Comparative study of risk and returns of BSE-200 stocks Kapil Malhotra 10FN051 Objective of the Analysis: The objective of my study is to understand the need to analyse the movement of the market and fulfilling them so as to achieve my goal of becoming better investor/ trader. Profit and loss are the two inseparable features of the stock market. But losses can be minimized and profits can be increased with the help of Technicals. I have done the analysis on the basis of the daily closing
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Common Risk Factors in the Retu rns on Stocks and Bonds Eugene F. Fama Kenneth R. French Journal of Financial Economics 1993 Presenter: 周立軒 Brief Saying… • This paper identifies Five common risk factors in the return on stocks and bonds – Two stock market factors‚ two bond market factors ‚ one market factor. – The five factors seems to explain all returns in stoc k market and bond market • Except the Low-Grade Bonds Agenda • • • • • Introduction The Steps of the Experiment Data & Variables Main
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First Progress Report TITLE:- Risk returns analysis and comparative study of mutual fund. COMPANY OVERVIEW:- HDFC Asset Management Company Limited (AMC) HDFC Asset Management Company Ltd (AMC) was incorporated under the Companies Act‚ 1956‚ on December 10‚ 1999‚ and was approved to act as an Asset Management Company for the HDFC Mutual Fund by SEBI vide its letter dated July 3‚ 2000. The registered office of the AMC is situated at Ramon House‚ 3rd Floor‚ H.T. Parekh Marg‚ 169‚ Back bay
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Global Asset Allocation Finance 656 (Please return to Fang Song’s locker #552) Michelle Bien Yushao Karen Chiu Srinivas Mudireddy Fang (Derek) Song‚ 12/08/2013 A Study on stock returns and volatility Abstract This paper applies two models to examine the intertemporal relationship between expected returns and market risk. By using ARIMA models‚ two findings can be found: 1) A positive correlation exists between the expected market risk premium and the predictable volatility. 2) There
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invested in stock A with a beta of 1.4 and $300 in stock B with a beta of .6. You have another $400 to invest and want to divide it between an asset with a beta of 1.6 and a risk-free asset. How much should you invest in the risk-free asset? a. $0 b. $140 c. $200 d. $320 e. $400 ANALYZING A PORTFOLIO d 59. You have a $1‚000 portfolio which is invested in stocks A and B plus a risk-free asset. $400 is invested in stock A. Stock A has a beta of 1.3 and stock B has a beta of
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such as stocks and bonds‚ held as a collective unit by an investor. b. the expected return on a risky asset. c. the expected return on a collection of risky assets. d. the variance of returns for a risky asset. e. the standard deviation of returns for a collection of risky assets. PORTFOLIO WEIGHTS 2. The percentage of a portfolio’s total value invested in a particular asset is called that asset’s: a. portfolio return. b. portfolio weight. c. portfolio risk.
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Risk and Return: Portfolio Theory and Asset Pricing Models Portfolio Theory Capital Asset Pricing Model (CAPM) Efficient frontier Capital Market Line (CML) Security Market Line (SML) Beta calculation Arbitrage pricing theory Fama-French 3-factor model Portfolio Theory • Suppose Asset A has an expected return of 10 percent and a standard deviation of 20 percent. Asset B has an expected return of 16 percent and a standard deviation of 40 percent. If the correlation between A and B is 0.6
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the context of a portfolio‚ the risk of an asset is divided into two parts: diversifiable risk (unsystematic risk) and market risk (systematic risk). Diversifiable risk arises from company-specific factors and hence can be washed away through diversification. Market risk stems from general market movements and hence cannot be diversified away. For a diversified investor what matters is the market risk and not the diversifiable risk. (4)In general‚ investors are risk-averse. So‚ they want to be compensated
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Abstract: The project is done to find out the impact of stock split on the stock market. In our project‚ we have made use of event study methodology to assess the accuracy of stock price reaction of 39 public listed Indian companies in National Stock Exchange (BSE) in the year 2006 and onwards. The abnormal returns (actual returns-returns from regression line) results were taken for 20 days before and after the announcement date to test whether the result is significant or not (Level of significance=5%)
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Risk and Return Assignment Questions 1. Suppose a stock begins the year with a price of $25 per share and ends with a price of $35 per share. During the year it paid a $2 dividend per share. What are its dividend yield‚ its capital gain‚ and its total return for the year? 2. An investor receives the following dollar returns a stock investment of $25: $1.00 of dividends Share price rise of $2.00 Calculate the investor’s total return. 3. Below are the probabilities for the economy’s five
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