1 MGMT-6016 Individual Project Requirements Learning Objectives: 1) Access and download financial data: time series of stock prices. 2) Compile stock returns from stock prices. 3) Statistical analysis...

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1 MGMT-6016 Individual Project Requirements Learning Objectives: 1) Access and download financial data: time series of stock prices. 2) Compile stock returns from stock prices. 3) Statistical analysis and interpretation of financial data. You need to complete all three and submit your statistical analysis and interpretation as a word document. After compiling stock returns (as shown below), you are required to submit a summary table of the following moments and your analysis and interpretation of your findings in the summary table. Select two non-overlapping time periods for your data. For two 5-year time periods use 2011 – 2015 and 2016 – 2020, or for two 10-year periods choose 2001-2010 and 2011-2020. 1) First Moment: Average (Mean) value of the stock returns 2) Second Moment about the mean: Variance of the stock returns 3) Standard Deviation of the stock returns: Square root of variance 4) Third Moment about the mean: Skewness of stock returns 5) Fourth Moment about the mean: Kurtosis of stock returns Compute the above using built-in formulae in Excel (use sample formulae not population) Compare and submit your analysis and interpretation of the above moments (-25% if no analysis and interpretation submitted) Calculate stock returns from stock prices: Stock Return (rt) as log returns: 1 ln tt t Pr P−  =     where: tP = Closing stock price at time t (say today for daily) and 1tP− = Closing stock price at time t-1 (say yesterday for daily) Stock return (rt) may also be computed as: 1 1 t t t t P Pr P − −  − =     You may choose any stock: Use tickers (unique identifiers) from list of tickers shown in excel file and use Yahoo finance to download data (closing stock prices) from 2015 – 2020 and 2010 – 2015. Use Excel and its built-in formulae to compute returns and statistical moments for your summary table. Yahoo Finance Step 1: Search for a stock of your choice: For example Apple using its Ticker (AAPL) This is what you see: https://finance.yahoo.com/ 2 Step 2: Go to Historical Data in the menu 1. Choose Frequency: Daily, weekly, or monthly 2. Choose Time Periods: Two non-overlapping time periods of 5 years (5Y) at least 3. Select Download 4. Select the format for download as ‘Microsoft Excel Comma Separated Value (CSV)’ 5. Open the downloaded csv file in Excel and complete Summary table with moments Skewness and Kurtosis Normality Testing - Skewness and Kurtosis Skewness (Use built in formula in Excel) “=SKEW(…..)” Kurtosis (Use built in formula in Excel) “=KURT( …)” https://help.gooddata.com/doc/en/reporting-and-dashboards/maql-analytical-query-language/maql-expression-reference/aggregation-functions/statistical-functions/predictive-statistical-use-cases/normality-testing-skewness-and-kurtosis 3 Q.1: Are the returns normally distributed? Here is a link for testing normality of returns using Excel: https://www.statology.org/normality-test-excel/ Q.2: Are average returns different for the two non-overlapping time periods? Here is a link how to test difference in means (averages) using a two-sample t-test Link to a well-illustrated video on how to do a two sample t-test in Excel https://mattchoward.com/how-to-perform-a-t-test-in-excel/ Submit your analysis with a summary table of higher moments for the two non-overlapping time periods and your analysis and interpretation (please do not submit your raw data). https://www.statology.org/normality-test-excel/ https://mattchoward.com/how-to-perform-a-t-test-in-excel/