You have been assigned a company to work with (look at ‘Assignment_afin890_s2_2019.xlsx’ on ilearn),
you must work on the company listed against your name as one of the companies in your analysis. The
following rules and benchmarks must be used for the analysis
1. ASX All Ordinaries for the Market Index
2. 90 Day Accepted Bills (SFE) Futures (Factset Code: IR00-SFE) Settlement Price for the Risk Free
rate (Rf )
3. Data time period for the analysis: 01-July-2017 to 30-June-2019 and as stated in the questions.
4. Data frequency: Daily
1 Question 1: Returns, CAPM
Question-1 should be completed using Excel.
1.1 Company Description (word limit: 250 words)
Provide a well researched company description including any significant corporate actions in the last six
1.2 Calculate daily Simple (Arithmetic) and Continuous (Log) Returns for the
company and the benchmark market factor.
• Download the daily closing prices for the assigned stock and ASX All Ordinaries Index for the two
years period from 1 July 2017 to 30 June 2019 and calculate daily simple and continuous returns.
• Plot and present the closing prices for both time series and returns on separate graphs. Label the
• Calculate descriptive statistics (including, Kurtosis, Skewness values) for both return series. Provide a
brief description (100 words maximum) to highlight the statistics.
1.3 CAPM/Single Index Model
• The Capital Asset Pricing Model can be calculated using Market Portfolio and regression analysis.
Regression analysis using OLS
ri – rf = a + ßi(rm – rF ) + ei (1)
• Use the CAPM model to calculate the value of ß for your company.
– Run the linear regression using Excel. Excel file is required to be submitted along with the report.
– Present the results including the regression coefficients and regression fit plots in the report.
– Provide a brief overview on the level of systematic risk as quantified by the analysis.