Problem: Think about the risks inherent in your Ficticious Company and how to quantify these risks. Download the data provided and calculate the measure of risk for this company (defined as Beta in the Capital Asset Pricing Model - CAPM) and explain why this calculation is a measure of risk. Discuss when this type of calculation is appropriate, and when the coefficient of variation is an appropriate measure of risk.
| 5 |
17.00% |
10.80% |
16.00% |
9.80% |
| 6 |
16.50% |
10.30% |
16.80% |
10.60% |
| 7 |
17.00% |
10.80% |
16.00% |
9.80% |
| 8 |
16.00% |
9.80% |
15.30% |
9.10% |
| 9 |
15.50% |
9.30% |
14.50% |
8.30% |
| 10 |
16.00% |
9.80% |
15.30% |
9.10% |
| 11 |
17.00% |
10.80% |
16.00% |
9.80% |
| 12 |
17.10% |
10.90% |
16.10% |
9.90% |
| 13 |
18.10% |
11.90% |
16.90% |
10.70% |
| 14 |
18.60% |
12.40% |
17.60% |
11.40% |
| 15 |
17.60% |
11.40% |
16.90% |
10.70% |
| 16 |
17.10% |
10.90% |
16.10% |
9.90% |
| 17 |
16.60% |
10.40% |
16.90% |
10.70% |
| 18 |
17.10% |
10.90% |
16.10% |
9.90% |
| 19 |
16.10% |
9.90% |
15.40% |
9.20% |
| 20 |
15.60% |
9.40% |
14.60% |
8.40% |
| 21 |
16.10% |
9.90% |
15.40% |
9.20% |
| 22 |
17.10% |
10.90% |
16.10% |
9.90% |
| 23 |
15.00% |
8.80% |
15.00% |
8.80% |
| 24 |
16.00% |
9.80% |
15.80% |
9.60% |
| 25 |
16.50% |
10.30% |
16.50% |
10.30% |
| 26 |
15.50% |
9.30% |
15.80% |
9.60% |
| 27 |
15.00% |
8.80% |
15.00% |
8.80% |
| 28 |
14.50% |
8.30% |
15.80% |
9.60% |
| 29 |
15.00% |
8.80% |
15.00% |
8.80% |
| 30 |
14.00% |
7.80% |
14.30% |
8.10% |
| 31 |
13.50% |
7.30% |
13.50% |
7.30% |
| 32 |
14.00% |
7.80% |
14.30% |
8.10% |
The following website might be helpful: Revisiting the Capital Asset Pricing Model
https://www.stanford.edu/~wfsharpe/art/djam/djam.htm