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O file:///C:/Users/DELL/Desktop/Finance'20Assignment/acst6003 assignment.pdf 1. Calculate monthly returns for the All Ordinaries (Rm), IAG (Ric) and MQG (RMQC) using the following formula R, = 100 x ( -1). Compute a monthly 30 day bank accepted bill rate as follows R, Rannual (2 marks) 2. Compute E(R), and CV for all four return/yield series over the 1/09/2000 - 1/02/2020 time period. Comment on all computed quantities in regards to the risk return trade-off. (2 marks) 3. Compute excess returns for the market, i.e. market risk premium as R Rm - Rere where Ry is the return on the All Ords computed in question 1, and R, represents the monthly return on the 30 day bank accepted bill rate. Also compute excess return for each IAG and MQG as follows Riac = R1AG - Rry and RMQG = RMQG - Rrs. Use the 1/09/2000 -1/02/2020 time period. (2 marks) 4. Obtain CAPM betas for both IAG and MQG using excess returns by estimating the following regressions Activate Riac = arag + BAGR + ULAG Go to Sett RMG= MQG + BMOGRM + UMQG acst6003-assignment - Microsoft Excel Home Insert Page Layout Formulas Data Review View E C alibri I -A == ER Wrap Text General E Merge & Center - $ Conditiona Formatting Alignment Number Clipboard Font H7f Date Bank Accepted Bills Rate All Ordinaries 8/1/2000 6.360 3261.700 9/1/2000 6.400 3246.100 4 10/1/2000 6.330 3203.900 5 11/1/2000 6.310 3222.000 6 12/1/2000 6.270 3154.700 1/1/2001 6.180 3291.500 2/1/2001 5.780 3274.100 3/1/2001 5.450 3096.900 10 4/1/2001 5.000 3270.300 11 5/1/2001 5.020 3317.200 12 6/1/2001 5.040 3425.200 13 7/1/2001 5.050 3270.800 14 8/1/2001 5.030 3217.800 15 9/1/2001 4.710 2988.000 16 10/1/2001 4.480 3185.300 17 11/1/2001 4.440 3276.900 18 12/1/2001 4.310 3359.900 10 1/1/ on 2104 00 H prices dividends 01 02 03 04 05 06 07 Ready TAG 2.930 2.736 2.705 2.879 2.823 2.756 2.787 2.838 2.848 2.971 3.486 3.381 3.350 3.053 3.248 3.094 MQG 26.553 27.615 27.487 27.322 28.323 28.323 28.519 27.167 29.346 32.060 36.189 35.454 38.076 35.404 37.227 34.420 36.831 -26551 011 012 3.197 242 4 08 09 010 O Type here to search o e 0 O file:///C:/Users/DELL/Desktop/Finance'20Assignment/acst6003 assignment.pdf 1. Calculate monthly returns for the All Ordinaries (Rm), IAG (Ric) and MQG (RMQC) using the following formula R, = 100 x ( -1). Compute a monthly 30 day bank accepted bill rate as follows R, Rannual (2 marks) 2. Compute E(R), and CV for all four return/yield series over the 1/09/2000 - 1/02/2020 time period. Comment on all computed quantities in regards to the risk return trade-off. (2 marks) 3. Compute excess returns for the market, i.e. market risk premium as R Rm - Rere where Ry is the return on the All Ords computed in question 1, and R, represents the monthly return on the 30 day bank accepted bill rate. Also compute excess return for each IAG and MQG as follows Riac = R1AG - Rry and RMQG = RMQG - Rrs. Use the 1/09/2000 -1/02/2020 time period. (2 marks) 4. Obtain CAPM betas for both IAG and MQG using excess returns by estimating the following regressions Activate Riac = arag + BAGR + ULAG Go to Sett RMG= MQG + BMOGRM + UMQG acst6003-assignment - Microsoft Excel Home Insert Page Layout Formulas Data Review View E C alibri I -A == ER Wrap Text General E Merge & Center - $ Conditiona Formatting Alignment Number Clipboard Font H7f Date Bank Accepted Bills Rate All Ordinaries 8/1/2000 6.360 3261.700 9/1/2000 6.400 3246.100 4 10/1/2000 6.330 3203.900 5 11/1/2000 6.310 3222.000 6 12/1/2000 6.270 3154.700 1/1/2001 6.180 3291.500 2/1/2001 5.780 3274.100 3/1/2001 5.450 3096.900 10 4/1/2001 5.000 3270.300 11 5/1/2001 5.020 3317.200 12 6/1/2001 5.040 3425.200 13 7/1/2001 5.050 3270.800 14 8/1/2001 5.030 3217.800 15 9/1/2001 4.710 2988.000 16 10/1/2001 4.480 3185.300 17 11/1/2001 4.440 3276.900 18 12/1/2001 4.310 3359.900 10 1/1/ on 2104 00 H prices dividends 01 02 03 04 05 06 07 Ready TAG 2.930 2.736 2.705 2.879 2.823 2.756 2.787 2.838 2.848 2.971 3.486 3.381 3.350 3.053 3.248 3.094 MQG 26.553 27.615 27.487 27.322 28.323 28.323 28.519 27.167 29.346 32.060 36.189 35.454 38.076 35.404 37.227 34.420 36.831 -26551 011 012 3.197 242 4 08 09 010 O Type here to search o e 0

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