Please see attachmentAssignment-Business Finance 6392-1-1.pdf Business Finance 6392 S1, 2018 Major...

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Please see attachmentAssignment-Business Finance 6392-1-1.pdf Business Finance 6392  S1, 2018  Major Group Assignment  Due date: by 23.55 pm on Thursday, 20th April, 2018.  Submission: Each group will submit one hard copy and one soft copy as advised in the Unit Outline    You want to form a portfolio of investment consisting of shares listed in the Australian Stock  Exchange (ASX).  Select 7 shares from the ASX listed securities/ companies. You can collect  the data of your own from any data sources such as ASX website, yahoo finance etc.  Use  monthly share price data from January 2001 to December 2017. To perform the analysis:  1. Collect information on the shortest maturity Treasury Notes (Treasury security) rate  in Australia as a proxy for risk-free rate.  2. Calculate the monthly returns of each share and of the market index using the share  price indices and market price index (All Ordinaries Index).  3. Calculate the expected (average) return of each of the shares and of the market  using the returns calculated in (2).  4. Calculate the beta for each of the 7 shares, running a regression of a share’s returns  (Ri) on the market return (Rm). It is the same as calculating the SLOPE in Excel.  5. Calculate the fair (risk consistent) return for each share applying the capital asset  pricing model (CAPM) and using the information you have gathered.  6. From the information you gathered, draw the security market line of the market  (ASX).  7. Plot the shares, you analysed, on the graph of the security market line drawn in (6)  above.  8. From your plot in (6 &7) above, identify the shares you will select to be included in  your portfolio. Explain your rationale for the selection and rejection of shares.   [Note: you need to have minimum two shares in your portfolio. If you do not find  two suitable shares in the 7 shares which you have analysed, analyse some more  shares until you get at least two suitable shares for investment. However, if you find  more than two suitable shares in the five shares you have analysed, include all the  suitable shares in the proposed portfolio]  9. Calculate the expected return and beta of your portfolio considering equal  investment in each share. Plot the portfolio (risk and return) on the graph of the  security market line drawn in (6) above. Comment on the portfolio risk and return.  10. Why should you consider your conclusion in part (8) above to be less than certain?    NB: Students are required to use more than ten (10) recently published (published in  2018 or before, starting from 2018 to backward) journal articles published on or  related to risk (beta) and return relationship as references, not websites addresses.

Aarti J · Accepted Answer

Beta - Wes
	SUMMARY OUTPUT
	Regression Statistics
	Multiple R	0.5321713353
	R Square	0.2832063301
	Adjusted R Square	0.2796578466
	Standard Error	0.0531881943
	Observations	204
	ANOVA
		df	SS	MS	F	Significance F
	Regression	1	0.2257826971	0.2257826971	79.8105243855	2.58376814498486E-16
	Residual	202	0.5714547695	0.002828984
	Total	203	0.7972374667
		Coefficients	Standard Error	t Stat	P-value	Lower 95%	Upper 95%	Lower 95.0%	Upper 95.0%
	Intercept	0.0030847143	0.0037440263	0.8239029413	0.4109664278	-0.0042976721	0.0104671007	-0.0042976721	0.0104671007
	X Variable 1	0.8970585772	0.10041318	8.9336736221	2.58376814498486E-16	0.6990661398	1.0950510146	0.6990661398	1.0950510146
Beta - wools W
	SUMMARY OUTPUT
	Regression Statistics
	Multiple R	0.3754079283
	R Square	0.1409311126
	Adjusted R Square	0.1366782964
	Standard Error	0.0448372898
	Observations	204
	ANOVA
		df	SS	MS	F	Significance F
	Regression	1	0.0666206657	0.0666206657	33.1383026124	0.0000000315
	Residual	202	0.4060972772	0.0020103826
	Total	203	0.4727179429
		Coefficients	Standard Error	t Stat	P-value	Lower 95%	Upper 95%	Lower 95.0%	Upper 95.0%
	Intercept	0.0053901228	0.003156189	1.7077947084	0.0892107491	-0.0008331792	0.0116134249	-0.0008331792	0.0116134249
	X Variable 1	0.4872815395	0.084647635	5.7565877577	0.0000000315	0.3203752471	0.6541878319	0.3203752471	0.6541878319
Beta - Rio tinto
	SUMMARY OUTPUT
	Regression Statistics
	Multiple R	0.5670243618
	R Square	0.3215166269
	Adjusted R Square	0.3181577983
	Standard Error	0.0698954169
	Observations	204
	ANOVA
		df	SS	MS	F	Significance F
	Regression	1	0.4676414471	0.4676414471	95.7228448008	9.46677948514922E-19
	Residual	202	0.9868445981	0.0048853693
	Total	203	1.4544860452
		Coefficients	Standard Error	t Stat	P-value	Lower 95%	Upper 95%	Lower 95.0%	Upper 95.0%
	Intercept	0.0083643712	0.004920082	1.7000470996	0.0906612153	-0.0013369353	0.0180656777	-0.0013369353	0.0180656777
	X Variable 1	1.2910170342	0.1319544905	9.7838052311	9.46677948514956E-19	1.0308321541	1.5512019143	1.0308321541	1.5512019143
Beta - harvey
	SUMMARY OUTPUT
	Regression Statistics
	Multiple R	0.5167301904
	R Square	0.2670100897
	Adjusted R Square	0.2633814268
	Standard Error	0.073841619
	Observations	204
	ANOVA
		df	SS	MS	F	Significance F
	Regression	1	0.4012208238	0.4012208238	73.5836023903	0
	Residual	202	1.1014221074	0.0054525847
	Total	203	1.5026429313
		Coefficients	Standard Error	t Stat	P-value	Lower 95%	Upper 95%	Lower 95.0%	Upper 95.0%
	Intercept	-0.0004670104	0.0051978633	-0.0898466147	0.9284981268	-0.0107160397	0.0097820189	-0.0107160397	0.0097820189
	X Variable 1	1.1958238402	0.1394044652	8.5780885045	0	0.9209492685	1.470698412	0.9209492685	1.470698412
Beta - common
	SUMMARY OUTPUT
	Regression Statistics
	Multiple R	0.6345013983
	R Square	0.4025920244
	Adjusted R Square	0.3996345592
	Standard Error	0.0429854167
	Observations	204
	ANOVA
		df	SS	MS	F	Significance F
	Regression	1	0.2515288489	0.2515288489	136.1273907358	2.22107258772246E-24
	Residual	202	0.3732447027	0.0018477461
	Total	203	0.6247735516
		Coefficients	Standard Error	t Stat	P-value	Lower 95%	Upper 95%	Lower 95.0%	Upper 95.0%
	Intercept	0.0023623065	0.0030258318	0.7807131003	0.4358851903	-0.0036039602	0.0083285733	-0.0036039602	0.0083285733
	X Variable 1	0.9468242584	0.0811515121	11.667364344	2.22107258772238E-24	0.7868115422	1.1068369746	0.7868115422	1.1068369746
Beta -BHP 
	SUMMARY OUTPUT
	Regression Statistics
	Multiple R	0.6121908613
	R Square	0.3747776507
	Adjusted R Square	0.3716824905
	Standard Error	0.0565481128
	Observations	204
	ANOVA
		df	SS	MS	F	Significance F
	Regression	1	0.3871923705	0.3871923705	121.0850596062	2.27950994425712E-22
	Residual	202	0.6459331903	0.0031976891
	Total	203	1.0331255608
		Coefficients	Standard Error	t Stat	P-value	Lower 95%	Upper 95%	Lower 95.0%	Upper 95.0%
	Intercept	0.0042273627	0.0039805379	1.0620079212	0.2895001198	-0.0036213718	0.0120760973	-0.0036213718	0.0120760973
	X Variable 1	1.1747321922	0.1067563189	11.0038656665	2.27950994425695E-22	0.9642324969	1.3852318874	0.9642324969	1.3852318874
Beta - telstra
	SUMMARY OUTPUT
	Regression Statistics
	Multiple R	0.2353296868
	R Square	0.0553800615
	Adjusted R Square	0.0507037252
	Standard Error	0.0505976358
	Observations	204
	ANOVA
		df	SS	MS	F	Significance F
	Regression	1	0.0303185302	0.0303185302	11.8426172963	0.0007034337
	Residual	202	0.5171443907	0.0025601207
	Total	203	0.5474629209
		Coefficients	Standard Error	t Stat	P-value	Lower 95%	Upper 95%	Lower 95.0%	Upper 95.0%
	Intercept	-0.002276616	0.0035616716	-0.6391987488	0.5234178157	-0.0092994395	0.0047462074	-0.0092994395	0.0047462074
	X Variable 1	0.3287225874	0.0955225042	3.4413104039	0.0007034337	0.140373474	0.5170717008	0.140373474	0.5170717008
Data
	1	Australia 2 year yield 
		=	2.12%
	2	Date	Wesfarmers	Return	Woolsworth	Return	Rio tinto	Return	Harvey Norman	Return	Common wealth bank	Return	BHP billiton	Return	Telstra	Return	All ordinary	Return
		1/1/01	17.25		7.76		10.42		4.09		31.83		8.53		5.95		3291.50
		2/1/01	17.68	2.53%	8.38	8.05%	11.73	12.61%	3.48	-14.83%	30.03	-5.66%	9.52	11.68%	5.30	-10.95%	3274.10	-0.53%
		3/1/01	18.87	6.74%	8.22	-2.01%	11.50	-2.02%	3.66	5.25%	28.45	-5.27%	8.87	-6.89%	5.42	2.26%	3096.90	-5.41%
		4/1/01	21.62	14.54%	8.89	8.19%	13.61	18.39%	4.18	14.20%	28.68	0.84%	9.74	9.80%	5.63	3.89%	3270.30	5.60%
		5/1/01	21.38	-1.10%	9.50	6.90%	13.39	-1.63%	4.20	0.49%	31.03	8.18%	10.18	4.55%	5.43	-3.60%	3317.20	1.43%
		6/1/01	25.65	19.97%	10.89	14.58%	12.57	-6.11%	4.25	1.16%	33.97	9.46%	9.71	-4.64%	4.54	-16.33%	3425.20	3.26%
		7/1/01	26.82	4.57%	10.94	0.45%	12.19	-3.05%	3.97	-6.67%	29.34	-13.62%	9.06	-6.64%	4.20	-7.62%	3270.80	-4.51%
		8/1/01	27.34	1.93%	10.62	-2.92%	12.41	1.78%	4.01	1.08%	29.19	-0.52%	8.71	-3.92%	4.06	-3.22%	3217.80	-1.62%
		9/1/01	28.06	2.64%	11.73	10.47%	11.76	-5.18%	3.25	-19.10%	25.96	-11.06%	8.02	-7.94%	4.42	8.94%	2988.00	-7.14%
		10/1/01	28.19	0.47%	11.23	-4.30%	12.05	2.43%	3.25	0.00%	29.64	14.18%	8.34	4.08%	4.20	-5.15%	3185.30	6.60%
		11/1/01	30.18	7.05%	10.98	-2.20%	13.07	8.46%	3.52	8.47%	28.45	-4.03%	9.38	12.46%	4.64	10.66%	3276.90	2.88%
		12/1/01	29.32	-2.85%	11.13	1.35%	14.01	7.17%	3.99	13.41%	29.78	4.69%	9.81	4.55%	4.59	-1.09%	3359.90	2.53%
		1/1/02	28.95	-1.26%	11.73	5.37%	14.42	2.96%	3.65	-8.64%	32.56	9.35%	10.45	6.48%	4.64	0.92%	3404.00	1.31%
		2/1/02	30.40	5.01%	12.00	2.33%	15.06	4.42%	3.31	-9.19%	32.18	-1.17%	11.02	5.46%	4.36	-6.01%	3358.60	-1.33%
		3/1/02	30.18	-0.72%	12.35	2.97%	14.19	-5.78%	3.52	6.25%	31.87	-0.98%	10.65	-3.31%	4.54	4.26%	3363.30	0.14%
		4/1/02	26.92	-10.78%	13.00	5.21%	14.06	-0.88%	3.21	-8.68%	32.67	2.53%	10.09	-5.26%	4.30	-5.39%	3299.50	-1.90%
		5/1/02	27.24	1.19%	12.87	-0.99%	13.69	-2.69%	3.01	-6.44%	33.32	1.98%	10.09	0.00%	3.99	-7.07%	3325.10	0.78%
		6/1/02	25.73	-5.56%	13.02	1.15%	13.06	-4.58%	3.02	0.33%	32.75	-1.70%	9.62	-4.63%	3.94	-1.48%	3163.20	-4.87%
		7/1/02	26.68	3.68%	12.01	-7.76%	12.89	-1.31%	3.01	-0.33%	31.00	-5.34%	8.91	-7.48%	4.06	3.22%	3032.60	-4.13%
		8/1/02	28.10	5.32%	11.88	-1.07%	12.79	-0.76%	2.98	-0.98%	30.70	-0.96%	8.51	-4.41%	4.10	1.04%	3073.70	1.36%
		9/1/02	25.59	-8.92%	12.18	2.50%	12.00	-6.17%	2.80	-5.96%	29.98	-2.36%	8.46	-0.66%	4.00	-2.47%	2928.30	-4.73%
		10/1/02	24.93	-2.59%	12.19	0.08%	12.65	5.45%	2.49	-10.92%	30.24	0.86%	9.05	7.07%	4.02	0.42%	2995.00	2.28%
		11/1/02	26.52	6.38%	11.21	-8.04%	13.73	8.48%	2.61	4.74%	27.00	-10.69%	9.46	4.44%	3.86	-3.99%	3025.20	1.01%
		12/1/02	25.16	-5.10%	11.29	0.71%	13.45	-2.05%	2.59	-0.75%	26.85	-0.55%	9.48	0.30%	3.72	-3.50%	2975.50	-1.64%
		1/1/03	26.68	6.02%	11.82	4.74%	12.64	-5.98%	2.38	-8.36%	25.77	-4.04%	8.34	-12.12%	3.79	1.81%	2935.40	-1.35%
		2/1/03	24.09	-9.68%	11.45	-3.10%	13.27	4.95%	2.22	-6.64%	24.41	-5.29%	8.55	2.58%	3.38	-10.91%	2778.40	-5.35%
		3/1/03	21.01	-12.80%	12.11	5.70%	12.29	-7.37%	1.97	-11.11%	25.91	6.15%	8.67	1.42%	3.44	1.75%	2848.60	2.53%
		4/1/03	23.18	10.31%	12.79	5.64%	12.80	4.12%	2.25	14.00%	27.07	4.49%	8.45	-2.59%	3.56	3.44%	2970.90	4.29%
		5/1/03	23.74	2.41%	12.13	-5.19%	12.51	-2.20%	2.42	7.46%	28.09	3.75%	8.04	-4.87%	3.81	7.13%	2979.80	0.30%
		6/1/03	23.93	0.84%	12.39	2.20%	11.76	-6.02%	2.47	2.45%	29.39	4.64%	8.03	-0.12%	3.72	-2.44%	2998.90	0.64%
		7/1/03	25.23	5.41%	11.68	-5.75%	12.80	8.87%	2.65	7.17%	29.69	1.01%	9.16	14.09%	3.95	6.36%	3106.70	3.59%
		8/1/03	26.67	5.70%	11.64	-0.34%	13.82	7.89%	2.64	-0.37%	27.90	-6.03%	10.21	11.53%	4.24	7.26%	3202.90	3.10%
		9/1/03	25.66	-3.80%	11.60	-0.34%	13.47	-2.53%	2.90	9.70%	27.55	-1.25%	9.87	-3.39%	4.00	-5.58%	3176.20	-0.83%
		10/1/03	27.43	6.93%	11.01	-5.12%	14.60	8.46%	3.31	14.29%	27.

Assignment-Business Finance XXXXXXXXXXpdf Business Finance 6392 S1, 2018 Major Group Assignment Due date: by 23.55 pm on Thursday, 20th April, 2018. Submission: Each group will submit one hard copy...

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