Am. 134. Compute daily abnomal returns of MRK and RXDX on the announcement day. Since April 16, 2023 was Sunday (= notrading), use the following trading day, April 17, 2023, as the announcement day for this analysis. Use daily returns onSPY (S&P500 ETF) as benchmark retums during the same period and 0.018% as daily risk free rate. Show your work inExcel to receive any credit.10 4/12/2023 113.7511 4/13/2023 115.5812 4/14/2023 115.31 -0.23%13 4/17/2023 115.01 -0.26%4 4/18/2023 114.831.12%1.61%4/12/2023 112.25 -1.51%4/13/2023 112.86 0.54%4/14/2023 114.01 1.02%4/17/2023 193.51 69.73%4/12/2023 408.05 -0.41%4/13/2023 413.47 1.33%-0.16%4/18/2023 193.5 -0.01%4/14/2023 412.46 -0.24%4/17/20234/18/2023 414.21413.94 0.36%0.07%MRXRXDXSPY

4. Calculate Abnormal Returns:In an empty column after the daily return columns (e.g., Column G for…

Answered: Compute daily abnomal returns of MRK…

Essentials Of Investments

11th Edition

ISBN:9781260013924

Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.

Publisher:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.

Chapter1: Investments: Background And Issues

Section: Chapter Questions

Problem 1PS

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You have at hand the historical monthly excess returns of Strategy X over 12 months. In addition, you have the monthly excess returns to the market. The risk free rate is 2%. Excess returns (monthly) Strategy X Market 0.012 0.011 0.007 0.009 0.014 0.007 0.013 0.004 0.005 0.013 0.008 0.006 0.011 0.010 0.006 0.011 0.010 0.010 0.014 0.009 0.008 0.004 0.009 0.007 Required: Calculate the annualised CAPM alpha for Strategy X.
Assume that you are given the following historical returns for the Market and Security J. Also assume that the expected risk-free rate for the coming year is 4.0 percent, while the expected market risk premium is 15.0 percent. Given this information, determine the required rate of return for Security J for the coming year, using CAPM. Year 1 2 O21.20% 3 4 5 6 O22.34% O 23.49% O24.63% O24.10% Market 10.00% 12.00% 16.00% 14.00% 12.00% 10.00% Security J 12.00% 14.00% 18.00% 22.00% 18.00% 14.00%
Suppose the returns on an asset are normally distributed. The historical average annual return for the asset was 5.2 percent and the standard deviation was 10.6 percent. a. What is the probability that your return on this asset will be less than –9.7 percent in a given year? Use the NORMDIST function in Excel® to answer this question. b. What range of returns would you expect to see 95 percent of the time? c. What range of returns would you expect to see 99 percent of the time?
The most recent estimate of the daily volatility of an asset is 1.75% and the price of the asset at the close of trading yesterday was $50.00. The parameter (1-x ) in the Exponentially Weighted Moving Average (EWMA) model is 0.20. Suppose that the price of the asset at the close of trading today is $55.00. Calculate how this will cause the volatility to be updated by the EWMA model.
1. Using the factor beta estimates and the monthly expected return estimates in the table shown here, calculate the risk premium of General Electric stock (ticker: GE) using the FFC factor specification. (Annualize your result by multiplying by 12.) GE's CAPM beta over the same time period was 1.02. How does the risk premium you would estimate from the CAPM compare? FACTOR FACTOR AVERAGE MONTHLY RETURN GE'S BETAS MKT SMB HML 0.68 0.20 0.35 PR1YR 0.64 0.67 0.48 0.36 -0.70
solve for annualized log-return and annualized volatility of log returns. Last end of day value was $83,251.44. 72 days of dates for average. Average daily log-return Annualized log-return -0.255% Standard deviation on daily log-returns 3.001% Annualized volatility of log-returns Risk-free rate (QUOTE) 91-day T-bill Price ($) 0.020% 99.994 Effective Annual Yield 0.020% th Risk-free rate (in continuous time) fo Sharpe Ratio (annual) 8.485% Risk Return
Go to Yahoo! Finance and download the monthly stock prices for Apple (AAPL) from 1/1/2016 to 12/31/2021. (1) Sort the data in increasing order by date. (2) Calculate monthly returns using Adj. Close prices. Align the returns well with the dates. (3) Calculate the average monthly return and standard deviation of the monthly returns. (Hint: use either STDEV.S or STDEV to calculate the standard deviation.) On Excel Formulas included
Suppose the average return on Asset A is 6.6 percent and the standard deviation is 8.6 percent and the average return and standard deviation on Asset B are 3.8 percent and 3.2 percent, respectively. Further assume that the returns are normally distributed. Use the NORMDIST function in Excel® to answer the following questions. a. What is the probability that in any given year, the return on Asset A will be greater than 11 percent? Less than 0 percent? (Do not round intermediate calculations and enter your answers as a percent rounded to 2 decimal places, e.g., 32.16.) b. What is the probability that in any given year, the return on Asset B will be greater than 11 percent? Less than 0 percent? (Do not round intermediate calculations and enter your answers as a percent rounded to 2 decimal places, e.g., 32.16.) c-1. In a particular year, the return on Asset A was −4.25 percent. How likely is it that such a low return will recur at some point in the future? (Do…
Determine the value of a putnoption using the following information risk free rate = 6%Time of matury = 3 monthscall price = 5s stock price = 30 strike price = 28
The following are the calendar year rates of return for a S&P 500 ETF (Ticker: IVV) between 2013 and 2017. Year IVV 2013 29.60% 2014 11.39% 2015 -0.73% 2016 9.54% 2017 19.42% What is the geometric mean rate of return? Round to the nearest 0.01, in percentage terms.
uppose the average return on Asset A is 7.1 percent and the standard deviation is 8.3 percent, and the average return and standard deviation on Asset B are 4.2 percent and 3.6 percent, respectively. Further assume that the returns are normally distributed. Use the NORMDIST function in Excel® to answer the following questions. a. What is the probability that in any given year, the return on Asset A will be greater than 12 percent? Less than 0 percent? (Do not round intermediate calculations and enter your answers as a percent rounded to 2 decimal places, e.g., 32.16.) b. What is the probability that in any given year, the return on Asset B will be greater than 12 percent? Less than 0 percent? (Do not round intermediate calculations and enter your answers as a percent rounded to 2 decimal places, e.g., 32.16.) c-1. In a particular year, the return on Asset A was −4.38 percent. How likely is it that such a low return will recur at some point in the future? (Do not round…
Suppose that the current 1-year rate (1-year spot rate) and expected 1-year T-bill rates over the following three years (i.e., years 2, 3, and 4, respectively) are as follows:1R1 = 6%, E(2r1) = 7%, E(3r1) = 7.5%, E(4r1) = 7.85%Using the unbiased expectations theory, calculate the current (long-term) rates for one-, two-, three-, and four-year-maturity Treasury securities. (Round your answers to 2 decimal places.)

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