Question

In: Finance

Using the data shown in the table​ here, ​, that contains historical monthly prices and dividends​...

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

Solutions

Expert Solution

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

jeff jeffy answered 1 year ago
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