
0.0441462911
0.0011372223
0.0134248335
0.0390788711
0.0246408123
0.0062206754
0.0006492797
1.26159370E-005
0.0079025559
0.010988086
0
0
0
0
0
0
0

0.0093091576
0.0038101498
0.0008583244
0.0009414054
0.0019783249
2.92485870E-006
6.33458905E-005
0.0010317556
0.0002737836
0.0024735878
0.0008176283
0.0002199111
0.0009897215
2.53777151E-005
0.0035975665
0.0016063398
9.35253913E-005
0.0015174761
0.0005761202
0
0
0
0
0
0
0

0.01822992
0.01337565
-0.00157037
0.00282209
-0.00107346
-6.717E-005
0.00019046
0.00511024
0.00089452
0.01044987
-0.00096427
-0.00171822
0.0062191
0.00079078
0.00473068
0.00102126
3.4350E-005
0.00346294
0.00251604
0
0
0
0
0
0
0

17

RISKRETURN

18

RISKRETURN

19