Question
THE NUMERICAL data can be find in a YAHOO Finance PAGE ( just by searching the company name, it can be find, and you can dwonload the data as an excel)
Calculate the monthly return of the stocks of IBM and INTEL, as well as NYSE Composite, each, from June 1, 2008 to June 1, 2018. (Yahoo Finance provides monthly returns! Go to Historical Data provided in the middle bar menu of Yahoo Finance page for each company and use the prices given under “adjusted close”, which adjusts for splits and dividends!)
1. Calculate the beta of IBM and the beta of INTEL.
2. How do you interpret the beta of each stock?
Explanation / Answer
Beta of Intel = 0.8762, Beta of IBM = 0.648
Hence INTEL has correlation with market returns as compared to IBM. hence market returns will cause more fluctuation in Intel
INTEL IBM Market return Date Adj Close Date Adj Close Date Adj Close Returns Variance of Market using Excel function Covariance of Intel and Market returns Beta of Intel = Covariance/Variance of Market Covariance of IBM and Market returns Beta of IBM = Covariance/Variance of Market 5/1/2008 null Returns 5/1/2008 null 5/1/2008 null 6/1/2008 15.5891 6/1/2008 90.43809 6/1/2008 8660.48 7/1/2008 16.10438 0.033 7/1/2008 97.64843 7.973% 7/1/2008 8438.64 -2.56% 0.00214057 0.001875672 0.8762 0.001386257 0.648 8/1/2008 16.59789 0.031 8/1/2008 92.87966 -4.884% 8/1/2008 8382.08 -0.67% 9/1/2008 13.67832 (0.176) 9/1/2008 89.58778 -3.544% 9/1/2008 7532.8 -10.13% 10/1/2008 11.70654 (0.144) 10/1/2008 71.21218 -20.511% 10/1/2008 6061.09 -19.54% 11/1/2008 10.07799 (0.139) 11/1/2008 62.5031 -12.230% 11/1/2008 5599.3 -7.62% 12/1/2008 10.79903 0.072 12/1/2008 64.82435 3.714% 12/1/2008 5757.05 2.82% 1/1/2009 9.502553 (0.120) 1/1/2009 70.59354 8.900% 1/1/2009 5195.79 -9.75% 2/1/2009 9.384688 (0.012) 2/1/2009 70.88624 0.415% 2/1/2009 4617.03 -11.14% 3/1/2009 11.18563 0.192 3/1/2009 75.03565 5.854% 3/1/2009 4978.98 7.84% 4/1/2009 11.7438 0.050 4/1/2009 79.93012 6.523% 4/1/2009 5513.36 10.73% 5/1/2009 11.69915 (0.004) 5/1/2009 82.30765 2.975% 5/1/2009 6004.07 8.90% 6/1/2009 12.42123 0.062 6/1/2009 81.28956 -1.237% 6/1/2009 5905.15 -1.65% 7/1/2009 14.44766 0.163 7/1/2009 91.80694 12.938% 7/1/2009 6424.28 8.79% 8/1/2009 15.25072 0.056 8/1/2009 91.90034 0.102% 8/1/2009 6643.24 3.41% 9/1/2009 14.79503 (0.030) 9/1/2009 93.5491 1.794% 9/1/2009 6910.88 4.03% 10/1/2009 14.44727 (0.024) 10/1/2009 94.3312 0.836% 10/1/2009 6739.45 -2.48% 11/1/2009 14.51531 0.005 11/1/2009 98.82056 4.759% 11/1/2009 7092.36 5.24% 12/1/2009 15.54012 0.071 12/1/2009 102.8387 4.066% 12/1/2009 7184.96 1.31% 1/1/2010 14.77835 (0.049) 1/1/2010 96.15299 -6.501% 1/1/2010 6883.78 -4.19% 2/1/2010 15.63915 0.058 2/1/2010 99.90041 3.897% 2/1/2010 7035.04 2.20% 3/1/2010 17.11525 0.094 3/1/2010 101.2074 1.308% 3/1/2010 7447.8 5.87% 4/1/2010 17.53756 0.025 4/1/2010 101.7993 0.585% 4/1/2010 7474.4 0.36% 5/1/2010 16.44724 (0.062) 5/1/2010 98.84789 -2.899% 5/1/2010 6791.57 -9.14% 6/1/2010 15.03957 (0.086) 6/1/2010 97.94269 -0.916% 6/1/2010 6469.65 -4.74% 7/1/2010 15.9288 0.059 7/1/2010 101.8451 3.984% 7/1/2010 6998.99 8.18% 8/1/2010 13.6632 (0.142) 8/1/2010 97.66507 -4.104% 8/1/2010 6704.15 -4.21% 9/1/2010 14.95916 0.095 9/1/2010 106.9252 9.482% 9/1/2010 7281.07 8.61% 10/1/2010 15.62141 0.044 10/1/2010 114.466 7.052% 10/1/2010 7513.35 3.19% 11/1/2010 16.48624 0.055 11/1/2010 112.7602 -1.490% 11/1/2010 7430.94 -1.10% 12/1/2010 16.51282 0.002 12/1/2010 117.5048 4.208% 12/1/2010 7964.02 7.17% 1/1/2011 16.85045 0.020 1/1/2011 129.7068 10.384% 1/1/2011 8139.16 2.20% 2/1/2011 16.8583 0.000 2/1/2011 129.6107 -0.074% 2/1/2011 8438.55 3.68% 3/1/2011 15.97969 (0.052) 3/1/2011 131.0804 1.134% 3/1/2011 8404.98 -0.40% 4/1/2011 18.33151 0.147 4/1/2011 137.1172 4.605% 4/1/2011 8671.41 3.17% 5/1/2011 17.82472 (0.028) 5/1/2011 135.7908 -0.967% 5/1/2011 8477.28 -2.24% 6/1/2011 17.68553 (0.008) 6/1/2011 138.5136 2.005% 6/1/2011 8319.1 -1.87% 7/1/2011 17.8212 0.008 7/1/2011 146.83 6.004% 7/1/2011 8079.44 -2.88% 8/1/2011 16.06541 (0.099) 8/1/2011 138.8042 -5.466% 8/1/2011 7528.39 -6.82% 9/1/2011 17.19737 0.070 9/1/2011 141.8091 2.165% 9/1/2011 6791.65 -9.79% 10/1/2011 19.77617 0.150 10/1/2011 149.7238 5.581% 10/1/2011 7563.38 11.36% 11/1/2011 20.07435 0.015 11/1/2011 152.4567 1.825% 11/1/2011 7484.5 -1.04% 12/1/2011 19.71607 (0.018) 12/1/2011 149.7151 -1.798% 12/1/2011 7477.03 -0.10% 1/1/2012 21.48035 0.089 1/1/2012 156.8149 4.742% 1/1/2012 7838.48 4.83% 2/1/2012 21.85435 0.017 2/1/2012 160.1775 2.144% 2/1/2012 8113.24 3.51% 3/1/2012 23.0452 0.054 3/1/2012 170.5443 6.472% 3/1/2012 8206.93 1.15% 4/1/2012 23.27467 0.010 4/1/2012 169.2611 -0.752% 4/1/2012 8119.06 -1.07% 5/1/2012 21.17667 (0.090) 5/1/2012 157.6707 -6.848% 5/1/2012 7463.96 -8.07% 6/1/2012 21.99881 0.039 6/1/2012 160.531 1.814% 6/1/2012 7801.84 4.53% 7/1/2012 21.21461 (0.036) 7/1/2012 160.8593 0.205% 7/1/2012 7863.93 0.80% 8/1/2012 20.49645 (0.034) 8/1/2012 159.9318 -0.577% 8/1/2012 8014.93 1.92% 9/1/2012 18.86904 (0.079) 9/1/2012 171.0008 6.921% 9/1/2012 8251 2.95% 10/1/2012 18.01135 (0.045) 10/1/2012 160.3509 -6.228% 10/1/2012 8221.4 -0.36% 11/1/2012 16.29598 (0.095) 11/1/2012 156.6745 -2.293% 11/1/2012 8260.43 0.47% 12/1/2012 17.34725 0.065 12/1/2012 158.5855 1.220% 12/1/2012 8443.51 2.22% 1/1/2013 17.7006 0.020 1/1/2013 168.123 6.014% 1/1/2013 8894.71 5.34% 2/1/2013 17.56599 (0.008) 2/1/2013 166.2685 -1.103% 2/1/2013 8868.72 -0.29% 3/1/2013 18.57109 0.057 3/1/2013 177.3358 6.656% 3/1/2013 9107.04 2.69% 4/1/2013 20.36527 0.097 4/1/2013 168.39 -5.045% 4/1/2013 9276.88 1.86% 5/1/2013 20.64589 0.014 5/1/2013 172.946 2.706% 5/1/2013 9302.27 0.27% 6/1/2013 20.79746 0.007 6/1/2013 159.6319 -7.698% 6/1/2013 9112.69 -2.04% 7/1/2013 20.03354 (0.037) 7/1/2013 162.9146 2.056% 7/1/2013 9558.83 4.90% 8/1/2013 18.8662 (0.058) 8/1/2013 152.248 -6.547% 8/1/2013 9270.66 -3.01% 9/1/2013 19.86553 0.053 9/1/2013 155.4519 2.104% 9/1/2013 9621.24 3.78% 10/1/2013 21.20897 0.068 10/1/2013 150.4403 -3.224% 10/1/2013 10009.64 4.04% 11/1/2013 20.66292 (0.026) 11/1/2013 150.8348 0.262% 11/1/2013 10183.23 1.73% 12/1/2013 22.71103 0.099 12/1/2013 158.3038 4.952% 12/1/2013 10400.32 2.13% 1/1/2014 21.46875 (0.055) 1/1/2014 149.113 -5.806% 1/1/2014 9967.65 -4.16% 2/1/2014 21.66122 0.009 2/1/2014 156.2783 4.805% 2/1/2014 10425.86 4.60% 3/1/2014 22.79513 0.052 3/1/2014 163.3467 4.523% 3/1/2014 10527.77 0.98% 4/1/2014 23.57233 0.034 4/1/2014 166.7242 2.068% 4/1/2014 10627.17 0.94% 5/1/2014 24.12874 0.024 5/1/2014 156.4477 -6.164% 5/1/2014 10756.31 1.22% 6/1/2014 27.52506 0.141 6/1/2014 154.7211 -1.104% 6/1/2014 10979.42 2.07% 7/1/2014 30.18849 0.097 7/1/2014 163.5979 5.737% 7/1/2014 10726.43 -2.30% 8/1/2014 31.10599 0.030 8/1/2014 164.1356 0.329% 8/1/2014 11046.29 2.98% 9/1/2014 31.22324 0.004 9/1/2014 162.9856 -0.701% 9/1/2014 10702.93 -3.11% 10/1/2014 30.4969 (0.023) 10/1/2014 141.1517 -13.396% 10/1/2014 10845 1.33% 11/1/2014 33.40223 0.095 11/1/2014 139.2371 -1.356% 11/1/2014 10955.41 1.02% 12/1/2014 32.75477 (0.019) 12/1/2014 138.6946 -0.390% 12/1/2014 10839.24 -1.06% 1/1/2015 29.82136 (0.090) 1/1/2015 132.5309 -4.444% 1/1/2015 10537.22 -2.79% 2/1/2015 30.01091 0.006 2/1/2015 139.9913 5.629% 2/1/2015 11062.79 4.99% 3/1/2015 28.42623 (0.053) 3/1/2015 139.7197 -0.194% 3/1/2015 10899.19 -1.48% 4/1/2015 29.58983 0.041 4/1/2015 149.1127 6.723% 4/1/2015 11049.74 1.38% 5/1/2015 31.32612 0.059 5/1/2015 147.685 -0.957% 5/1/2015 11056.3 0.06% 6/1/2015 27.8535 (0.111) 6/1/2015 143.7708 -2.650% 6/1/2015 10805.2 -2.27% 7/1/2015 26.50752 (0.048) 7/1/2015 143.1785 -0.412% 7/1/2015 10882.28 0.71% 8/1/2015 26.13212 (0.014) 8/1/2015 130.7159 -8.704% 8/1/2015 10176.5 -6.49% 9/1/2015 27.82638 0.065 9/1/2015 129.1987 -1.161% 9/1/2015 9799.69 -3.70% 10/1/2015 31.26083 0.123 10/1/2015 124.8407 -3.373% 10/1/2015 10460.96 6.75% 11/1/2015 32.10098 0.027 11/1/2015 124.2525 -0.471% 11/1/2015 10409.59 -0.49% 12/1/2015 32.02958 (0.002) 12/1/2015 123.7988 -0.365% 12/1/2015 10143.42 -2.56% 1/1/2016 28.84057 (0.100) 1/1/2016 112.2573 -9.323% 1/1/2016 9632.7 -5.03% 2/1/2016 27.51104 (0.046) 2/1/2016 117.8706 5.000% 2/1/2016 9559.53 -0.76% 3/1/2016 30.34185 0.103 3/1/2016 137.6315 16.765% 3/1/2016 10207.37 6.78% 4/1/2016 28.40035 (0.064) 4/1/2016 132.6242 -3.638% 4/1/2016 10436.92 2.25% 5/1/2016 29.62903 0.043 5/1/2016 139.7126 5.345% 5/1/2016 10441 0.04% 6/1/2016 31.02966 0.047 6/1/2016 140.5989 0.634% 6/1/2016 10489.76 0.47% 7/1/2016 32.97847 0.063 7/1/2016 148.7877 5.824% 7/1/2016 10785.51 2.82% 8/1/2016 33.95287 0.030 8/1/2016 147.1758 -1.083% 8/1/2016 10764.75 -0.19% 9/1/2016 35.98319 0.060 9/1/2016 148.4189 0.845% 9/1/2016 10721.74 -0.40% 10/1/2016 33.23798 (0.076) 10/1/2016 143.5977 -3.248% 10/1/2016 10481.89 -2.24% 11/1/2016 33.07594 (0.005) 11/1/2016 151.5676 5.550% 11/1/2016 10838.46 3.40% 12/1/2016 34.83423 0.053 12/1/2016 156.497 3.252% 12/1/2016 11056.9 2.02% 1/1/2017 35.36245 0.015 1/1/2017 164.5392 5.139% 1/1/2017 11222.96 1.50% 2/1/2017 34.76699 (0.017) 2/1/2017 169.5361 3.037% 2/1/2017 11512.39 2.58% 3/1/2017 34.88944 0.004 3/1/2017 165.4791 -2.393% 3/1/2017 11492.85 -0.17% 4/1/2017 34.96683 0.002 4/1/2017 152.318 -7.953% 4/1/2017 11536.07 0.38% 5/1/2017 34.92814 (0.001) 5/1/2017 145.0389 -4.779% 5/1/2017 11598.03 0.54% 6/1/2017 32.87804 (0.059) 6/1/2017 147.6072 1.771% 6/1/2017 11761.7 1.41% 7/1/2017 34.56385 0.051 7/1/2017 138.8178 -5.955% 7/1/2017 11967.67 1.75% 8/1/2017 34.17407 (0.011) 8/1/2017 137.2441 -1.134% 8/1/2017 11875.69 -0.77% 9/1/2017 37.38521 0.094 9/1/2017 140.682 2.505% 9/1/2017 12209.16 2.81% 10/1/2017 44.66001 0.195 10/1/2017 149.3898 6.190% 10/1/2017 12341.01 1.08% 11/1/2017 44.02187 (0.014) 11/1/2017 144.5996 -3.207% 11/1/2017 12627.8 2.32% 12/1/2017 45.58585 0.036 12/1/2017 150.2562 3.912% 12/1/2017 12808.84 1.43% 1/1/2018 47.54123 0.043 1/1/2018 160.3242 6.701% 1/1/2018 13367.96 4.37% 2/1/2018 48.67692 0.024 2/1/2018 152.6165 -4.808% 2/1/2018 12652.55 -5.35% 3/1/2018 51.78115 0.064 3/1/2018 151.7455 -0.571% 3/1/2018 12452.06 -1.58% 4/1/2018 51.32379 (0.009) 4/1/2018 143.3685 -5.520% 4/1/2018 12515.36 0.51% 5/1/2018 54.88325 0.069 5/1/2018 139.7586 -2.518% 5/1/2018 12527.14 0.09%
