Essentials of Statistics for Business and Economics - Case Problem 1 Measuring Stock Market Risk

Case Problem 1 Measuring Stock Market Risk

One measure of the risk or votality of an individual stock is the standard deviation of the total return )capital appreciation plus dividends) over several periods of time.

Managerial Report

You have been assigned to analyze the risk characteristics pf these stocks. Prepare a report that includes bit is not limited to the following items.

a. Compute descriptive statistics for each stock and the S&P 500. Commnet on your results. Which stocks are the most volatile?

b. Compute the value of beta for each stock. Which of these stocks would you expect to perform best in an up market? Which would you expect to hold their value best in a down market?

c. Comment on how much return for the individual stocks is explained by the market.