Essentials of Investments.Estimating the Index Model Using
Historical Data.
Reference:ISBN9781259255045.page173
(Some data is calculated by me, if there are any mistakes,
please help me to correct it, thank you)
| excess return | |||||||||||||||
| DATE | ABC | return rate(%) | XYZ | return rate(%) | mkt index | return rate(%) | risk free(SHIBOR)% | ABC | XYZ | market | |||||
| 2009/12/25 | 23.17 | 13.22 | 3141.35 | 0.043 | |||||||||||
| 2009/12/31 | 25.52 | 9.660 | 13.82 | 4.439 | 3277.14 | 4.232 | 0.043 | 9.617 | 4.395 | 4.189 | |||||
| 2010/1/8 | 28.13 | 9.737 | 13.45 | -2.714 | 3196 | -2.507 | 0.043 | 9.694 | -2.757 | -2.551 | |||||
| 2010/1/15 | 28.59 | 1.622 | 13.78 | 2.424 | 3224.15 | 0.877 | 0.044 | 1.578 | 2.380 | 0.833 | |||||
| 2010/1/22 | 27.32 | -4.544 | 13.53 | -1.831 | 3128.59 | -3.009 | 0.045 | -4.588 | -1.876 | -3.053 | |||||
| 2010/1/29 | 26.05 | -4.760 | 13.08 | -3.383 | 2989.29 | -4.555 | 0.045 | -4.805 | -3.427 | -4.600 | |||||
| 2010/2/5 | 26.33 | 1.069 | 12.71 | -2.870 | 2939.4 | -1.683 | 0.045 | 1.024 | -2.914 | -1.728 | |||||
| 2010/2/12 | 26.56 | 0.870 | 13.01 | 2.333 | 3018.13 | 2.643 | 0.045 | 0.825 | 2.288 | 2.598 | |||||
| 2010/2/26 | 26.58 | 0.075 | 13 | -0.077 | 3051.94 | 1.114 | 0.045 | 0.030 | -0.122 | 1.069 | |||||
| 2010/3/5 | 27.31 | 2.709 | 12.8 | -1.550 | 3031.07 | -0.686 | 0.045 | 2.664 | -1.596 | -0.731 | |||||
| 2010/3/12 | 27.25 | -0.220 | 12.82 | 0.156 | 3013.41 | -0.584 | 0.045 | -0.265 | 0.111 | -0.630 | |||||
| 2010/3/19 | 27.71 | 1.674 | 12.86 | 0.312 | 3067.75 | 1.787 | 0.045 | 1.629 | 0.266 | 1.742 | |||||
| 2010/3/26 | 26.31 | -5.184 | 12.77 | -0.702 | 3059.72 | -0.262 | 0.045 | -5.230 | -0.748 | -0.307 | |||||
| 2010/4/2 | 26.37 | 0.228 | 12.98 | 1.631 | 3157.96 | 3.160 | 0.045 | 0.183 | 1.586 | 3.115 | |||||
| 2010/4/9 | 26.16 | -0.800 | 12.81 | -1.318 | 3145.35 | -0.400 | 0.045 | -0.845 | -1.364 | -0.445 | |||||
| 2010/4/16 | 26.32 | 0.610 | 13.04 | 1.780 | 3130.3 | -0.480 | 0.045 | 0.564 | 1.734 | -0.525 | |||||
| 2010/4/23 | 23.06 | -13.223 | 12.25 | -6.250 | 2983.54 | -4.802 | 0.045 | -13.268 | -6.295 | -4.847 | |||||
| 2010/4/30 | 20.04 | -14.037 | 12.1 | -1.232 | 2870.61 | -3.859 | 0.046 | -14.082 | -1.278 | -3.904 | |||||
| 2010/5/7 | 17.83 | -11.685 | 11.04 | -9.168 | 2688.38 | -6.559 | 0.046 | -11.730 | -9.214 | -6.604 | |||||
| 2010/5/14 | 17.65 | -1.015 | 11.15 | 0.991 | 2696.63 | 0.306 | 0.046 | -1.060 | 0.946 | 0.261 | |||||
| 2010/5/21 | 16.24 | -8.326 | 10.84 | -2.820 | 2583.52 | -4.285 | 0.046 | -8.371 | -2.865 | -4.331 | |||||
| 2010/5/28 | 16.65 | 2.493 | 10.96 | 1.101 | 2655.77 | 2.758 | 0.046 | 2.447 | 1.055 | 2.712 | |||||
| 2010/6/4 | 16.28 | -2.247 | 10.61 | -3.246 | 2553.59 | -3.923 | 0.048 | -2.295 | -3.293 | -3.971 | |||||
| 2010/6/11 | 16.37 | 0.551 | 10.69 | 0.751 | 2569.94 | 0.638 | 0.048 | 0.503 | 0.703 | 0.590 | |||||
| 2010/6/18 | 15.77 | -3.734 | 10.58 | -1.034 | 2513.2 | -2.233 | 0.049 | -3.783 | -1.083 | -2.281 | |||||
| 2010/6/25 | 15.91 | 0.884 | 10.71 | 1.221 | 2552.82 | 1.564 | 0.049 | 0.834 | 1.172 | 1.515 | |||||
| 2010/7/2 | 15.23 | -4.368 | 10.33 | -3.613 | 2382.9 | -6.888 | 0.050 | -4.418 | -3.663 | -6.938 | |||||
| 2010/7/9 | 15.46 | 1.499 | 10.53 | 1.918 | 2470.92 | 3.627 | 0.050 | 1.449 | 1.867 | 3.577 | |||||
| 2010/7/16 | 15.03 | -2.821 | 10.21 | -3.086 | 2424.27 | -1.906 | 0.050 | -2.871 | -3.136 | -1.956 | |||||
| 2010/7/23 | 16.32 | 8.234 | 10.55 | 3.276 | 2572.03 | 5.917 | 0.050 | 8.184 | 3.226 | 5.866 | |||||
| 2010/7/30 | 17.18 | 5.135 | 10.71 | 1.505 | 2637.5 | 2.514 | 0.050 | 5.085 | 1.455 | 2.463 | |||||
| 2010/8/6 | 17.21 | 0.174 | 10.67 | -0.374 | 2658.39 | 0.789 | 0.050 | 0.124 | -0.424 | 0.739 | |||||
| 2010/8/13 | 15.92 | -7.791 | 10.32 | -3.335 | 2606.7 | -1.964 | 0.050 | -7.842 | -3.386 | -2.014 | |||||
| 2010/8/20 | 15.91 | -0.063 | 10.42 | 0.964 | 2642.31 | 1.357 | 0.050 | -0.113 | 0.914 | 1.306 | |||||
| 2010/8/27 | 15.45 | -2.934 | 10.31 | -1.061 | 2610.74 | -1.202 | 0.051 | -2.985 | -1.112 | -1.253 | |||||
| 2010/9/3 | 15.24 | -1.369 | 10.24 | -0.681 | 2655.39 | 1.696 | 0.051 | -1.419 | -0.732 | 1.645 | |||||
| 2010/9/10 | 15.28 | 0.262 | 10.18 | -0.588 | 2663.21 | 0.294 | 0.051 | 0.211 | -0.639 | 0.243 | |||||
| 2010/9/17 | 14.7 | -3.870 | 9.98 | -1.984 | 2598.69 | -2.452 | 0.051 | -3.921 | -2.035 | -2.504 | |||||
| 2010/9/21 | 14.62 | -0.546 | 9.99 | 0.100 | 2591.55 | -0.275 | 0.051 | -0.597 | 0.049 | -0.326 | |||||
| 2010/9/30 | 14.19 | -2.985 | 10.18 | 1.884 | 2655.66 | 2.444 | 0.052 | -3.037 | 1.833 | 2.392 | |||||
| 2010/10/8 | 14.87 | 4.681 | 10.47 | 2.809 | 2738.74 | 3.080 | 0.052 | 4.629 | 2.757 | 3.029 | |||||
| 2010/10/15 | 17.79 | 17.929 | 11.55 | 9.817 | 2971.16 | 8.145 | 0.052 | 17.877 | 9.766 | 8.094 | |||||
| 2010/10/22 | 17.59 | -1.131 | 11.12 | -3.794 | 2975.04 | 0.131 | 0.055 | -1.186 | -3.849 | 0.075 | |||||
| 2010/10/29 | 17.67 | 0.454 | 11.19 | 0.628 | 2978.84 | 0.128 | 0.056 | 0.398 | 0.571 | 0.071 | |||||
| 2010/11/5 | 18.67 | 5.505 | 11.99 | 6.905 | 3129.5 | 4.934 | 0.056 | 5.449 | 6.849 | 4.877 | |||||
| 2010/11/12 | 16.43 | -12.781 | 12.54 | 4.485 | 2985.44 | -4.713 | 0.057 | -12.838 | 4.428 | -4.770 | |||||
| 2010/11/19 | 15.6 | -5.184 | 11.28 | -10.589 | 2888.57 | -3.299 | 0.057 | -5.241 | -10.647 | -3.356 | |||||
| 2010/11/26 | 15.25 | -2.269 | 10.98 | -2.696 | 2871.7 | -0.586 |   HOME TO CERTIFIED WRITERS Why Place An Order With Us?
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