Monthly Archives: May 2016

Data: SP-500 Betas (2015-2016)

Category : Flashcards

Data: SP-500 Betas 2015-2016

Betas

EDUCATIONAL PURPOSES ONLY

  • The following data is generated using simple CAPM with S&P-500 as the overall market.
  • Period: January 1, 2014 – April 25, 2016
  • The results may contain errors.
  • The data source: Yahoo! Finance
  • ***
    
    beta		r2			symbol
    -0.01773	0.0001129	GAS
    0.4045278	0.1448351	SO
    0.464229	0.1531138	AWK
    0.4732206	0.1399006	EIX
    0.4823088	0.135797	O
    0.5023022	0.1906611	SYY
    0.5260524	0.1810871	ES
    0.5353587	0.2443004	D
    0.5385341	0.0727803	CMG
    0.5426968	0.1894681	WEC
    0.5488797	0.2672589	K
    0.5542685	0.1042791	TE
    0.5558208	0.1725009	RAI
    0.5561306	0.0950539	ARG
    0.556256	0.2023524	CMS
    0.556653	0.2036142	AEE
    0.5570763	0.2908086	CLX
    0.5616614	0.197736	SCG
    0.5701467	0.2101054	PCG
    0.5711889	0.2436493	ABC
    0.5757263	0.2265816	DTE
    0.5793629	0.0374663	NEM
    0.5853186	0.3890287	KO
    0.587409	0.2313112	AEP
    0.6016741	0.0643666	CSRA
    0.6097265	0.166193	DG
    0.6112313	0.2741857	DPS
    0.6127062	0.3706569	WM
    0.6177347	0.2233764	WMT
    0.6261294	0.2908368	MO
    0.6301305	0.320612	CPB
    0.6354051	0.2667657	HSY
    0.6355101	0.2284444	PPL
    0.6367885	0.4361182	T
    0.6414102	0.2271599	PEG
    0.6430094	0.1993184	EXR
    0.652158	0.312046	COST
    0.6552963	0.4064395	CHD
    0.658753	0.4124371	RSG
    0.6611542	0.2858429	SJM
    0.661158	0.0818064	KSS
    0.6683637	0.4403829	PG
    0.6728233	0.4205296	LMT
    0.6732972	0.4870581	PEP
    0.6756772	0.1498934	TSN
    0.6767951	0.2933263	PSA
    0.6770581	0.4211094	GIS
    0.6776745	0.3630891	MKC
    0.6818102	0.1346051	WFM
    0.6827223	0.3616588	PM
    0.6856154	0.21802		FE
    0.6863663	0.3204975	AZO
    0.6879156	0.296956	SRE
    0.689992	0.1184039	MNST
    0.6927571	0.2669787	TGT
    0.6929014	0.2709867	HRL
    0.6930552	0.3325348	FRT
    0.6933779	0.456241	VZ
    0.7002781	0.3570957	MCD
    0.7043183	0.2022487	HCN
    0.7061348	0.4198867	DVA
    0.707635	0.1936714	DRI
    0.708281	0.2371085	ISRG
    0.7092821	0.3181816	RTN
    0.7165382	0.221936	AXP
    0.7181062	0.1769226	VTR
    0.7191164	0.3192982	AVB
    0.7207425	0.1760776	CI
    0.7221089	0.2730196	TWC
    0.7236001	0.1981959	TAP
    0.725512	0.3296927	BCR
    0.7278538	0.136019	CVC
    0.7283551	0.1421742	HUM
    0.729154	0.2324432	KR
    0.7311282	0.4954997	JNJ
    0.7312854	0.2620625	MSI
    0.7343851	0.1517984	M
    0.7366937	0.2787461	UDR
    0.7372225	0.2727704	CME
    0.7456133	0.4231739	KMB
    0.7472215	0.308496	ESS
    0.7483012	0.2716503	CCE
    0.7485092	0.1016126	URBN
    0.7503008	0.2944786	STZ
    0.7509681	0.462211	XL
    0.7516908	0.1305103	GPS
    0.7578557	0.1937861	SRCL
    0.7615461	0.3070293	GWW
    0.76165		0.138482	MAT
    0.7630349	0.4492113	CCI
    0.7681794	0.3120103	LH
    0.7694032	0.2702157	VRSK
    0.7727326	0.2630537	MAC
    0.7733116	0.2502639	LB
    0.7738851	0.2927451	AIV
    0.7752895	0.3391152	EQR
    0.7760211	0.2436173	EXC
    0.78174		0.3627052	XRAY
    0.7833325	0.1802952	HRB
    0.7836758	0.3657465	BAX
    0.7846903	0.1136		PRGO
    0.7860735	0.2771381	CAG
    0.7875642	0.1317839	BXLT
    0.7997193	0.2157883	DLTR
    0.8005818	0.1607645	EA
    0.8025295	0.2918133	GGP
    0.8050571	0.3435106	TJX
    0.806342	0.2210319	HAS
    0.8088006	0.4023227	PFE
    0.8110141	0.2695416	MJN
    0.8112723	0.3174523	ESRX
    0.8130193	0.2573001	SYF
    0.8145046	0.3850239	ZBH
    0.8154542	0.2596906	MCK
    0.8171881	0.4091575	ALL
    0.819654	0.4694913	UPS
    0.8222809	0.5161378	CL
    0.8286188	0.2001241	HCP
    0.8304383	0.4255768	EXPD
    0.8326023	0.3154993	ICE
    0.8327736	0.1938652	AAP
    0.8334541	0.5278304	PGR
    0.834943	0.3480743	TYC
    0.8397155	0.4728709	CVS
    0.8424641	0.3166979	CHRW
    0.84762		0.252746	HOLX
    0.8502012	0.4654281	NOC
    0.8509241	0.3062167	BBBY
    0.8517632	0.3963319	KIM
    0.8535073	0.3360657	ORLY
    0.8588884	0.5481511	CTAS
    0.8597225	0.2697764	ANTM
    0.8653321	0.3722894	EL
    0.8664637	0.5501928	TRV
    0.8664827	0.3986759	JBHT
    0.8674004	0.5234165	PX
    0.8721433	0.2173774	HCA
    0.8722303	0.163172	BBY
    0.8739595	0.6036186	CB
    0.8745589	0.5790458	PAYX
    0.8749356	0.4200744	LLL
    0.8755654	0.3082981	EQIX
    0.8757297	0.2505454	GOOGL
    0.8769341	0.222726	SIG
    0.878486	0.5797431	OMC
    0.8807264	0.4523523	MDT
    0.8807577	0.3495818	CNP
    0.8828508	0.5704959	AON
    0.8849519	0.3337983	FLIR
    0.8851077	0.6287513	DHR
    0.8862517	0.2465834	GOOG
    0.8863109	0.2699262	LLY
    0.8883926	0.3470445	NKE
    0.8886367	0.4145756	CAH
    0.8898441	0.4429081	MRK
    0.8901229	0.3151418	TWX
    0.8918543	0.6113644	CINF
    0.8942249	0.5459815	GD
    0.8944147	0.4376509	BXP
    0.8967865	0.4413055	LEG
    0.8978477	0.503318	UTX
    0.9013296	0.3404034	BMY
    0.9016474	0.3009894	SNI
    0.905001	0.4719943	VNO
    0.9081403	0.3646529	SHW
    0.9120412	0.6145611	L
    0.9129395	0.4472273	KHC
    0.9135388	0.39702		DIS
    0.9136063	0.2495939	ZTS
    0.9139586	0.218866	JNPR
    0.9158327	0.5316953	GPC
    0.9163369	0.4078538	VRSN
    0.9182013	0.2612502	KLAC
    0.9201556	0.3330482	IRM
    0.9209893	0.7108907	MMC
    0.9231174	0.4394347	LOW
    0.9241195	0.3836623	EMC
    0.9247843	0.4823526	CMCSA
    0.9297832	0.5225506	PBCT
    0.9334769	0.4989474	HD
    0.9340275	0.3842937	SBUX
    0.9348572	0.3611209	STJ
    0.9380397	0.2610017	EBAY
    0.9400933	0.6292407	AFL
    0.9409157	0.3985958	DGX
    0.9412501	0.3216831	ROST
    0.9412687	0.438804	IBM
    0.9453892	0.3680806	UNH
    0.9484226	0.4626178	PLD
    0.9506848	0.3375321	CMI
    0.9528914	0.319616	WBA
    0.9530319	0.3947392	DE
    0.9535459	0.3865023	SLG
    0.9541785	0.373975	MON
    0.9567142	0.2902305	DD
    0.9580295	0.3370806	VFC
    0.9589078	0.6222748	ADP
    0.9593193	0.2635074	ULTA
    0.9601795	0.2313755	EW
    0.9623743	0.2787288	NTAP
    0.9625545	0.3849306	LLTC
    0.9629869	0.3977458	HRS
    0.9636971	0.6451829	ITW
    0.9645121	0.2332718	LUV
    0.9668112	0.2196676	ABBV
    0.9678442	0.6221758	TMK
    0.9693795	0.4691376	ALLE
    0.9699726	0.4066771	MDLZ
    0.9711933	0.3879618	SYMC
    0.9716862	0.5513442	SWK
    0.9784576	0.377562	FAST
    0.9796947	0.4317911	WY
    0.9812014	0.5249404	WLTW
    0.9820195	0.2562066	ATVI
    0.9863562	0.4049529	FOX
    0.9866307	0.4995571	AVY
    0.988057	0.5495397	SNA
    0.9888618	0.4066407	FOXA
    0.9891027	0.3040415	GILD
    0.9897583	0.6416624	FISV
    0.9925632	0.3938435	XLNX
    0.9926971	0.3209419	BSX
    0.9936535	0.5095833	NLSN
    0.9955992	0.2619669	UHS
    0.9969879	0.4261722	BLL
    0.9976987	0.2069627	AMZN
    0.9980119	0.3361671	SEE
    0.998552	0.1760818	UAL
    0.9985966	0.2853546	FB
    0.9991272	0.4311835	WYN
    0.9993925	0.5248681	GE
    1.001381	0.3940178	FIS
    1.005097	0.254322	GRMN
    1.007199	0.4011354	GM
    1.007995	0.5352351	EFX
    1.008544	0.3176943	CTL
    1.008951	0.5011579	EMR
    1.010584	0.6012025	XYL
    1.013833	0.5443687	APH
    1.020004	0.303691	AET
    1.02013		0.2562008	YUM
    1.020491	0.2293196	AGN
    1.022136	0.4371875	RHI
    1.027228	0.2715722	HOG
    1.027889	0.2177863	SPLS
    1.029586	0.5616949	ACN
    1.029698	0.5010798	PKI
    1.030235	0.6622493	HON
    1.030416	0.4356784	CSCO
    1.031381	0.2517455	PVH
    1.032435	0.1943136	EQT
    1.032909	0.1288424	ILMN
    1.033819	0.45132		DFS
    1.036088	0.6471328	AME
    1.038027	0.2904395	COH
    1.038297	0.5655984	ORCL
    1.039615	0.4228668	INTC
    1.04101		0.3187751	NSC
    1.041345	0.3701737	AAPL
    1.045456	0.5992292	AIG
    1.048734	0.1661733	RL
    1.050116	0.388691	RHT
    1.05333		0.3687498	CFG
    1.055499	0.4491002	IFF
    1.056246	0.5231788	XOM
    1.056352	0.3233017	PCLN
    1.056553	0.4531243	BA
    1.059537	0.5638475	TEL
    1.060167	0.5109754	V
    1.061137	0.3749282	CCL
    1.066248	0.2373005	HBI
    1.067015	0.5185202	ABT
    1.067215	0.4272697	ADBE
    1.067711	0.2124611	CNC
    1.069445	0.4408363	MHK
    1.069476	0.3183615	HOT
    1.072021	0.5180075	ROK
    1.072646	0.5303317	IPG
    1.073578	0.3215279	WHR
    1.075616	0.4226882	UNP
    1.075786	0.3605133	AN
    1.076093	0.4531808	TSCO
    1.076691	0.4599533	GLW
    1.082022	0.5801699	ECL
    1.089794	0.4483164	LUK
    1.090096	0.3360628	TIF
    1.09881		0.4409209	CBS
    1.099414	0.4801807	WU
    1.099869	0.5140681	FDX
    1.101171	0.2891952	ADS
    1.102646	0.5669924	HIG
    1.10327		0.2050349	TDC
    1.10576		0.6948878	TROW
    1.107796	0.3399517	GPN
    1.10848		0.4204679	MAS
    1.108511	0.2289023	AAL
    1.109112	0.4468538	IP
    1.112573	0.6248727	MA
    1.115924	0.4567007	TXN
    1.116915	0.6273035	PPG
    1.117454	0.3904551	TSS
    1.119577	0.3223314	DISCK
    1.121284	0.6002381	BBT
    1.122456	0.1684188	PWR
    1.123053	0.3899407	MSFT
    1.124473	0.2417403	AKAM
    1.12614		0.4627807	MCHP
    1.12921		0.4473578	INTU
    1.13148		0.2966847	YHOO
    1.13198		0.4299987	MAR
    1.135471	0.3053875	DISCA
    1.139045	0.234181	UA
    1.139923	0.5577301	F
    1.141731	0.2772577	NVDA
    1.141756	0.5284941	MTB
    1.143058	0.4655238	DOV
    1.145826	0.4349353	SLB
    1.147943	0.2335365	EXPE
    1.153762	0.244754	REGN
    1.157832	0.7026147	WFC
    1.158126	0.360754	AES
    1.15823		0.5860329	MCO
    1.16246		0.3511136	PYPL
    1.164007	0.4551182	CAT
    1.16687		0.4823594	NWL
    1.166954	0.4793496	HBAN
    1.167303	0.5437058	PCAR
    1.169275	0.4850559	JEC
    1.171889	0.3317078	ADSK
    1.172573	0.5316642	DNB
    1.173867	0.206635	CF
    1.176411	0.4459126	TXT
    1.178855	0.4054323	LRCX
    1.179297	0.1831716	VIAB
    1.181488	0.4714181	ADM
    1.181651	0.4418605	NWS
    1.182269	0.2048544	BIIB
    1.186321	0.5622746	ETN
    1.188943	0.45632	VMC
    1.189062	0.5759016	JCI
    1.190093	0.4295927	AMAT
    1.190589	0.6345403	A
    1.190804	0.199492	SNDK
    1.192207	0.3561685	KSU
    1.196075	0.2193448	FTR
    1.198372	0.3909318	ADI
    1.203025	0.2949106	VLO
    1.203091	0.4598054	AMGN
    1.205034	0.4351524	HST
    1.206449	0.4253967	FLS
    1.209837	0.1744026	TRIP
    1.221973	0.5122379	EMN
    1.223792	0.4900679	COF
    1.224215	0.2611128	MOS
    1.225978	0.3705172	PHM
    1.225978	0.3705172	PH
    1.229628	0.2042007	COG
    1.231327	0.2556477	NOV
    1.232577	0.447888	GT
    1.232625	0.5742866	UNM
    1.234883	0.3052943	CRM
    1.235028	0.6199098	BK
    1.23615		0.14924		NFLX
    1.236852	0.4600199	LVLT
    1.239433	0.5087676	CTSH
    1.242832	0.3100957	HPQ
    1.244923	0.2498763	TSO
    1.245717	0.4149855	KMX
    1.248224	0.2921571	RCL
    1.249109	0.4457018	LEN
    1.253799	0.297519	CPGX
    1.253843	0.4935775	OXY
    1.258862	0.2901254	NAVI
    1.259162	0.4075315	SE
    1.264176	0.4806067	DOW
    1.264944	0.4848467	PNR
    1.265995	0.2856334	ALXN
    1.266066	0.4924507	CSX
    1.266207	0.4578879	NWSA
    1.267425	0.344984	MLM
    1.274078	0.4975963	NUE
    1.282475	0.410144	XRX
    1.295613	0.4676511	FLR
    1.308158	0.681648	BEN
    1.31091		0.6228577	NTRS
    1.312628	0.5493497	FITB
    1.319047	0.363497	CELG
    1.319059	0.4904569	DLPH
    1.319404	0.5320188	KEY
    1.324564	0.4158193	DHI
    1.325201	0.707422	BLK
    1.325893	0.4446748	FMC
    1.328402	0.5214871	CVX
    1.330232	0.5800657	STI
    1.330276	0.2136911	STX
    1.346281	0.4338761	BWA
    1.362564	0.5482132	PSX
    1.366373	0.2995232	AVGO
    1.374278	0.6118375	STT
    1.382522	0.4284775	TGNA
    1.387816	0.6895016	AMP
    1.388603	0.4996986	CMA
    1.392442	0.5130231	RF
    1.395489	0.5391518	CBG
    1.398734	0.3736029	WRK
    1.411972	0.5387706	ZION
    1.412346	0.3772115	OI
    1.421585	0.2657287	VRTX
    1.42858		0.3151384	WDC
    1.433991	0.5849823	BAC
    1.441038	0.1528621	ENDP
    1.451754	0.174477	MNK
    1.452813	0.612277	PRU
    1.453857	0.3244774	PXD
    1.457863	0.6813646	PFG
    1.463276	0.5033072	R
    1.464073	0.4909822	LYB
    1.464983	0.4041788	EOG
    1.477016	0.5190257	SCHW
    1.478318	0.3554361	FTI
    1.482033	0.3688892	BHI
    1.487285	0.7229775	IVZ
    1.492749	0.4962211	ETFC
    1.494519	0.2824844	AA
    1.495884	0.2781731	KMI
    1.498222	0.340707	SWKS
    1.498604	0.3518498	MPC
    1.501329	0.2803312	FSLR
    1.502892	0.4406614	HAL
    1.516158	0.6752782	C
    1.528535	0.1646057	RRC
    1.533245	0.2191403	DO
    1.551958	0.6548731	MS
    1.563638	0.6064246	LNC
    1.594364	0.368702	XEC
    1.59588		0.4091019	COP
    1.596368	0.638888	AMG
    1.59961		0.3176525	HPE
    1.633561	0.2058742	WYNN
    1.647141	0.3266542	HP
    1.659132	0.3466126	CXO
    1.659999	0.121612	SWN
    1.677375	0.3812147	HAR
    1.688503	0.3713891	HES
    1.692982	0.3277165	URI
    1.714999	0.270029	MU
    1.809388	0.2931137	OKE
    1.843501	0.3650928	APA
    1.845245	0.205725	RIG
    1.859225	0.3420999	NFX
    1.874249	0.4055288	APC
    1.970177	0.3340569	MUR
    2.055653	0.3638442	DVN
    2.542172	0.1660644	CHK
    2.55036		0.2609674	WMB
    2.874648	0.3095393	FCX
    
    ***
    



    Stata Code

  • The following Stata code is used to generate the previous table.
  • ***
    clear all
    cd "/users/mfd/desktop"
    mfd_dm_components, symbol(^GSPC)
    levelsof Symbol, local(tickers)
    use "http://researchforprofit.com/data_public/2007_2016_GSPC_returns.dta", clear
    drop if year(date) < 2015
    
    foreach aa in `tickers' {
    
         display "`aa'"
         capture: qui: reg ln_`aa' ln__NYA
         if (_rc==0) {
              local beta = _b[ln__NYA]
              mfd_tex, saving("Beta_2015_2016") custom("`aa',`beta',`e(r2)'")     
         }
         
    }
    
    insheet using Beta_2015_2016.tex, clear
    rename v1 symbol
    rename v2 beta
    rename v3 r2
    sort beta 
     
    ***Stata***
    




    International Financial Management: Study questions (Part 2)

    Category : Archieve

    International Financial Management

    Study Questions (Part 2)

    1. Please explain the “Fixed Exchange Rate System”. What are the pros and cons of this system?
    2. Please explain the “Freely Floating Exchange Rate System”. What are the pros and cons of this system?
    3. Please explain the “Managed Float Exchange Rate System”. What are the pros and cons of this system?
    4. Please explain the “Pegged Exchange Rate System”. What are the pros and cons of this system?
    5. What is Dollarization? What are the pros and cons of Dollarization?
    6. Please explain the “Single European Currency (EURO)”. When was it created? Why was it created? What are the pros and cons of individual countries adopting EURO versus their own currency?
    7. Why do governments interfere with foreign exchange markets? Please list all the reasons we discussed in class.
    8. How do governments interfere with foreign exchange markets? Please list all the methods we discussed in class.
    9. What is direct government intervention in foreign exchange markets? What is the indirect government intervention in foreign exchange markets? What is sterilized government intervention in foreign exchange markets?
    10. What is the importance of foreign currency reserves for governments who interferes in foreign exchange markets?
    11. What is “Locational Arbitrage?” Please explain with an example.
    12. What is “Triangular Arbitrage?” Please explain with an example.
    13. What is “Covered Interest Arbitrage?” Please explain with an example.
    14. What is an option contract? What are the main differences between buying the actual currencies and buying a call option for the exact same amount of currencies? Please discuss in terms of maturity, premium, cost and risk.
    15. There are two parts to option prices: 1) Intrinsic value and 2) premium. Please explain each. What determines the intrinsic value? How is intrinsic value calculated? What factors determine the premium and how (i.e. does volatility increase or decrease the option premiums)?
    16. What is a call option? What is a put options? What is a strike price? What is a maturity date?
    17. Please draw the contingency charts for 1) purchased call option, 2) purchased put option, 3) written call option, 4) written put option.
    18. How can an investor speculate with options? Please explain with an example (similar to our class examples).
    19. How can an investor hedge with options? Please explain with an example (similar to our class examples and our two case studies).
      20. What is a futures contract? Please explain the differences between futures and forwards. What type of investors would be likely futures investors? What type of investors would be likely forwards investors.
    20. What are the differences between futures and options?
    21. The following table is the BMW.DE price as of Friday, April 29th. Current foreign exchange rate of USD per EUR is 1.15.
      • You need to buy $10,000 worth of BMW.DE, how many shares of BMW.DE do you need to buy?
      • You need to hedge your EUR/USD currency exposure using options on FXE. FXE is denominated in USD and represents 100EUR per share of FXE. Each option contract you buy is 100 shares of FXE. How many contracts do you need to buy? Do you need to buy Call or Put options?
      • If USD per EUR moves to 1.10, what happens to the value of your investment and your hedge? (all in USD).
    22. The following table is the table we studied in class to show there can’t be any arbitrage opportunities. Assuming there are no arbitrage opportunities, what should be the exchange rate USD per EUR a year from now?

      Screen Shot 2016-05-01 at 11.10.43 AM

    23. Currently JPY / USD exchange rate is 121.60. After carefully reading the market reviews by other financial analysts, you expect JPY to gain 10% in value within the next month. What is the new exchange rate?
      • A client instructs you to speculate on his account up to $1 million. Also, since your client is Japanese, he has valuable information about the Japanese market and expects a Japanese company that is currently trading at ¥ 2,125 to appreciate by 7% by the end of next month. What is the expected price of this Japanese company? Keeping in mind the current exchange rate and your expectation about the exchange rates, if you purchase the Japanese stock today, how much profit could you realize by the end of the month in USD?
      • For the same Japanese stock a call option with a strike price of ¥ 2,100 can be purchased for ¥ 71.47 per share. The maturity for this option is one month. Similarly, a put option with a strike price of ¥ 2,150 can be purchased for ¥ 73.15 per share. You are free in your trading strategy as long as you make profit for your client. Based on your answer for the previous part, by purchasing the call or the put option, how much profit could you realize by the end of the month in USD?
      • If you prefer to have an option against the JPY vs. USD appreciation, call options have a market price of ¥30,812.5 for a strike price of 120 JPY/USD. Each contract is for $125,000. (This call option would allow you to buy JPY with USD at 120 JPY/USD). These options also have maturities of one month. Similarly, put options have a market price of ¥29,500 for a strike price of 115 JPY/USD. Based on your answer in the previous part, by purchasing the call or the put option, how much profit could you realize by the end of the month in USD?
      • How could you change the trading strategy if you do not want to buy the options but instead you prefer futures? What would you achieve by using futures instead of options?