Fin 462 Project

Finance Project CAPM and the 3 factor model: 1. The set R-square tells us that 47.12% of the variation in 3Ms excess go down is explained by the variation in the excess results of the portfolio. So the counterpoise of this parity which is 52.88% is the specific factors of 3M as an individual stock. The adjusted R-square is more applicable than the R-square because adjusted R-square take the pointednesss of immunity into consideration. The positive alpha of totally the stocks excluding A&F projects that these four stocks (Nike, Coca-Cola, BBBY, and 3M) are above the credentials market line for the 60 months periods. The steep 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 divert importantly more than the market. 2. When compare with the CAPM regression analysis results, 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 beta(beta1) and the negative HML beta (beta3) of VBK suggest high systematic risk and the expectation of the firm 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 pick up that the anticipat e return of 3M and AF are lower than the ann! ual return, this indicates that profuse deal everywhere evaluate their performance, the unfeigned return of AF is point 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 full essay, order it on our website: OrderCustomPaper.com

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