data analysis assignmentFI4008 15/16 – Data Analysis Assignment (30%)
Individual Assignment

(a) [10%]
Write essay discussing the development of the CAPM model, its empirical performance and potential alternative (competing) models. As part of your essay discuss the usefulness of the CAPM in modern finance applications.

(b) [20%]
You are required to gather stock price data (for a highly liquid stock traded on a global exchange) for the period 01.01.2000-31.12.2015.

The following are required:

? A plot of the price evolution of the stock with associated trading volume data.
? A comparative plot of the stock price evolution and an appropriate equity index.
? Summary return statistics for the stock and chosen index.
o Mean
o Standard Deviation and Variance
o Skewness
o Kurtosis
? CAPM Beta calculations

As part of your analysis you should:

? Give a brief description of the stock chosen
? Examine how the “frequency” of returns affects the results
? Comment of the performance of the stock from a risk-return perspective
? Etc.