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  • ANS221

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    The document discusses daily returns calculated using both discrete (simple) and continuous (compound) methods from January 25, 2023 to February 23, 2023. It also lists the daily expected returns using the Capital Asset Pricing Model (CAPM) over the same time period, with given values for risk-free rates, market index returns, and beta. The CAPM formula is provided to calculate the expected return as the risk-free rate plus the product of beta and the expected market excess return. An example calculation for January 26, 2023 is shown.

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    The document discusses daily returns calculated using both discrete (simple) and continuous (compound) methods from January 25, 2023 to February 23, 2023. It also lists the daily expected returns using the Capital Asset Pricing Model (CAPM) over the same time period, with given values for risk-free rates, market index returns, and beta. The CAPM formula is provided to calculate the expected return as the risk-free rate plus the product of beta and the expected market excess return. An example calculation for January 26, 2023 is shown.

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    4 views2 pages

    ANS221

    Uploaded by

    bibby88888888
    The document discusses daily returns calculated using both discrete (simple) and continuous (compound) methods from January 25, 2023 to February 23, 2023. It also lists the daily expected returns using the Capital Asset Pricing Model (CAPM) over the same time period, with given values for risk-free rates, market index returns, and beta. The CAPM formula is provided to calculate the expected return as the risk-free rate plus the product of beta and the expected market excess return. An example calculation for January 26, 2023 is shown.

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    © All Rights Reserved
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    of 2

    a.

    What are the daily returns in terms of discrete (simple)


    and continuous(compound) methods?
    (1)discrete (simple)

    Date 2023/1/25 2023/1/26 2023/1/27 2023/1/30 2023/1/31 2023/2/1 2023/2/2 2023/2/3 2023/2/6 2023/2/7 2023/2/8

    Simple
    0.3113 -0.2528 -0.2108 -0.1911 0.0946 1.3986 -0.9781 -1.0479 -0.5570 -0.0096
    (Discrete) %

    Date 2023/2/9 2023/2/10 2023/2/13 2023/2/14 2023/2/15 2023/2/16 2023/2/17 2023/2/20 2023/2/21 2023/2/22 2023/2/23

    Simple
    -0.1296 0.2470 -0.6012 0.4936 0.0494 -0.4095 -0.2432 0.1751 -0.0170 -0.2865 -0.2561
    (Discrete) %

    簡單報酬以後一日報酬相對前一日報酬之改變程度(百分比)預測(進位到小數 4
    位)

    例如 2023/1/26 的簡單報酬=

    ((1.092204-1.088815)/ 1.088815)*100%=0.3113%

    (2) continuous(compound)

    在此使用自然對數報酬，以後一日報酬相對前一日報酬相對值取自然對數預測
    (百分比) (進位到小數 4 位)

    Date 2023/1/25 2023/1/26 2023/1/27 2023/1/30 2023/1/31 2023/2/1 2023/2/2 2023/2/3 2023/2/6 2023/2/7 2023/2/8
    Compound
    0.3108 -0.2531 -0.2111 -0.1912 0.0945 1.3889 -0.9829 -1.0534 -0.5585 -0.0096
    (Continuous)%
    Date 2023/2/9 2023/2/10 2023/2/13 2023/2/14 2023/2/15 2023/2/16 2023/2/17 2023/2/20 2023/2/21 2023/2/22 2023/2/23
    Compound
    -0.1297 0.2467 -0.6030 0.4924 0.0494 -0.4103 -0.2435 0.1750 -0.0170 -0.2870 -0.2564
    (Continuous)%

    例如 2023/1/26 的自然對數報酬=

    ((ln(1.092204/1.088815))*100%=0.3108%

    b. What are the daily expected returns using the CAPM once
    the risk-free rates, market index returns, and beta values are
    listed in Table 1?
    Date 2023/1/25 2023/1/26 2023/1/27 2023/1/30 2023/1/31 2023/2/1 2023/2/2 2023/2/3 2023/2/6 2023/2/7 2023/2/8
    E(R) 1.1926% 1.2950% 6.1186% 6.2098% 5.9952% 5.7878% 5.8178% 5.7496% 5.6912% 5.6328% 5.5746%
    Date 2023/2/9 2023/2/10 2023/2/13 2023/2/14 2023/2/15 2023/2/16 2023/2/17 2023/2/20 2023/2/21 2023/2/22 2023/2/23
    E(R) 5.5064% 5.4480% 5.3896% 5.3314% 5.2632% 5.2580% 5.1940% 5.1295% 5.0655% 4.9910% 4.9270%

    CAPM :E(R)= Rf +β*【E(Rm)- Rf】

    其中 Rf =risk-free rates, E(Rm)=market index returns, and β=beta

    例如 2023/1/26 的預期報酬=4.10%+1.02*(1.35%-4.10%)=1.2950%

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