Quantitative Problems - Ibm Stock Analysis
Index Models Download 61 months (October 2007 to October 2012) of monthly data for the S&P 500 index (symbol = ^GSPC). Download 61 months (October 2007 to October 2012) of IBM data and 61 months (October 2007 to October 2012) of GE data. Download 60 months (November 2007 to October 2012) of the 13 week T-bill rate (symbol = ^IRX). Be sure to use end-of-month data! Construct the following on a spreadsheet:
1. Calculate 60 months of returns for the S&P 500 index, IBM and GE. Use November 2007 to October 2012. Note this means you need price data for October 2007. IBM returns:
Obs. 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 Date Nov-07 Dec-07 Jan-08 Feb-08 Mar-08 Apr-08 May-08 Jun-08 Jul-08 Aug-08 Sep-08 Oct-08 Nov-08 Dec-08 Jan-09 Feb-09 Mar-09 Apr-09 May-09 Jun-09 Jul-09 Aug-09 Sep-09 Oct-09 Nov-09 Dec-09 Jan-10 Feb-10 Mar-10 Apr-10 IBM 96.17 98.84 97.94 104.5 105.7 110.8 119.3 109.2 118 112.6 108.2 86.01 75.92 78.3 85.27 86.09 90.63 96.54 99.94 98.19 110.9 111.5 113 113.9 119.9 124.2 116.1 121.2 122.2 123 Prices S&P 500 1481.14 1468.36 1378.55 1330.63 1322.7 1385.59 1400.38 1280 1267.38 1282.83 1166.36 968.75 896.24 903.25 825.88 735.09 797.87 872.81 919.14 919.32 987.48 1020.62 1057.08 1036.19 1095.63 1115.1 1073.87 1104.49 1169.43 1186.69 Returns IBM S&P 500 -0.09102 -0.04404 0.02776 -0.00863 -0.00911 -0.06116 0.06708 -0.03476 0.01120 -0.00596 0.04826 0.04755 0.07673 0.01067 -0.08417 -0.08596 0.07973 -0.00986 -0.04519 0.01219 -0.03916 -0.09079 -0.20516 -0.16942 -0.11731 -0.07485 0.03135 0.00782 0.08902 -0.08566 0.00962 -0.10993 0.05274 0.08540 0.06521 0.09393 0.03522 0.05308 -0.01751 0.00020 0.12934 0.07414 0.00568 0.03356 0.01318 0.03572 0.00841 -0.01976 0.05231 0.05736 0.03603 0.01777 -0.06505 -0.03697 0.04365 0.02851 0.00850 0.05880 0.00589 0.01476
31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50 51 52 53 54 55 56 57 58 59 60
May-10 Jun-10 Jul-10 Aug-10 Sep-10 Oct-10 Nov-10 Dec-10 Jan-11 Feb-11 Mar-11
1. Calculate 60 months of returns for the S&P 500 index, IBM and GE. Use November 2007 to October 2012. Note this means you need price data for October 2007. IBM returns:
Obs. 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 Date Nov-07 Dec-07 Jan-08 Feb-08 Mar-08 Apr-08 May-08 Jun-08 Jul-08 Aug-08 Sep-08 Oct-08 Nov-08 Dec-08 Jan-09 Feb-09 Mar-09 Apr-09 May-09 Jun-09 Jul-09 Aug-09 Sep-09 Oct-09 Nov-09 Dec-09 Jan-10 Feb-10 Mar-10 Apr-10 IBM 96.17 98.84 97.94 104.5 105.7 110.8 119.3 109.2 118 112.6 108.2 86.01 75.92 78.3 85.27 86.09 90.63 96.54 99.94 98.19 110.9 111.5 113 113.9 119.9 124.2 116.1 121.2 122.2 123 Prices S&P 500 1481.14 1468.36 1378.55 1330.63 1322.7 1385.59 1400.38 1280 1267.38 1282.83 1166.36 968.75 896.24 903.25 825.88 735.09 797.87 872.81 919.14 919.32 987.48 1020.62 1057.08 1036.19 1095.63 1115.1 1073.87 1104.49 1169.43 1186.69 Returns IBM S&P 500 -0.09102 -0.04404 0.02776 -0.00863 -0.00911 -0.06116 0.06708 -0.03476 0.01120 -0.00596 0.04826 0.04755 0.07673 0.01067 -0.08417 -0.08596 0.07973 -0.00986 -0.04519 0.01219 -0.03916 -0.09079 -0.20516 -0.16942 -0.11731 -0.07485 0.03135 0.00782 0.08902 -0.08566 0.00962 -0.10993 0.05274 0.08540 0.06521 0.09393 0.03522 0.05308 -0.01751 0.00020 0.12934 0.07414 0.00568 0.03356 0.01318 0.03572 0.00841 -0.01976 0.05231 0.05736 0.03603 0.01777 -0.06505 -0.03697 0.04365 0.02851 0.00850 0.05880 0.00589 0.01476
31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50 51 52 53 54 55 56 57 58 59 60
May-10 Jun-10 Jul-10 Aug-10 Sep-10 Oct-10 Nov-10 Dec-10 Jan-11 Feb-11 Mar-11