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 Document Preview:
Financial Modelling & ForecastingAssignment (Session-2, 2019)Assignment on Factor Models and Portfolio AnalysisTotal Marks: 100Submission Deadline: 11:59pm, 13 September 2019General Instructions The assignment requires submission of your working R codes and Excel Files.– All data ?les used in the code must be submitted.– The code must be included in the appendix of the document. Your individual paper must not exceed 10 A4 pages of 11pt font size with 2 spacing. This excludes anyappendices or exhibits you may elect to incorporate in the report. The word count mentioned in the questions is the maximum word count and excludes any ?gures and/ortables. Marks will be awarded for depth of coverage, quality of insight, succinctness and accuracy of answers. Marks will be deducted for poorly informed reports which lack proper formatting, referencing etc.Following deduction will apply– No references (in-text and end text), includes reference to data source: -10– No coversheet: -5– Illegible presentation: -10– Lack of informed research: -10– Plagiarism will be dealt according to university policy and a high similarity score will be penalized. The discussion must be informed by research and the report must cite all the sources. Both, in-text and end text citations are required. End text references are excluded from the page limit. FACTSET is the preferred data source for the assignment along with publicly available informationfrom company website and ASX. Assignment (document) must include a cover sheet. A sample coversheet is provided on ilearn, you may choose to use it.Please contact your unit convenor well before the submission deadline for any clari?cations you may need onthe assignment instructions. You may also post your questions on the discussion forum.11 Question 1: Returns, CAPM 2Assignment QuestionsYou have been assigned a company to work with (look at ‘Assignment_a?n890_s2_2019.xlsx’ on ilearn),you must work on the company…