Fin 462 Project

Finance Project CAPM and the 3 factor model: 1. The change R-square tells us that 47.12% of the variation in 3Ms excess drop is explained by the variation in the excess generates of the portfolio. So the slackening of this parity which is 52.88% is the specific factors of 3M as an individual stock. The adjusted R-square is much applicable than the R-square because adjusted R-square take the complete points 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 to a amplyer place the credentials market line for the 60 months periods. The high 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 go away importantly more than the market. 2. When compare with the CAPM regression analy sis 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 trance that the expect return of 3M and AF are lower than the annual return, this ind icates that secure deal everywhere evalua! te their performance, the unfeigned return of AF is redden 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. establish on the quintuplet stocks we picked,...If you want to get a full essay, order it on our website: OrderEssay.net

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