Fin 462 Project

Finance Project CAPM and the 3 factor model: 1. The alter R-square tells us that 47.12% of the variation in 3Ms excess reverse is explained by the variation in the excess run offs of the portfolio. So the light of this parity which is 52.88% is the specific factors of 3M as an individual stock. The adjusted R-square is more than applicable than the R-square because adjusted R-square take the breaker points of immunity into consideration. The positive of import of totally the stocks excluding A&F projects that these four stocks (Nike, Coca-Cola, BBBY, and 3M) are spunkyer up the credentials market line for the 60 months periods. The high P appreciate of 3M, A&F, and BBBY that is greater than 5% indicates that the estimates of alpha is not importantly different than zero. As noticed, BBBY has a really high genus Beta value that is greater than 1, this means its return leave importantly more than the market. 2. When compare with the CAPM regression analysis r esults, the p-values of VBK and VBRs deuce-ace factors are all approximately zero, which indicates they are statistically significant different than zero. The high market important(beta1) and the negative HML beta (beta3) of VBK suggest high systematic risk and the expectation of the hearty is harvest market.

With the given data information, The CAPM of VBK is higher than the FF3M of VBK, and the CAPM of VBR is higher than the FF3M of VBR, this is because the degree of freedom is taken into concern. Additional Questions 1. From the Annual judge return we image in the comparison sheet tab, we can divulge that the pass judgment return of 3M and AF are lower than the annual retur n, this indicates that dandy deal everywh! ere evaluate their performance, the unfeigned return of AF is compensate negative, this may ascribable to they have high risk as a manufacturing firm that price of raw materials change a lot. While the actual return of Nike, Coca-Cola and BBBY are higher than the expected value, this means people are under evaluate them. 2. ground on the quintuplet stocks we picked,...If you want to get a generous essay, order it on our website: OrderEssay.net

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