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A. Compute descriptive statistics for each stock and the S&P 500. Comment on your results. Which stocks are 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 of the return for the individual stocks is explained by the market?

Table:

Month Microsoft Exxon Mobil Caterpillar Johnson & Johnson McDonald's Sandisk Qualcomm Procter & Gamble S&P 500
Jan-03 -0.05201 -0.03261 -0.0404 -0.00286 -0.11443 -0.24867 0.0249 0.000465 -0.03742
Feb-03 0.00211 0.00293 0.06867 -0.01781 -0.04424 0.09363 -0.08178 -0.043356 -0.047
Mar-03 0.02152 0.02734 0.04681 0.10334 0.06245 0.00839 0.04251 0.087833 0.009358
Apr-03 0.05576 0.00715 0.07622 -0.02609 0.18257 0.43876 -0.11444 0.013588 0.081044
May-03 -0.03717 0.04119 -0.00856 -0.03141 0.09532 0.50165 0.05395 0.021925 0.050899
Jun-03 0.04185 -0.01346 0.06731 -0.04876 0.17779 0.1164 0.07124 -0.028752 0.011322
Jul-03 0.03003 -0.00919 0.21847 0.00174 0.04306 0.39734 0.04285 -0.009587 0.016224
Aug-03 0.00417 0.06661 0.06462 -0.03804 -0.02564 0.06633 0.10459 -0.006601 0.017873
Sep-03 0.04827 -0.02918 -0.04163 -0.00121 0.04996 0.05409 0.00823 0.063352 -0.01194
Oct-03 -0.05396 -0.00055 0.06987 0.01636 0.06202 0.26491 0.13967 0.063833 0.054962
Nov-03 -0.01645 -0.00355 0.0378 -0.0157 0.0412 0.00273 -0.06043 -0.020857 0.007129
Dec-03 0.06457 0.1326 0.09165 0.04787 -0.03121 -0.24276 0.21055 0.037822 0.050765
Jan-04 0.01023 -0.00512 -0.05444 0.03407 0.03665 -0.11275 0.08678 0.01657 0.017276
Feb-04 -0.04051 0.03996 -0.03046 0.01367 0.09946 -0.06372 0.07763 0.014147 0.012209
Mar-04 -0.06031 -0.01375 0.04383 -0.05917 0.00954 0.11566 0.05072 0.02312 -0.01636
Apr-04 0.04813 0.02308 -0.01227 0.06526 -0.0469 -0.18371 -0.05778 0.013063 -0.01679
May-04 0.00383 0.0228 -0.03062 0.03637 -0.03048 0.06479 0.07541 0.019574 0.012083
Jun-04 0.08883 0.02682 0.05428 -0.00018 -0.01515 -0.12008 0.08812 0.009831 0.017989
Jul-04 -0.00245 0.04256 -0.06974 -0.00772 0.05769 0.12125 -0.05166 -0.037472 -0.03429
Aug-04 -0.03896 0.00151 -0.01075 0.05636 -0.01745 -0.03988 0.10157 0.07325 0.002287
Sep-04 0.01282 0.04837 0.1066 -0.03046 0.03738 0.24711 0.02602 -0.033053 0.009364
Oct-04 0.01157 0.01842 0.00622 0.03639 0.03996 -0.28331 0.06557 -0.049704 0.014014
Nov-04 0.06864 0.04673 0.1367 0.03811 0.07341 0.08194 0.00048 0.044939 0.038595
Dec-04 -0.00336 0.0002 0.0651 0.05139 0.04294 0.10585 0.02042 0.029918 0.032458
Jan-05 -0.01647 0.00663 -0.08204 0.02018 0.01029 -0.01081 -0.1217 -0.029049 -0.02529
Feb-05 -0.03957 0.23217 0.06678 0.01832 0.0213 0.08826 -0.03008 -0.00263 0.018903
Mar-05 -0.03935 -0.0586 -0.03798 0.02378 -0.05865 0.03423 0.01609 -0.001695 -0.01912
Apr-05 0.04675 -0.04312 -0.03259 0.02189 -0.05877 -0.14748 -0.0475 0.026981 -0.02011
May-05 0.02292 -0.00947 0.06882 -0.01749 0.05561 0.09578 0.07079 0.018467 0.029952
Jun-05 -0.03721 0.0226 0.01275 -0.0313 -0.1031 -0.08625 -0.1143 -0.043518 -0.00014
Jul-05 0.031 0.02227 0.1365 -0.016 0.12324 0.4252 0.196 0.059905 0.035968
Aug-05 0.07224 0.02451 0.02931 -0.00375 0.04107 0.14814 0.00811 -0.002696 -0.01122
Sep-05 -0.06026 0.06077 0.05875 -0.00174 0.03205 0.24234 0.12692 0.071738 0.006949
Oct-05 -0.00117 -0.11646 -0.1006 -0.01043 -0.05643 0.22056 -0.11151 -0.053649 -0.01774
Nov-05 0.09016 0.04883 0.09869 -0.00862 0.0924 -0.13281 0.14361 0.021432 0.045186
Dec-05 -0.06527 -0.04205 -0.00017 -0.03672 -0.00584 0.43032 -0.04058 0.022065 -0.00095

Applied Statistics, Statistics

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