Guidelines:
1. You will be assigned eighteen (18) stocks from the current S&P 500 index. You must use these 18 stocks (or, more precisely, the ticker symbols) to download data from yahoo.com. Go to yahoo.com, then Finance, then type in your ticker symbol. Next choose Historical Prices from the tabs on the left. Tag “Monthly” then choose the appropriate dates (to be determined below). Click Get Prices, scroll to the bottom of the page and download to spreadsheet (it is actually saved as a ‘.csv’ file, but it will open okay in Excel). The last month of return data should be December 2015.
Be sure to use end-of-month data! Yahoo might print a beginning of month date in the monthly output, but it should be end of month. To check this, look at the daily data and verify that the last day of the month is used in the monthly spreadsheet (it should be if you wait until after the sample period to collect your data).
2. You must determine how exactly yahoo.com calculates historical beta, then replicate their calculations.This requires the use of regression software (or functions in Excel, if you know how to do that). Note,you must calculate returns first. Is the data sorted correctly – in time order? If not, you must sort your stock prices and market prices so that the oldest prices are first, then calculate returns. Answer the
following questions:
a. How, exactly, does yahoo.com calculate their beta? How many months of return data do they use? How many months of price data do you need? How do you know that you and Yahoo used the same data period?
b. Should you use closing price or adjusted price when calculating returns? Why?
c. What is the market proxy? What ticker did you use for your market proxy?
3. After calculating returns for your eighteen stocks and the market, you must calculate beta for each of your twenty stocks. Create a Table showing the following: Ticker, Company Name, yahoo beta,calculated beta, intercept and r-square from your regressions.
4. Do your regression results match yahoo.com results? Why or why not?
Output:
You must submit a brief write-up of your results. Your paper should be detailed enough so that someone else could pick up your paper and replicate your results. So, you will need a brief introduction describing your data sources, how you manipulated the data, how you calculated returns, how you calculated beta, a Table, and a brief summary and discussion of your findings. In total, you must submit:
1. Your write-up as a Word file including the Table described above in Guideline #3 and your answers to the various questions.
2. An Excel spreadsheet (one sheet), properly formatted, containing the ticker symbol, closing price, adjusted price and dates (dates should be the same for each ticker) for each of your twenty stocks and your market proxy.
3. Another Excel spreadsheet, properly formatted, detailing how, exactly, you calculated the results in your Table (i.e., replicate the detailed findings for your stocks). The two Excel worksheets should be in one file with two different labeled worksheet tabs. Alternatively, you may use 18 Excel sheets named with the ticker symbol if you wish to combine the date, ticker symbol, closing price, adjusted closing price, and calculations and/or regressions separately for each of your 18 companies.
Ticker Symbols
1 QCOM QUALCOMM Inc
2 PWR Quanta Services Inc
3 DGX Quest Diagnostics
4 KSU Railroad Kansas City Southern
5 RL Ralph Lauren Corp
6 RRC Range Resources Corp
7 RTN Raytheon Co
8 O Realty Income Corporation
9 RHT Red Hat Inc
10 REGN Regeneron
11 RF Regions Financial Corp
12 RSG Republic Services Inc
13 RAI Reynolds American Inc
14 RHI Robert Half Intl Inc
15 ROK Rockwell Automation Inc
16 COL Rockwell Collins
17 ROP Roper Industries Inc
18 ROST Ross Stores Inc
19 RCL Royal Carribean Cruises Ltd.