ASSIGNMENT # 3 FIN 320: MANAGERIAL FINANCE

Statistical Analysis
ASSIGNMENT # 3 FIN 320: MANAGERIAL FINANCE Statistical Analysis

Question

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1.
Get the monthly historical stock price data during January 1995-Present of
three stocks. There are many websites that provide the historical stock price
indices. The handout given will guide you through how to download the data
from www.yahoo.com. Go to http://finance.yahoo.com, enter ticker symbol
such “T” for “ATT” and click on “get quotes”. However, you need to know
the ticker symbols of the stocks you are interested. The ticker symbols can be
obtained from from the company’s website.
2.
Get the monthly market indices during January 1995-Present. Market indices
such as S&P500 (^GSPC ticker symbol from yahoo website) can be obtained
from several websites.
3.
Calculate the monthly returns of each stock.
Return of ATT stock (0209) = Price of ATT (0209)-Price of ATT(0109)
Price of ATT(0109)
Then multiply by 100 to get return in %.
4. 5.
6.
7.
8.
9.
10.
11.
12.
13. Plot the bar chart of monthly historical returns of each stock on each separate
graph. Explain your findings, ie what caused the highest positive and negative
return in a particular period? You can search this information by using the
particulate date of highest and lowest return and name of company in google
(Please refer to textbook chapter 11 figure 11.2 page 331.
Using the Excel functions for average (AVERAGE), calculate the average
returns of each stock.
Using the Excel functions for variance (VARIANCE), calculate the variance
of each stock.
Using the Excel functions for standard deviation (STDEV), calculate the
standard deviation of each stock.
Calculate the monthly returns of S&P 500 index.
Using the Excel functions for average (AVERAGE), calculate the average
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returns of S&P 500 index.
Using the Excel functions for variance (VARIANCE), calculate the variance
of S&P 500 index.
Using the Excel functions for standard deviation (STDEV), calculate the
standard deviation of S&P 500 index.
Plot the bar chart of monthly historical returns of S&P 500 index. Explain
your findings, ie what caused the highest positive and negative return in a
particular period?.
Compare the average monthly return and standard deviation of each stock
with the S&P 500 index (market return), what can you conclude about risk
and return relationship and diversification?
Use the following Table 1 as an example to present your finding. ATT
0.6551
60.7968
7.7972 Average
Variance
Standard Deviation Walmart
1.2157
52.3132
7.2328 IBM
S&P500
1.4235
0.4002
81.7767 19.9352
9.0430
4.4649 Instructions on how to get the Historical Price
Go to http://finance.yahoo.com
Put the ticker symbol on the Get Quotes. For example: T is the ticker symbol for ATT
stocks.
Click on historical prices. Mont
h Daily
Day Year Weekly Start: 23 95 End: 24 01 Ticker Symbol: Monthly
Dividends
ibm Get Data You will get the following:
Date
Nov 01 Open
107.25 High
117 Nov 01 Low
106.90 Close
115.59 Volume Adj.
Close* 6,435,000 115.438 $0.14 Cash Dividend Oct 01 91.72 112.10 91.34 108.07 9,754,400
107.795 Sep 01 100.15 103.13 87.49 91.72 12,620,800 91.4863 Aug 01 105.35 110.09 98.86
99.95 6,234,800 99.6954 The Open price is the first traded price for the day chosen in that
month.
The High price is the highest price during that month.
The Low price is the lowest price during that month.
The Closing price is the last traded price for the day chosen in that month.
The Adj. Close is a price that reflects the total return that would have been achieved
by holding the stock for 1 month. It takes into consideration the effect of dividend payments and
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stock split. This is the price we are going to use to calculate the total
returns of each stock.
Hit the Download Spreadsheet Format to get the data.
This will be in a csv file, so after downloading the file make sure you save it in the
excel file. The close price in this file is the Adj. Close, which is the one you will use
to calculate each stock’s total returns.
For the IBM stock, these are the numbers you will get:
Date
Open
High
Low
Close
Volume
01-Nov 106.977 116.846 106.628 115.438 6435000
01-Oct 91.4863 111.814 91.1073 107.795 9754400
01-Sep 99.8948 102.867 87.2671 91.4863 12620800
01-Aug 104.943 109.665 98.6081 99.6954 6234800
01-Jul 113.062 114.954 101.168 104.804 7667400
01-Jun 112.066 118.54 110.671 113.062 6806100
Then create the Excel Spreadsheet with the date and closing price.
Date
Stock 1 Stock 2
01-Nov 115.438
01-Oct 107.795
01-Sep 91.4863
01-Aug 99.6954
01-Jul 104.804
01-Jun 113.062
Since the output from the website starts from the most recent observation, you need to
sort the date and the closing price from the past to present.
To sort the date and closing price, go to Data, Sort, and Ascending.
Once the data is sorted from the earliest observation to the most recent observation,
the return series is created by taking the percentage price differences from month to
month.
For Example:
Return (Feb 1999) = Close Price (Feb 1999)-Close Price (Jan 1999) *100
Close Price (Jan. 1999)
You also need to calculate the total returns for the market index such as the S&P500
indices using the method described above. Instructions:
1. Prepare a write-up of your report not more than 2 pages 12 points font and
double space. The write-up should be a report format, summarizing all your
findings and support your findings with numbers (using the questions asked as
a guideline to form the report format). The report should have three main
parts, introduction, body, and conclusion. The introduction should provide
a brief introduction what you will be discussing the project. In the body,
students should summarize their findings in words and support the findings
with the numbers. Insert the table that summarizes your finding where
appropriate. Insert graphical representation if necessary where the text is
being discussed. In the conclusion, you need provide the main finding of
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 your report, reemphasize your key findings. There is no need to explain the
calculation in the report. Attached all raw data, calculation, and regression
output at the end of project. The assignment report has to be well-written and
well-organized and free from grammatical mistakes. Please format all the
number to 4 decimals for easy comparison. Please place the $ or % where it is
appropriate. 2. The report should also contain the main Table 1 and the plots of historical
returns for each stock with explanation of high and low. Attached all data and
calculation to the end of project.

ASSIGNMENT # 3 FIN 320: MANAGERIAL FINANCE Statistical Analysis

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