• Finc 5001
    have limitations. The main difference between the two models is that Mean-variance approach only focus on the performance of company itself while CAPM illustrates the relationship between the performance of one company and the whole market. In terms of CAPM model, Beta represents the risk of...
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  • Sunbeam
    | 0.050027166 | 0.00% | 100.00% | 100.00% | 0.002319178 | 0.051203916 | Covariance   | Woolworths | Telstra | Woolworths | 0.002283841 | 0.000184 | Telstra | 0.000184378 | 0.002644 | Beta approach – use CAPM approach The data is the same with mean variance approach. It is easier to...
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  • Capm vs. Apt: an Empirical Analysis
    Free Rate (Usually of 6 month Treasury bill) βi = beta which is the sensitivity of the expected excess asset returns to the expected excess market returns. Formally, the market beta of an asset i is the covariance of its return with the market return divided by the variance of the market return. βi...
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  • Emp Retention Strategies
    ijcrb.webs.com INTERDISCIPLINARY JOURNAL OF CONTEMPORARY RESEARCH IN BUSINESS VOL 3, NO 4 An Empirical Study on Employee Retention Strategies in a Biscuit Manufacturing Company in India S. R. Kavitha Assistant Professor, Depatment of Management Studies Saranathan College of Engineering...
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  • Analysis for Li Company (Hong Kong) Ltd
    combination would be better for the company. SCENARIO 2 Std Deviation of portfolio Variance of portfolio Covariance of porfolio With index Portfolio details 20.01% 0.0400 0.0235 Table3 Beta value signifies that combination of 2 stocks is better with 70% on High Tech Co. and 30% of Index...
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  • Report on the Article 'Earnings Announcements and Systematic Risk'
    means the return volatility is in fact significantly higher in the event windows. For Microsoft we found a expected variance of about 0.00134 and a event window variance of about 0.00258, for example. This means that we can confirm the higher volatility around earnings announcement dates. The betas for...
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  • financial analysis
    Executive Summary Our report concentrated on comparing the risk and return portfolios between Woolworths and Qantas. We use mean variance approach to evaluate the expected return and standard deviation and assess the beta by employing the CAPM approach. The report evaluated which approach is much...
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  • Asset Pricing Models
    500 companies. In order to clarify and simply the objective, the question is divided into sub-questions. Sub-question 1 Is there any relationship between risk and return for the CAPM? The mean return of securities will be regressed on estimated betas through cross-sectional regression such...
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  • Project Paper Testing the Capital Asset Pricing Model
    the sum of risk free rate plus risk premium, where risk premium is the linear function (demonstrated by beta) of the co-variance between the excess return of the security/portfolio and the excess return of the market (fully diversified) portfolio. The CAPM equation for the excess return is; (Ri-Rf...
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  • Portfolio Investments
    company) and SEB (banking and finance) are in the financial sector. H&M is a retail-clothing company. We used monthly returns during 5 years, from January 2006 to December 2010. 2 b) We choose ten companies with following average return, variance and standard deviation: c) It is easy to...
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  • Hkust Corporate Finance Teaching Note
    risk (systematic risk). The systematic risk is characterized by the asset’s covariance with the market portfolio (normalized by the variance of market portfolio) or its beta. What are systematic risk and non-systematic risk?  Systematic risk Risk that affects all securities, due to market...
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  • Finance
    . Also, the slope of the security line can be changed when the investor changes their expected returns they required per unit of risk. II. Diversifiable and Non-diversifiable risk The diversifiable risk, also known as unsystematic risk, is the company or industry specific risk that is inherent in...
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  • Beta Company
    SYNOPSIS: Beta Company produces two Product A and B, standard cost was predetermined by management as the cost for each product. During November actual production for Product A was 4,200 units while Product B was 3,600 units. Variances analysis for actual cost versus standard cost should be...
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  • Title
    standard deviation is the square root of the variance, so the standard deviation of each stock is: | σX = (.020670)1/2 = .1438 or 14.38% | σY = (.048680)1/2 = .2206 or 22.06% |   Consider the following table for the period from 1970 through 1975. |   | Returns | Years | Large- Company...
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  • Lease Finance and Investment
    rate of return and the risk-free rate of return). is also known as the risk premium . There are three ways to calculate . Now,I have to calculate 1. 2. Regression Model 3. Industry beta can be used as proxy. If Iwant to calculate the covariance of security and market return and variance of...
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  • Portfolio Management
    Covariance Vector With using the covariance matrix calculated variance for each security is has been calculated using below formula, Covariance [pic] Step 3 calculating the Beta Coefficients Vector Beta coefficient vector for the ten securities has been calculated using following...
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  • Faqfladalwdan
    -bills (β f ) is zero. The beta for the portfolio is therefore: βP = (0.30 × 0.8) + (0.45 × 1.2) + 0 = 0.78 FINA2802 – Homework Assignment 3 Suggested Answer________________________________________________ The variance of this portfolio is: σ 2 = β 2 σ 2 + σ 2 (e P ) P P M where β 2 σ 2 is...
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  • Financial
    natural resource (BHP Billiton 2013). Telstra Limited, the largest telecommunications and information-service-company in Australia, serves a large number of top companies around the world (Telstra Global 2013). This report, by utilizing two different approaches, namely Mean-Variance Approach (MVA) and...
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  • Sharpe's Single Index Model
    + ei Where, Ri = Expected return on security αi = Alpha coefficient βi = Beta coefficient I = the level of market return index ei = Error (residual risk of a company) Beta is a measure of volatility faced by a financial asset or portfolio or a project return. Alpha is the...
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  • Bangladesh Economical Statistics
    and market capitalization are in crores of Indian Rupees. The fund characteristics that can be used to measure portfolio diversification are capitalization, holdings and top ten %. Besides, residual variance is also an important measure of fund diversification. Number of companies held by the mutual...
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