FORMATIVE ASSIGNMENT
Table 1 contains monthly share prices for SAINSBURY (SBRY) and LLOYDS banking group (LLOY). It also contains the monthly prices for the FTSE All-Share index (FTALLSH). Table 1
Date
Time
FTALLSH
SBRY
LLOY
Jan-13
1
3299.04
330.7
53.14
Feb-13
2
3349.39
345.8
54.47
Mar-13
3
3380.64
378.5
48.69
Apr-13
4
3388.74
382.8
52.91
May-13
5
3562.66
383.2
61.32
Jun-13
6
3289.71
355.3
63.16
Jul-13
7
3475.18
392
68.37
Aug-13
8
3417.98
391.3
73.89
Sep-13
9
3467.27
394.7
74.23
Oct-13
10
3581.12
398.8
79.62
Nov-13
11
3549.06
407.8
76.87
Dec-13
12
3608.52
378.4
78.84
Jan-14
13
3524.44
356.7
82.85
Feb-14
14
3666.66
342.6
82.53
Mar-14
15
3559.44
317.1
74.34
Apr-14
16
3584.85
330.5
73.98
May-14
17
3654.71
335.5
77.91
Jun-14
18
3604.39
316.7
75.35
Answer all of the following questions:
a) Generate the log return series for SBRY and LLOY. Calculate and comment upon their average returns. Using appropriate statistics, determine which stock return is more volatile and explain your answer. Comment upon the values of other descriptive statistics. [20 marks]
b) Briefly explain the OLS method of estimating the parameters of the two variable (simple) regression model. [20 marks]
c) Using PcGive, estimate a linear time-trend model for each of the price level series and determine its statistical significance. Comment upon your results. [30 marks]
d) Using the market model determine which company has the higher beta value and test whether the beta values are significantly different from 1. Explain what your results imply. [30 marks]
Overall word limit: 1500 words maximum.
Your completed assignment must be uploaded to DUO no later than 12:00 midday on Friday 5th December 2014.
A penalty will be applied for work uploaded after 12:00 midday as detailed in the Programme Handbook. You must leave sufficient time to fully complete the upload process before the deadline and check that you have received a receipt.
An IDENTICAL paper copy should be placed in the post box outside the Undergraduate Office in the Business School no later than 15:00 (3 pm). Work will not be marked unless this identical paper copy is received.
Assignments should be typed, using 1.5 spacing and an easy-to-read 12-point font. You should use double-sided printing, and ensure that assignments are securely bound. Written assignments and dissertations/business projects must not exceed the word count indicated in the module handbook/assessment brief.
The word count should:
Include all the text, including title, preface, introduction, in-text citations, quotations, footnotes and any other items not specifically excluded below.
Exclude diagrams, tables (including tables/lists of contents and figures), equations, executive summary/abstract, acknowledgements, declaration, bibliography/list of references and appendices. However, it is not appropriate to use diagrams or tables merely as a way of circumventing the word limit. If a student uses a table or figure as a means of presenting his/her own words, then this is included in the word count.
