Download presentation

Presentation is loading. Please wait.

Published byAbram Gilstrap Modified over 3 years ago

1
Stock analysis British Telecommunications and British Petroleum

2
Stock prices British Telecommunications and British Petroleum Dot-com bubble

3
Return British Telecommunications and excess market return British Telecommunications Mean0,002338 Kurtosis1,822862 Skewness-0,69309 Var0,006586 SD0,081157

4
Return British Petroleum and excess market return British Petroleum Mean0,004837 Kurtosis4,452819 Skewness-0,99296 Var0,004735 SD0,068808

5
Return British Petroleum and excess market return 01/1997 – 12/1999 (bull market) whole sample regression R^20,412791 standart error of the slope0,059692 beta0,919617 intercept0,005352

6
Return British Telecommunications and excess market return 6/1999 – 12/2003 (bear market) whole sample regression R^20,353851 standart error of the slope0,073868 beta1,004233 intercept0,002901

7
Conclusion Both stocks have a negative skewness, i.e. greater-than- normal probability of big negative returns Both stocks have a beta close to 1, i.e. neither aggressive nor defensive stocks (but BT more aggressive than BP) Both regressions have a low R^2, i.e. bad fit of the OLS Regression

Similar presentations

OK

1 CAPM Betas The Capital Asset Pricing Model (“CAPM”) [ R s - R f ] = b 0 + b 1 [ R M - R f ] + e People commonly refer to the b 0 in this model as the.

1 CAPM Betas The Capital Asset Pricing Model (“CAPM”) [ R s - R f ] = b 0 + b 1 [ R M - R f ] + e People commonly refer to the b 0 in this model as the.

© 2018 SlidePlayer.com Inc.

All rights reserved.

Ads by Google

Ppt on human induced disasters Respiratory system anatomy and physiology ppt on cells Ppt on wireless local area network Ppt on project management system Ppt on conceptual art sculpture Ppt on national rural livelihood mission Ppt on social networking project Ppt on diversity in living organisms class 9 Ppt on heritage of indian culture Download ppt on number system for class 10