Asset Returns Year Asset X Asset Y Asset Z Market 2004 10.7% 29.6% 126.2% 15.8%
ID: 3151543 • Letter: A
Question
Asset Returns Year Asset X Asset Y Asset Z Market 2004 10.7% 29.6% 126.2% 15.8% 2005 5.7% 4.9% 161.6% 11.4% 2006 15.3% 50.2% 17.1% 21.5% 2007 6.0% 24.7% 58.4% 12.2% 2008 -37.1% -40.1% -52.4% -41.8% 2009 27.1% 45.1% 39.7% 35.4% 2010 15.4% -21.1% 12.4% 13.2% 2011 2.0% -11.2% -46.9% -6.9% 2012 16.1% 4.7% 47.1% 16.8% 2013 32.6% 32.3% 8.2% 23.4% Required: Use the Asset Returns table. Calculate the Standard Deviations of Asset X and Asset Y. Calculate the Correlation of Asset Y and Asset Z. Calculate the Beta of Asset Z using Regression and Market data.
Explanation / Answer
beta of Z is 0.23763 using regression and Market data
Year X X-mean(x) (X-mean(x))2 Y Y-mean(y) (Y-mean(y))2 Z Z-mean(z) (Z-mean(z))2 (Y-mean(y))*(Z-mean(z)) Market 2004 10.7 1.32 1.7424 29.6 17.69 312.9361 126.2 89.06 7931.6836 1575.4714 15.8 2005 5.7 -3.68 13.5424 4.9 -7.01 49.1401 161.6 124.46 15490.2916 -872.4646 11.4 2006 15.3 5.92 35.0464 50.2 38.29 1466.1241 17.1 -20.04 401.6016 -767.3316 21.5 2007 6 -3.38 11.4244 24.7 12.79 163.5841 58.4 21.26 451.9876 271.9154 12.2 2008 -37.1 -46.48 2160.3904 -40.1 -52.01 2705.0401 -52.4 -89.54 8017.4116 4656.9754 -41.8 2009 27.1 17.72 313.9984 45.1 33.19 1101.5761 39.7 2.56 6.5536 84.9664 35.4 2010 15.4 6.02 36.2404 -21.1 -33.01 1089.6601 12.4 -24.74 612.0676 816.6674 13.2 2011 2 -7.38 54.4644 -11.2 -23.11 534.0721 -46.9 -84.04 7062.7216 1942.1644 -6.9 2012 16.1 6.72 45.1584 4.7 -7.21 51.9841 47.1 9.96 99.2016 -71.8116 16.8 2013 32.6 23.22 539.1684 32.3 20.39 415.7521 8.2 -28.94 837.5236 -590.0866 23.3 Sum= 93.8 0 3211.176 119.1 0 7889.869 371.4 0 40911.044 7046.466 100.9 Sum/10= 9.38 0 321.1176 11.91 0 788.9869 37.14 0 4091.1044 704.6466 10.09