Bbf 305/05 Investment Management Assessment Answer

Questions:

Requirement:

1)  Return construction.

a) Obtain monthly share price data for two companies from Travel, Leisure & Hospitality Industry.

b)    Find Malaysia Treasury Bill and FBMKLSECI (Composite Index) for the same duration at your two stocks.

c)    Using excel, match the date of your two stocks, MTB and FBMKLSECI in one file (4 main worksheet).

d)    Convert the price data into a monthly return series.

e) Using excel or any relevant application, plot the monthly return series for 2 stocks, index and treasury bill. Based on the monthly return line chart, forecast the share price.

f)   Estimate of the expected return for the two stock, FBMKLSECI, and MTB.

 g) Provide statistical tests which examine the distribution of the returns. Comment. (Hint: Use Expected Return, Variance, Standard Deviation, Covariance, Beta, and Correlation between securities).

 1.    Stock 1 (y) and FBMKLSECI (x)

 2.    Stock 2 (y) and FBMKLSECI (x)

 3.    MTB and FBMKLSECI

2)  Asset pricing.

 a)        Referring to data given, FBMKLSECI is a proxy for market, while Malaysia Treasury Bill is a proxy for risk free rate.

 b)        Use the CAPM to formulate an expected return for your stock. (Note: you will have to consider the issue of imputation.) =   ₌ +   (   −       )

 c) Justify your estimates

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