Fin 462 Project

Finance Project CAPM and the 3 factor model: 1. The familiarized R-square tells us that 47.12% of the variation in 3Ms excess present is explained by the variation in the excess bring forths of the portfolio. So the eternal rest of this parity which is 52.88% is the specific factors of 3M as an individual stock. The adjusted R-square is much applicable than the R-square because adjusted R-square take the details of immunity into consideration. The positive alpha of totally the stocks excluding A&F projects that these four stocks (Nike, Coca-Cola, BBBY, and 3M) are preceding(prenominal) the credentials market line for the 60 months periods. The lofty P appreciate of 3M, A&F, and BBBY that is greater than 5% indicates that the estimates of alpha is non importantly different than zero. As noticed, BBBY has a really high genus Beta value that is greater than 1, this means its return falsify importantly more than the market. 2. When compare with the CAPM regres sion analysis results, the p-values of VBK and VBRs deuce-ace factors are all approximately zero, which indicates they are statistically significant different than zero. The high market beta(beta1) and the negative HML beta (beta3) of VBK suggest high systematic risk and the expectation of the square is harvest market.

With the given data information, The CAPM of VBK is higher than the FF3M of VBK, and the CAPM of VBR is higher than the FF3M of VBR, this is because the degree of freedom is taken into concern. Additional Questions 1. From the Annual judge return we image in the comparison sheet tab, we can shape that the judge return of 3M and AF ! are lower than the annual return, this indicates that ripe deal everywhere evaluate their performance, the unfeigned return of AF is eve negative, this may ascribable to they have high risk as a manufacturing firm that price of raw materials change a lot. While the actual return of Nike, Coca-Cola and BBBY are higher than the expected value, this means people are under evaluate them. 2. ground on the quintuplet stocks we picked,...If you want to get a all-embracing essay, order it on our website: OrderCustomPaper.com

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