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论文作者:英语论文论文属性:课程作业 Coursework登出时间:2010-02-11编辑:steelbeezxp点击率:6024
论文字数:880论文编号:org201002112108595521语种:英语 English地区:英国价格:免费论文
Beta is the gradient of the best fitted line of the scattered plot, here it is the coefficient of OM returns, e.g. beta = 1.050542659
For EasyJet:
SUMMARY
Regression Statistics
Multiple R 0.389305095
R Square 0.151558457
Adjusted R Square 0.146049096
Standard Error 0.061516862
Observations 156
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ANOVA
df SS MS F Significance F
Regression 1 0.104103976 0.104103976 27.50926399 5.0895E-07
Residual 154 0.582785939 0.003784324
Total 155 0.686889915
Coefficients Standard Error t Stat P-value Lower 95% Upper 95%
Intercept -0.00023262 0.004925495 -0.047227996 0.962392705 -0.00996288 0.009497635
OM Return 0.714902576 0.136303616 5.244927453 5.08947E-07 0.44563642 0.984168737
Beta = 0.714902578
Now we plot the SML assuming the risk-free rate of return is 3%, also assume that the average market rate of return is our estimate of the expected market return e.g. -0.000329122
By the CAPM formula
In our case, we have:
is the project expected rate of return.
is the individual stock beta with respect to the market. Taking the beta values for each stock, we have:
Project Expected Rate of Return beta
HSBC -0.001862036 1.050542659
Easyjet 0.008317632 0.714902578
beta 0 0.03 0
Plot the graph, we get:
For the exponential smoothing done for the Easy Jet return forecasting, graph are plotted below,
Therefore for a beta value of 0.714902578 for Easy Jet, the expected return should be no less than 0.008317632 as seen on the graph. According to the Exponential smoothing done for easy jet, the forecasted value for return is 0.016125967 which is higher than 0.008317632. Therefore we should buy Easy Jet.
Same exponential smoothing has been done for HSBC as follows,
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As can be seen from the SML graph, for a beta value of 1.050542659, the expected return should be -0.001862036. According to the exponential smoothing forecasting done for HSBC, the forecasted expected return value is 0.041466176. Therefore we should buy HSBC as well.
A CAPM module shows the comparison between risk and reward of a investigation. If for a project of certain beta value, the expected return cannot reach as seen on the SML module, it is not suggested to invest into that project as there would be too much risk for its reward. However, if the expected return is higher than that on the SML module, it is suggested to invest into that project.
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