![]() R Squared measures the proportion of total risk that is systematic risk. Standard deviation is considered total risk, both systematic and idiosyncratic. This kind of risk is called idiosyncratic risk. Return volatility can also be caused by actions by the company or its competitor or the industry, etc. This volatility is called systematic or market risk. It can be caused by market wide volatility captured in the stock index. Standard Deviation is a measure of the volatility of the stock returns. Mean Return is the average return for the security or index over the sample period of 3 years. You will use 3 years of weekly data to calculate weekly returns for each of 5 securities and for the S&P index. Return is the percentage change in price for an interval of time. You will work with 5 securities, IBM, Exxon-Mobil, Ford Motor, Wal-Mart and the PowerShares Dynamic Pharmaceuticals ETF, identify their beta’s and calculate the mean return, standard deviation of return, beta, alpha, multiple R, R Squared and t-values. The second is to analyze the data and draw conclusions. ![]() The first goal is to use Baruch’s Subotnick Center’s Thomson Reuters Eikon system to view and gather equity and index data. and Sandra Wasserman Trading Floor – Subotnick Financial Services Center Capital Asset Pricing Model Using Thomson Reuters Eikon Required Workshop and Assignment for All Finance 9770 Students Scope ![]()
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