Month Monthly Returns (%) Month Monthly Returns (%) Month Monthly Returns (%) En
ID: 2744306 • Letter: M
Question
Month
Monthly Returns (%)
Month
Monthly Returns (%)
Month
Monthly Returns (%)
Ended
Yahoo
S&P500
Ended
Yahoo
S&P500
Ended
Yahoo
S&P500
Dec-07
-13.241
-0.219
-0.692
Dec-06
-5.442
-5.018
1.403
Dec-05
-2.610
2.457
0.036
Nov-07
-13.794
-1.980
-4.182
Nov-06
2.544
1.767
1.899
Nov-05
8.818
8.806
3.778
Oct-07
15.861
24.632
1.590
Oct-06
4.193
18.534
3.257
Oct-05
9.249
17.595
-1.668
Sep-07
18.093
10.096
3.736
Sep-06
-12.314
6.174
2.575
Sep-05
1.561
10.650
0.810
Aug-07
-2.237
1.029
1.497
Aug-06
6.227
-2.087
2.376
Aug-05
-0.060
-0.612
-0.912
Jul-07
-14.302
-2.430
-3.097
Jul-06
-17.758
-7.805
0.616
Jul-05
-3.781
-2.172
3.717
Jun-07
-5.470
4.979
-1.660
Jun-06
4.463
12.778
0.133
Jun-05
-6.855
6.088
0.143
May-07
2.354
5.628
3.486
May-06
-3.630
-11.035
-2.875
May-05
7.826
26.032
3.179
Apr-07
-10.387
2.885
4.428
Apr-06
1.612
7.164
1.342
Apr-05
1.770
21.877
-1.896
Mar-07
1.393
1.938
1.116
Mar-06
0.624
7.551
1.244
Mar-05
5.051
-3.979
-1.769
Feb-07
9.007
-10.379
-1.950
Feb-06
-6.735
-16.188
0.271
Feb-05
-8.350
-3.900
2.103
Jan-07
10.846
8.908
1.511
Jan-06
-12.264
4.291
2.648
Jan-05
-6.555
1.468
-2.437
Segregate the return data in the above table into bull and bear markets, using the S&P 500 index as the proxy for the market. a) What was the average return for the two companies during these two types of markets? What was the return for the S&P 500 index during those times? b) Using the average return measures in a), compute the beta for Yahoo and Google.
Month
Monthly Returns (%)
Month
Monthly Returns (%)
Month
Monthly Returns (%)
Ended
Yahoo
S&P500
Ended
Yahoo
S&P500
Ended
Yahoo
S&P500
Dec-07
-13.241
-0.219
-0.692
Dec-06
-5.442
-5.018
1.403
Dec-05
-2.610
2.457
0.036
Nov-07
-13.794
-1.980
-4.182
Nov-06
2.544
1.767
1.899
Nov-05
8.818
8.806
3.778
Oct-07
15.861
24.632
1.590
Oct-06
4.193
18.534
3.257
Oct-05
9.249
17.595
-1.668
Sep-07
18.093
10.096
3.736
Sep-06
-12.314
6.174
2.575
Sep-05
1.561
10.650
0.810
Aug-07
-2.237
1.029
1.497
Aug-06
6.227
-2.087
2.376
Aug-05
-0.060
-0.612
-0.912
Jul-07
-14.302
-2.430
-3.097
Jul-06
-17.758
-7.805
0.616
Jul-05
-3.781
-2.172
3.717
Jun-07
-5.470
4.979
-1.660
Jun-06
4.463
12.778
0.133
Jun-05
-6.855
6.088
0.143
May-07
2.354
5.628
3.486
May-06
-3.630
-11.035
-2.875
May-05
7.826
26.032
3.179
Apr-07
-10.387
2.885
4.428
Apr-06
1.612
7.164
1.342
Apr-05
1.770
21.877
-1.896
Mar-07
1.393
1.938
1.116
Mar-06
0.624
7.551
1.244
Mar-05
5.051
-3.979
-1.769
Feb-07
9.007
-10.379
-1.950
Feb-06
-6.735
-16.188
0.271
Feb-05
-8.350
-3.900
2.103
Jan-07
10.846
8.908
1.511
Jan-06
-12.264
4.291
2.648
Jan-05
-6.555
1.468
-2.437
Explanation / Answer
Beta Calculation
In excel, Beta (Yahoo) = COVARIANCE.P(Yahoo Returns, S&P500 Returns)/ VAR.P(S&P500 Returns) = 0.987
Similarly, Beta (Google) = 1.216
If you are looking for their betas in bear and bull markets,
Bear Market: Beta (Yahoo) = 2.52; Beta (Google) = 1.214
Bull Market: Beta (Yahoo) = 1.29; Beta (Google) = 1.75
Bear Market Bull Market Month Yahoo Google S&P500 Month Yahoo Google S&P500 Jan-05 -6.555 1.468 -2.437 Feb-05 -8.35 -3.9 2.103 Mar-05 5.051 -3.979 -1.769 May-05 7.826 26.032 3.179 Mar-05 5.051 -3.979 -1.769 Jun-05 -6.855 6.088 0.143 Apr-05 1.77 21.877 -1.896 Jul-05 -3.781 -2.172 3.717 Oct-05 9.249 17.595 -1.668 Sep-05 1.561 10.65 0.81 May-06 -3.63 -11.035 -2.875 Nov-05 8.818 8.806 3.778 Feb-07 9.007 -10.379 -1.95 Dec-05 -2.61 2.457 0.036 Aug-05 -0.06 -0.612 -0.912 Jan-06 -12.264 4.291 2.648 Jul-07 -14.302 -2.43 -3.097 Feb-06 -6.735 -16.188 0.271 Oct-05 9.249 17.595 -1.668 Mar-06 0.624 7.551 1.244 Dec-07 -13.241 -0.219 -0.692 Apr-06 1.612 7.164 1.342 Average 0.14445455 2.354727 -1.8848182 Jun-06 4.463 12.778 0.133 Jul-06 -17.758 -7.805 0.616 Aug-06 6.227 -2.087 2.376 Sep-06 -12.314 6.174 2.575 Oct-06 4.193 18.534 3.257 Nov-06 2.544 1.767 1.899 Dec-06 -5.442 -5.018 1.403 Jan-07 10.846 8.908 1.511 Mar-07 1.393 1.938 1.116 Apr-07 -10.387 2.885 4.428 May-07 2.354 5.628 3.486 Aug-07 -2.237 1.029 1.497 Sep-07 18.093 10.096 3.736 Oct-07 15.861 24.632 1.59 Average -0.09272 5.20952 1.95576