Project for finance 401
Due date: First class after Thanksgiving
You are to calculate Beta for 6 assets for every 5 year time period. Is beta constant? What implications may this have for the CAPM?
* a 2 page write up of findings and limitations of the study should include the actual numbers.
Remember to use returns based on the adjusted close.
Here is a link to the historical SP 500 data.
asset 1: SP small cap index-from 1995
asset 2: Dell--from 1988
asset 3: IBM-from 1962
asset 4: Hershey-from from 1985
asset 5: Nike--from 1987
asset 6: Anheuser Busch from 1983
for each asset:
Calculate beta for overall period
Calculate beta for every 5 year period from 1990-present.
Compare the calculated beta with reported beta
For extra credit: Then compare the predicted returns and the actual returns for both the individual stocks and the portfolio of the 6 stocks.