Assignment 7 - Case Study – Measuring Stock Market Risk
Assignment 7 - Case Study – Measuring Stock Market Risk.
I calculated the descriptive statistics for the given data by Excel as follows:
Descriptive Statistics
Exxon Johnson & McDonald' Procter & S&P
Microsoft Mobil Caterpillar Johnson s Sandisk Qualcomm Gamble 500
Count 36 36 36 36 36 36 36 36 36
Mean 0.00503 0.01664 0.03010 0.00530 0.02447 0.06926 0.02836 0.01059 0.01010
Sample
Variance 0.00206 0.00306 0.00470 0.00122 0.00464 0.03818 0.00743 0.00137 0.00069
Sample
Standard
Deviation 0.04537 0.05534 0.06856 0.03487 0.06810 0.19540 0.08619 0.03707 0.02633
- - -
Minimum -0.08201 0.11646 -0.10060 -0.05917 -0.11443 0.28331 -0.12170 -0.05365 0.03429
Maximu
m 0.08883 0.23217 0.21847 0.10334 0.18257 0.50165 0.21055 0.08783 0.08104
Range 0.17084 0.34863 0.31907 0.16251 0.29700 0.78496 0.33225 0.14148 0.11534
- - -
Q1 -0.03765 0.00926 -0.03042 -0.01757 -0.02685 0.06935 -0.04827 -0.01240 0.01305
Median 0.00400 0.01279 0.04082 -0.00148 0.03702 0.07414 0.03871 0.01333 0.01034
1
, Assignment 7 - Case Study – Measuring Stock Market Risk
Q3 0.04308 0.03911 0.06871 0.02635 0.05877 0.16625 0.07992 0.02772 0.02167
It can be seen from the above data that mean value of Sandisk is highest and mean value of Microsoft is
lowest.
Stock Caterpillar, McDonald, Sandisk, and Qualcomm are more volatile. It is because the variability in all
these variables is more than the other variables.
b)
Regression Analysis: Microsoft vs. S&P 500
Regression Statistics
Multiple R 0.26598
R Square 0.070745
Adjusted R
Square 0.043414
Standard Error 0.044376
Observations 36
ANOVA
Significanc
df SS MS F eF
0.00509 2.58845
Regression 1 0.005097 7 9 0.116893
0.00196
Residual 34 0.066953 9
Total 35 0.07205
Coefficient Standard Upper Lower Upper
s Error t Stat P-value Lower 95% 95% 95.0% 95.0%
0.96024 0.01652
Intercept 0.000398 0.007935 0.05021 9 -0.01573 5 -0.01573 0.016525
1.60886 0.11689 1.03730
S&P 500 0.458345 0.284886 9 3 -0.12061 4 -0.12061 1.037304
The regression equation is y= 0.000398+0.458345 S&P 500
The beta of the Microsoft is 0.458345
Regression Analysis: Exxon Mobil vs. S&P 500
Regression Statistics
Multiple R 0.347746
R Square 0.120927
2
Assignment 7 - Case Study – Measuring Stock Market Risk.
I calculated the descriptive statistics for the given data by Excel as follows:
Descriptive Statistics
Exxon Johnson & McDonald' Procter & S&P
Microsoft Mobil Caterpillar Johnson s Sandisk Qualcomm Gamble 500
Count 36 36 36 36 36 36 36 36 36
Mean 0.00503 0.01664 0.03010 0.00530 0.02447 0.06926 0.02836 0.01059 0.01010
Sample
Variance 0.00206 0.00306 0.00470 0.00122 0.00464 0.03818 0.00743 0.00137 0.00069
Sample
Standard
Deviation 0.04537 0.05534 0.06856 0.03487 0.06810 0.19540 0.08619 0.03707 0.02633
- - -
Minimum -0.08201 0.11646 -0.10060 -0.05917 -0.11443 0.28331 -0.12170 -0.05365 0.03429
Maximu
m 0.08883 0.23217 0.21847 0.10334 0.18257 0.50165 0.21055 0.08783 0.08104
Range 0.17084 0.34863 0.31907 0.16251 0.29700 0.78496 0.33225 0.14148 0.11534
- - -
Q1 -0.03765 0.00926 -0.03042 -0.01757 -0.02685 0.06935 -0.04827 -0.01240 0.01305
Median 0.00400 0.01279 0.04082 -0.00148 0.03702 0.07414 0.03871 0.01333 0.01034
1
, Assignment 7 - Case Study – Measuring Stock Market Risk
Q3 0.04308 0.03911 0.06871 0.02635 0.05877 0.16625 0.07992 0.02772 0.02167
It can be seen from the above data that mean value of Sandisk is highest and mean value of Microsoft is
lowest.
Stock Caterpillar, McDonald, Sandisk, and Qualcomm are more volatile. It is because the variability in all
these variables is more than the other variables.
b)
Regression Analysis: Microsoft vs. S&P 500
Regression Statistics
Multiple R 0.26598
R Square 0.070745
Adjusted R
Square 0.043414
Standard Error 0.044376
Observations 36
ANOVA
Significanc
df SS MS F eF
0.00509 2.58845
Regression 1 0.005097 7 9 0.116893
0.00196
Residual 34 0.066953 9
Total 35 0.07205
Coefficient Standard Upper Lower Upper
s Error t Stat P-value Lower 95% 95% 95.0% 95.0%
0.96024 0.01652
Intercept 0.000398 0.007935 0.05021 9 -0.01573 5 -0.01573 0.016525
1.60886 0.11689 1.03730
S&P 500 0.458345 0.284886 9 3 -0.12061 4 -0.12061 1.037304
The regression equation is y= 0.000398+0.458345 S&P 500
The beta of the Microsoft is 0.458345
Regression Analysis: Exxon Mobil vs. S&P 500
Regression Statistics
Multiple R 0.347746
R Square 0.120927
2
