Ibm Capm Analysis

Presented By Yuan Zhou
CAPM EXERCISE
1.IBMs Estimated important
family19881989199019911992
Intercept-0.00578-0.01302-0.00931-0.00919-0.01644
of import0.7448040.7588950.6501790.6019890.528854

Year19931994199519961997
Intercept-0.0133-0.00279-0.003930.0013550.008738
beta0.3711110.3272870.3419031.123781.34791

Year19981999200020012002
Intercept0.0193960.0167820.0109890.0152270.013698
Beta0.9432270.8535011.1423281.1300941.402587

The Beta above is calculated by regression seat. As we can see above, the important of IBM decreased gradually skeletal frame 1988 to 1995, then soared up to 1.3 in 1997. And during the following 5 year, the beta of IBM fluctuates and reversed back to 1.3 up level in 2002. In summary, the beta of IBM tended to increase for the period between 1988 and 2002, which indicated that the systematic lay on the line of IBM became a more important to concern for investor.

2.IBMs Beta: Estimate from 1 VS Figure in Summary
Year N199819992000
Estimate ended in N0.9432 0.8535 1.1423
S&P500 in N+11.0807 1.2198 1.2370
The estimate betas from regression model tend to be lower than those provided by S&P 500.



Problem 3-8 are listed below, detailed comment will be provided in part 9.




* compute of value in for each one quintileNumber(Quintile)

Sorting result by Beta 1999-2001

1999-Beta Sorting　　
Number of non-missing value470
Number of value in each quintile94(1-5)
fair(a)ReturnBeta
　134.3105060.370876
　219.7238420.753483
　314.8483340.968989
　420.5279551.198613
　534.5268211.717389

2000-Beta Sorting　　　
Number of non-missing value477　
Number of value in each quintile96(1-4)93(5)
AverageReturnBeta　
　15.3152210.268138　
　22.6768670.666927　
　31.9845490.881528　
　42.9105621.144654　
　5-11.40731.777323...If you want to get a full essay, order it on our website: Orderessay



If you want to get a full essay, wisit our page: write my essay .