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BUS5SBF-Statistics For Business And Finance

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Questions:

1. Calculate returns for these three series in Excel or any software of your choice using the transformation: r  = 100*ln(P  / P ) and perform the Jarque-Berra test of normally distributed returns for each of Boeing and GD. What do you infer about the distribution of the two stock returns series? Describe also the risk and average return relationship in each of the two stocks.
 
2. Test a hypothesis that the average return on GD stock is different from 2.8%. Which test statistic would you choose to perform this hypothesis test and why? Also, specify the distribution of the test statistic under the null hypothesis.
 
3. Before investing in one of the two stocks, you rst want to compare risk associated with each of the two stocks. Perform an appropriate hypothesis test using 5% signicance level and interpret your results.
 
4. Besides, you want to determine whether both stocks have same population average return. Perform an appropriate hypothesis test using information in your sample of  60 observations on returns. Report your ndings and also mention which stock will you prefer and why?
 
5. Compute excess return on your preferred stock as y  = r  - r    and excess market return as x  = r  - r   and perform the following tasks.
 
a.    Estimate the CAPM using linear regression by regressing the excess return on your preferred stock (y ) on excess market return (x ) and properly report your regression results.
 
b.    Interpret the estimated CAPM beta-coecient in terms of the stock's riskiness in comparison with the market.
 
c.    Interpret the value of R .
 
d.    Interpret 95% condence interval for the slope coecient. 
 
6.  Using the condence interval approach to hypothesis testing, perform the hypothesis test to determine whether your preferred stock is a neutral stock. 
 
7. One of the assumptions of ordinary least squares (OLS) method is; normally distributed error term in the model. Perform an appropriate hypothesis test to determine whether it is plausible to assume normally distributed errors.
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My Assignment Help. (2020). Statistics For Business And Finance. Retrieved from https://myassignmenthelp.com/free-samples/bus5sbf-statistics-for-business-and-finance/risk-return-relationship.html.

My Assignment Help (2020) Statistics For Business And Finance [Online]. Available from: https://myassignmenthelp.com/free-samples/bus5sbf-statistics-for-business-and-finance/risk-return-relationship.html
[Accessed 24 October 2021].

My Assignment Help. 'Statistics For Business And Finance' (My Assignment Help, 2020) <https://myassignmenthelp.com/free-samples/bus5sbf-statistics-for-business-and-finance/risk-return-relationship.html> accessed 24 October 2021.

My Assignment Help. Statistics For Business And Finance [Internet]. My Assignment Help. 2020 [cited 24 October 2021]. Available from: https://myassignmenthelp.com/free-samples/bus5sbf-statistics-for-business-and-finance/risk-return-relationship.html.


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