[재무관리] The Beta for Hewlett-Packard Company

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레포트 > 경제경영계열
2011.02.18
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소개글

[재무관리] The Beta for Hewlett-Packard Company에 대한 자료입니다.

목 차
1. What are the monthly returns, average monthly returns, and standard deviations for H.P.Q stock, the three- month Treasury bill, and the S&P 500 for this period?

(1) the monthly returns, average monthly returns, and standard deviations for H.P.Q stock

(2) the monthly returns, average monthly returns, and standard deviations for the 3-month TB

(3) the monthly returns, average monthly returns, and standard deviations for the S&P 500

2. What do you think is the motivation for this particular regression? The intercept, β𝑖, is often called Jensen's alpha. What does it measure? If an asset has a positive Jensen's alpha, where would it plot with respect to the SML? What is the financial interpretation of the residuals in the regression?

(1) What do you think is the motivation for this particular regression?

(2) The intercept, α𝑖, is often called Jensen's alpha. What does it measure? If an asset has a positive Jensen's alpha, where would it plot with respect to the SML?

(3) What is the financial interpretation of the residuals in the regression?

3. Use the market model to estimate the beta for HPQ using the last 60months of returns. Plot the monthly returns on HPQ against the index and also show the fitted line.

4. Compare your beta for HPQ to the beta you find on yahoo.com. How similar are they? Why might they be different?

본문내용

To get the monthly returns for HP for the last 60 months, we downloaded the data from Oct.2005-Oct.2010. 61 data of ending monthly stock prices were needed to calculate the monthly returns for the last 60 months. In order to get the monthly returns, we used the capital gains yield formula (Pt+1-Pt)/Pt*100. The adj close prices(close price adjusted for dividends ) were used to get a more accurate value. The monthly returns are stated on the last column of the table (unit:%). Therefore, by using the average function from the spreadsheet, the average monthly returns was about 1.0075%, and it had a standard deviation of about 7.2147%.

The rates that we found from the St. Louis Federal Reserve web site were stated in APR, so we had to divide it by 4 to get the monthly returns. The 2nd column represents the monthly reuturns for the 3-month Treasury bill secondary market for the last 60 months.

By using the average function from the spreadsheet, the average monthly returns for the 3-month Treasury bill was about 0.5678%, and it had a standard deviation of about 0.5165%.

(3) the monthly returns, average monthly returns, and standard deviations for the S&P 500

#재무관리 #Hewlett #Packard

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