The data below records the rates of return for the SP stock index and stocks for two companies, Stat
Question: The data below records the rates of return for the S&P stock index and stocks for two companies, StatFab and RobCo. One measure of the volatility (or riskiness) of a stock is how dramatically it varies as the S&P varies – that is, a stocks “beta.” (See http://en.wikipedia.org/wiki/Beta_finance.) One definition of a stock’s beta is the slope of the line regressing the rates of return of the stock vs. the S&P. Which of these two securities is more volatile according to this measure? (Again, you can copy this data into Excel.)
Period | S&P | StatFab | RobCo |
1 | 0.11 | 0.10 | 0.13 |
2 | 0.12 | 0.10 | 0.15 |
3 | 0.10 | 0.09 | 0.13 |
4 | 0.05 | 0.05 | 0.05 |
5 | 0.11 | 0.11 | 0.13 |
6 | 0.12 | 0.12 | 0.14 |
7 | 0.07 | 0.08 | 0.04 |
8 | 0.13 | 0.11 | 0.14 |
9 | 0.07 | 0.07 | 0.09 |
10 | 0.17 | 0.13 | 0.20 |
11 | 0.09 | 0.09 | 0.11 |
12 | 0.12 | 0.10 | 0.14 |
13 | 0.04 | 0.06 | 0.02 |
14 | 0.13 | 0.10 | 0.17 |
15 | 0.11 | 0.09 | 0.14 |
16 | 0.19 | 0.13 | 0.19 |
17 | 0.08 | 0.08 | 0.10 |
18 | 0.14 | 0.12 | 0.17 |
19 | 0.15 | 0.15 | 0.16 |
20 | 0.06 | 0.09 | 0.07 |
21 | 0.16 | 0.14 | 0.18 |
22 | 0.15 | 0.11 | 0.16 |
23 | 0.09 | 0.08 | 0.12 |
24 | 0.10 | 0.10 | 0.12 |
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Solution: The downloadable solution consists of 3 pages
Deliverables: Word Document![](/images/msword.png)
Deliverables: Word Document
![](/images/msword.png)