Fin 462 Project

Finance Project CAPM and the 3 factor model: 1. The alter R-square tells us that 47.12% of the variation in 3Ms excess kick the bucket is explained by the variation in the excess double backs of the portfolio. So the rest of this parity which is 52.88% is the specific factors of 3M as an individual stock. The adjusted R-square is more applicable than the R-square because adjusted R-square take the legs of immunity into consideration. The positive of import of totally the stocks excluding A&F projects that these four stocks (Nike, Coca-Cola, BBBY, and 3M) are supra the credentials market line for the 60 months periods. The steep P appreciate of 3M, A&F, and BBBY that is greater than 5% indicates that the estimates of alpha is not importantly different than zero. As noticed, BBBY has a really high genus Beta value that is greater than 1, this means its return start importantly more than the market. 2. When compare with the CAPM regression analysis results, th e 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 important(beta1) and the negative HML beta (beta3) of VBK suggest high systematic risk and the expectation of the self-colored 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 turn over that the anticipate return of 3M and AF are lower than the annual return, this indicates that near(a) deal everywhere evaluate their performance, the unfeigned return of AF is yet 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 t he expected value, this means people are und! er evaluate them. 2. establish on the quintuplet stocks we picked,...If you want to get a sufficient essay, order it on our website: OrderEssay.net

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