Data

 

Annual Stock and Bond Returns (to 1871)

 

Geo vs. Arith Simulation

 

Labs  (click on the leftmost column to download)

 

Lab 1

Using Excel’s statistical functions on historical S&P stock returns.  Geometric vs. arithmetic returns, skewness, kurtosis, plotting.

 

Lab 2

Long run returns, Value-at-Risk.  More excel functions: descriptive statistics, if, countif,

Solution

Lab 3

Simulating Long-run returns.  Geo vs. Arithmetic means

Solution

Lab 4

Building CALs, Indifference Curves

Solution

Lab 5

Building an Opportunity Set with 2 risky assets

(Also: t-test, F-test)

Solution

Lab 6

Opportunity Sets with Multiple Assets and rf

Solutions

Holden

Lab 7

Estimating SCLs

Solution

Lab 8

SCLs cont.; Using WRDS and CRSP

Solution

Lab 9

Using Fama French factors; autocorrelation and tests of weak form efficiency.

Solutions

Lab 10

Expectations Hypothesis.  Nice theory, does it work?

Solution

Lab 10b

Multiple Regressions in Excel and SPSS

(We did different ones in each class; the attached solution is from last year’s class so the data end in 2007)

Solution

Lab 11

Portfolio Performance Evaluation

Solution

Lab 12

PEs and long-run returns

Last test of CAPM (template here)

Solutions

Solution

Crocs

 

 

 

 

Yet another autocorrelation example from last year’s class here and here.

 

Homework

 

   BKM Chapter 5: 1, 7, 9, 10, 11; CFA problems 3&4

   BKM Chapter 6: 4, 5, 13, 17 18; CFA problems 1, 2, 4, 5, 7

   BKM Chapter 7: CFA problems 4, 6, 8, 9, 10, 12a

   BKM Chapter 8: 5-12 (except 8d) CFA problems 2-5

            One additional problem here

 

   BKM Chapter 9: 1-3, 6, 13-15, CFA problems 2-7

   BKM Chapter 11: 1-3, 7, 10, 20

   BKM Chapter 13:  Do the “Standard and Poor’s Problem” (top box of pg. 444).  One change is that you will use WRDS/CRSP rather than the data sources they suggest.  Otherwise, do the problem as stated.  (You can do this all in one spreadsheet.)  Report the alpha, beta and R2 for all ten regressions.

   BKM Chapter 15: 4, 6, CFA problems 1, 2 and 4.

   BKM Chapter 16: 2, 4, 6

   BKM Chapter 18: 3, 6, 8

   BKM Chapter 24: 7, 8a, 9, 14, CFA 4-6

 

Old Tests (for additional practice)

 

   2008 Midterm 1                    Solutions

   2009 Midterm 1 (Water)       Solutions

   2009 Midterm 1 (Juice)         Solutions

   2009 Midterm 1 (Milk)          Solutions

 

   Solution to Pop Quiz given in Lab 3/13

   Solution to Pop Quiz given in Lab 4/03

   Solution to Pop Quiz given in Lab 4/17

 

 

   2009 Midterm 2 (Ampeg)      Solutions

   2009 Midterm 2 (Fender)      Solutions

   2009 Midterm 2 (Gibson)      Solutions

   2009 Midterm 2 (Vox)          Solutions

 

   Final Exam from 2008 (Paper and Pencil)   Solutions

   Final Exam from 2008 (Lab Component)    Solutions

 

Homework Solutions

 

   Ch 5

   Ch 6

   Ch 7

   Ch 8

   Ch 9

   Ch 11

   Ch 13

   Ch 15

   Ch 16

   Ch 18

   Ch 24

 

One recommended strategy for studying for the midterm (what-I-would-do-if-I-were-you... maybe even in this order):

 

1) Review the lecture notes in your binder.

·        For every problem (e.g. the scenario analysis table on pg. 17) replicate the solution.  This is the most important step.  Don’t just tell yourself “yeah I could replicate it if I had to.”  Actually do it!  Try it with different numbers if necessary to make sure you really get it.

·        For every graph/picture, be sure you can talk through the intuition.  Imagine that you are teaching it to someone else.  Explain its shape, slope/curvature.

 

2) Review the homework problems.  Try them again with different numbers if you’re not 100% sure.

 

3) Review the labs.  Obviously, you’ll want to know what excel functions were used.  But try to see the big picture.  That is, be sure you can state for each lab what the goal was, and what the main result was.

 

3) Take my practice midterm above without looking at the solution first.  Then grade it.  Use this as a diagnostic for what may have gone wrong in steps (1)-(3).