Referencing Styles : Harvard
Test the null hypothesis that the population mean of your stock return is equal to that of the market return, against an appropriate alternative hypothesis.
State the assumptions under which the test is valid.
Based on the outcome of the test, explain whether your stock is more or less profitable
than the market portfolio; or whether they are equally profitable.
Question 2: [10 marks: 8 + 1+ 1]
Test the null hypothesis that the population variance of your stock return is equal to that of the market return, against an appropriate alternative hypothesis.
State the assumptions under which the test is valid.
Based on the outcome of the test, explain whether your stock is more or less volatile
than the market portfolio; or whether they are equal volatility.
Question 3: [10 marks: 2+2+2+2+2]
Report a scatter plot between the stock return (Y-axis) and market return (X-axis)
Using the scatter plot, provide the descriptive features of the relationship (direction
and strength) between the two in less than 50 words.
Report and interpret the correlation coefficient.
Test the null hypothesis that the population correlation is statistically zero against an appropriate alternative hypothesis.
State the assumptions under which the test is valid.
Run the simple regression between the stock return (dependent variable) and market portfolio
return (independent variable).
Question 4: [10 marks: 6 + 2 + 2]
Interpret the intercept and slope estimates, paying attention to the profitability and riskiness of your stock in comparison with the market portfolio.
Interpret the value of R2.
Suppose you expect the market return in the next month to be -5%, what is the expected return of your stock?
Question 5 [10 marks: 5+5]
Based on your findings from correlation and regression analyses, provide a non- technical summary of the properties of your stock, in comparison with those of the market portfolio, in less than 100 words.
Discuss possible limitations of your correlation and regression analysis in less than 100 words.