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  • SHELL Company: Months Closing Return (Ri) Risk Free Rate (RF) Ri-Rf Index RM

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    KAZMI01
    32 vues4 pages
    This document contains monthly closing return data for a Shell company stock from April 2012 to February 2014, along with the risk-free rate, market index return, and excess return (Rm - Rf) for each month. A linear regression was performed to analyze the relationship between the stock's excess return and the market excess return, but it was found to not be statistically significant based on the F-statistic and p-value.

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    excel solution of Capm

    Titre original

    CAPM model

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    This document contains monthly closing return data for a Shell company stock from April 2012 to February 2014, along with the risk-free rate, market index return, and excess return (Rm - Rf) for each month. A linear regression was performed to analyze the relationship between the stock's excess return and the market excess return, but it was found to not be statistically significant based on the F-statistic and p-value.

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    © All Rights Reserved
    Téléchargez comme XLSX, PDF, TXT ou lisez en ligne sur Scribd
    Signaler comme contenu inapproprié
    32 vues4 pages

    SHELL Company: Months Closing Return (Ri) Risk Free Rate (RF) Ri-Rf Index RM

    Transféré par

    KAZMI01
    This document contains monthly closing return data for a Shell company stock from April 2012 to February 2014, along with the risk-free rate, market index return, and excess return (Rm - Rf) for each month. A linear regression was performed to analyze the relationship between the stock's excess return and the market excess return, but it was found to not be statistically significant based on the F-statistic and p-value.

    Droits d'auteur :

    © All Rights Reserved
    Téléchargez comme XLSX, PDF, TXT ou lisez en ligne sur Scribd
    Signaler comme contenu inapproprié
    sur 4

    SHELL Company

    MONTHS CLOSING RETURN(Ri) RISK FREE RATE(Rf) Ri-Rf


    INDEX
    Rm
    12-Apr
    154.6
    #VALUE!
    0.1185 #VALUE! 13990.38
    12-May
    146.23 -0.05413972
    0.119 -0.17314 13871.76 -0.008479
    12-Jun
    131.25 -0.10244136
    0.1195 -0.221941 13801.41 -0.005071
    12-Jul
    130 -0.00952381
    0.1192 -0.128724
    14577 0.056196
    12-Aug
    124.2 -0.04461538
    0.117 -0.161615 15391.58 0.055881
    12-Sep
    133.86 0.077777778
    0.103 -0.025222 15444.82 0.003459
    12-Oct
    142.02 0.060959211
    0.1 -0.039041 15910.11 0.030126
    12-Nov
    131.53 -0.07386284
    0.094 -0.167863 16573.86 0.041719
    12-Dec
    136.48
    0.037634
    0.094 -0.056366 16943.86 0.022324
    13-Jan
    131.68 -0.03516999
    0.092 -0.12717 17242.74 0.017639
    13-Feb
    140.2 0.064702309
    0.0935 -0.028798 18173.67 0.05399
    13-Mar
    118.2 -0.15691869
    0.0943 -0.251219 18043.31 -0.007173
    13-Apr
    146.14 0.236379019
    0.095 0.141379 18982.42 0.052048
    13-May
    155.06 0.061037361
    0.0958 -0.034763 21823.05 0.149645
    13-Jun
    163.49 0.054366052
    0.0953 -0.040934 21005.69 -0.037454
    13-Jul
    158.75 -0.0289926
    0.095 -0.123993 23312.78 0.109832
    13-Aug
    160.14 0.008755906
    0.0915 -0.082744 22214.73 -0.047101
    13-Sep
    146.65 -0.08423879
    0.0938 -0.178039 21932.68 -0.012697
    13-Oct
    135.99 -0.07269008
    0.095 -0.16769 22775.85 0.038444
    13-Nov
    145.88 0.072725936
    0.099 -0.026274 24302.19 0.067016
    13-Dec
    170.96 0.171922128
    0.095 0.076922 25261.14 0.039459
    14-Jan
    221.8 0.297379504
    0.1002 0.19718 26784.34 0.060298
    14-Feb
    200.92 -0.09413886
    0.1002 -0.194339 25783.28 -0.037375
    14-Mar
    234.7 0.168126618
    0.1005 0.067627 27116.13 0.051694

    SUMMARY OUTPUT

    Regression Statistics
    Multiple R 0.029455
    R Square 0.000868
    Adjusted R -0.044587
    Standard Er0.086004
    Observatio
    23
    ANOVA
    df
    Regression
    Residual
    Total

    SS
    1 0.000141304
    22 0.162728246
    23 0.16286955

    MS
    F
    Significance F
    0.0001413039 0.019104 0.891387
    0.0073967385

    CoefficientsStandard Error
    t Stat
    P-value Lower 95%Upper 95%
    Intercept
    0 Err:512
    Err:512
    Err:512
    Err:512
    Err:512
    X Variable 0.021759 0.157427835
    0.1382155579 0.891327 -0.304726 0.348244

    Lower 95.0%
    Upper 95.0%
    Err:512
    Err:512
    -0.304726 0.348244

    Rm-Rf
    -0.127479
    -0.124571
    -0.063004
    -0.061119
    -0.099541
    -0.069874
    -0.052281
    -0.071676
    -0.074361
    -0.03951
    -0.101473
    -0.042952
    0.053845
    -0.132754
    0.014832
    -0.138601
    -0.106497
    -0.056556
    -0.031984
    -0.055541
    -0.039902
    -0.137575
    -0.048806

    pper 95%

    per 95.0%

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