30 Apr WHAT IS ITS COUPON RATE, YIELD TO MATURITY, AND MATURITY DATE?
Obtain information for Treasury securities: 3
a. What is the CUSIP of the latest 10-year TIPS? What is its coupon rate (interest rate), yield to maturity, and maturity date?
b. Find the 10-year Treasury note with the closest maturity date with the above 10-year TIPS. What is the CUSIP of the matching T-Note? What is its coupon rate, yield to maturity, and maturity date?
c. What is the expected inflation rate over next 10 year? (hints: the difference between the T-Note yield and TIPS yield)
Part II: Statistical analysis in Excel.
5. Download the Excel file “Project1_Data.xls”. These are the monthly return data for the period January 1996 through December 2002 for the following assets: S&P 500 index, IBM, Microsoft, Caterpillar Inc. Chevron Texaco, Bethlehem Steel, and General Motors (7 return series in total).
Compute their (1) mean value, (2) standard deviation, and (3) covariance matrix. 4
6. Run a simple regression with the data from the “Sheet 2” of “Project1_Data.xls”. Using the T-bill rate, S&P 500 market returns, and stock returns of Disney, compute alpha (intercept of the regression) and beta (slope of the regression) of Disney based on Capital Asset Pricing Model:
where is the stock return of Disney, is the risk-free rate (T-bill rate), is the market return (S&P 500 return). After you regress on , you get the intercept ( ) and the slope ( ). You can ignore the error term ( ) for now. 3
Appendix: step-by-step guidance
1. Download 3-month T-bill rate:
(1) Google “FRED”
(2) Click on “Federal Reserve Economic Data” (http://research.stlouisfed.org/fred2/)
(3) Click on “Releases”
(4) Click on “H.15 Selected Interest Rates” (following the alphabetical order, youll find it)
(5) Click on “3-Month Treasury Bill: Secondary Market Rate” with Freq. = “M”(Monthly)
(6) Click on the figure
(7) Input Observation Date Range: 2014-01-01 to 2014-12-31
(8) Click on “Download Data in Graph”
(9) Open the popup excel and find the data you request (note these data are in percentages).
2. Download Apple historical stock prices:
(1) Go to http://finance.yahoo.com/
(2) Search “Apple”, click on the “GET QUOTES” button
(3) Click on “Historical Prices” on the left panel
(4) Input date from 1/1/2014 to 12/31/2014; Check “Monthly”; Click “Get Prices”
(5) Click on the link “Download to Spreadsheet” below the table.
(6) Open the “table.csv” file. Keep only “Date” and “Adj Close” prices. Delete all other columns (“Adj close” are close prices adjusted for stock splits and dividends)
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