Question

Using the data shown in the table​ here,

​, that contains historical monthly prices and dividends​ (paid at the end of the​ month) for Ford Motor Company stock​ (Ticker: F) from August 1994 to August​ 1998, compute​ the:

a. Average monthly return over this period.

b. Monthly volatility​ (or standard​ deviation) over this period.

c.​ 95% confidence interval of the estimate of the average monthly return.

Here is the data set

Date   Stock Price   Dividend   Return ( % )   1+Rt
Aug-94   29.250   0.000      
Sep-94   27.750   0.000   -5.13   0.949
Oct-94   29.500   0.260   7.24   1.072
Nov-94   27.125   0.000   -8.05   0.919
Dec-94   27.875   0.000   2.76   1.028
Jan-95   25.250   0.260   -8.48   0.915
Feb-95   26.125   0.000   3.47   1.035
Mar-95   26.875   0.000   2.87   1.029
Apr-95   27.125   0.310   2.08   1.021
May-95   29.250   0.000   7.83   1.078
Jun-95   29.750    0.000   1.71   1.017
Jul-95   29.000   0.310   -1.48   0.985
Aug-95   30.750    0.000   6.03   1.060
Sep-95   31.125   0.000   1.22   1.012
Oct-95   28.750   0.350   -6.51   0.935
Nov-95   28.250   0.000   -1.74   0.983
Dec-95   28.875   0.000   2.21   1.022
Jan-96   29.500   0.350   3.38   1.034
Feb-96   31.250   0.000   5.93   1.059
Mar-96   34.375   0.000   10.00   1.100
Apr-96   35.875   0.350    5.38   1.054
May-96   36.500   0.000   1.74   1.017
Jun-96   32.375   0.000   -11.30   0.887
Jul-96   32.375   0.385   1.19   1.012
Aug-96   33.500   0.000   3.47   1.035
Sep-96   31.250   0.000   -6.72   0.933
Oct-96   31.250   0.385   1.23   1.012
Nov-96   32.750   0.000   4.80   1.048
Dec-96   32.250   0.000   -1.53   0.985
Jan-97   32.125   0.385   0.81   1.008
Feb-97   32.875   0.000   2.33   1.023
Mar-97   31.375   0.000   -4.56   0.954
Apr-97   34.750   0.420   12.10   1.121
May-97   37.500    0.000   7.91   1.079
Jun-97   38.000    0.000   1.33   1.013
Jul-97   40.875   0.420    8.67   1.087
Aug-97   43.000   0.000   5.20   1.052
Sep-97   45.125   0.000   4.94   1.049
Oct-97   43.688   0.420   -2.25   0.977
Nov-97   43.000   0.000    -1.57   0.984
Dec-97   48.563   0.000   12.94   1.129
Jan-98   51.000   0.420   5.88   1.059
Feb-98   56.563   0.000   10.91   1.109
Mar-98   64.813   0.000   14.59   1.146
Apr-98   45.813   23.680   7.22   1.072
May-98   51.875   0.000   13.23   1.132
Jun-98   59.000   0.000   13.73   1.137
Jul-98   57.000   0.420   -2.68   0.973
Aug-98   44.625   0.000   -21.71   0.783

Answer 1

				Q=(stock price +dividend)*return %	P=Q-mean	P^2
Date	Stock Price	dividend	return %
Aug-94	29.25	0
Sep-94	27.75	0	-5.13	-1.423575	-2.585875	6.68674952
Oct-94	29.5	0.26	7.24	2.154624	0.992324	0.98470692
Nov-94	27.125	0	-8.05	-2.1835625	-3.3458625	11.1947959
Dec-94	27.875	0	2.76	0.76935	-0.39295	0.1544097
Jan-95	25.25	0.26	-8.48	-2.163248	-3.325548	11.0592695
Feb-95	26.125	0	3.47	0.9065375	-0.2557625	0.06541446
Mar-95	26.875	0	2.87	0.7713125	-0.3909875	0.15287123
Apr-95	27.125	0.31	2.08	0.570648	-0.591652	0.35005209
May-95	29.25	0	7.83	2.290275	1.127975	1.2723276
Jun-95	29.75	0	1.71	0.508725	-0.653575	0.42716028
Jul-95	29	0.31	-1.48	-0.433788	-1.596088	2.5474969
Aug-95	30.75	0	6.03	1.854225	0.691925	0.47876021
Sep-95	31.125	0	1.22	0.379725	-0.782575	0.61242363
Oct-95	28.75	0.35	-6.51	-1.89441	-3.05671	9.34347602
Nov-95	28.25	0	-1.74	-0.49155	-1.65385	2.73521982
Dec-95	28.875	0	2.21	0.6381375	-0.5241625	0.27474633
Jan-96	29.5	0.35	3.38	1.00893	-0.15337	0.02352236
Feb-96	31.25	0	5.93	1.853125	0.690825	0.47723918
Mar-96	34.375	0	10	3.4375	2.2752	5.17653504
Apr-96	35.875	0.35	5.38	1.948905	0.786605	0.61874743
May-96	36.5	0	1.74	0.6351	-0.5272	0.27793984
Jun-96	32.375	0	-11.3	-3.658375	-4.820675	23.2389075
Jul-96	32.375	0.385	1.19	0.389844	-0.772456	0.59668827
Aug-96	33.5	0	3.47	1.16245	0.00015	2.25E-08
Sep-96	31.25	0	-6.72	-2.1	-3.2623	10.6426013
Oct-96	31.25	0.385	1.23	0.3891105	-0.7731895	0.597822
Nov-96	32.75	0	4.8	1.572	0.4097	0.16785409
Dec-96	32.25	0	-1.53	-0.493425	-1.655725	2.74142528
Jan-97	32.125	0.385	0.81	0.263331	-0.898969	0.80814526
Feb-97	32.875	0	2.33	0.7659875	-0.3963125	0.1570636	mean	1.162
Mar-97	31.375	0	-4.56	-1.4307	-2.593	6.723649
Apr-97	34.75	0.42	12.1	4.25557	3.09327	9.56831929	std dev	3.14
May-97	37.5	0	7.91	2.96625	1.80395	3.2542356
Jun-97	38	0	1.33	0.5054	-0.6569	0.43151761	std error	2.912907
Jul-97	40.875	0.42	8.67	3.5802765	2.4179765	5.84661035
Aug-97	43	0	5.2	2.236	1.0737	1.15283169
Sep-97	45.125	0	4.94	2.229175	1.066875	1.13822227	for 95%confidence
Oct-97	43.688	0.42	-2.25	-0.99243	-2.15473	4.64286137
Nov-97	43	0	-1.57	-0.6751	-1.8374	3.37603876	z value is	1.96
Dec-97	48.563	0	12.94	6.2840522	5.1217522	26.2323456
Jan-98	51	0.42	5.88	3.023496	1.861196	3.46405055	conf interval
Feb-98	56.563	0	10.91	6.1710233	5.0087233	25.0873091
Mar-98	64.813	0	14.59	9.4562167	8.2939167	68.7890542	-4.5473		std dev-std error*z value
Apr-98	45.813	23.68	7.22	5.0173946	3.8550946	14.8617544	6.871297		std dev+ std error*z value
May-98	51.875	0	13.23	6.8630625	5.7007625	32.4986931
Jun-98	59	0	13.73	8.1007	6.9384	48.1413946
Jul-98	57	0.42	-2.68	-1.538856	-2.701156	7.29624374
Aug-98	44.625	0	-21.71	-9.6880875	-10.8503875	117.730909
Total	55.7913523
mean(total/number)	1.16231984	sum	474.100411
				0	sum/num	9.8770919
					std dev +sqrt(9.877)	3.1427841