## 这是一篇来自美国的关于预测和风险分析的作业代写

1- Download monthly data for the time period 2018M1 –  2022M12, for Apple Corporation (AAPL) and S&P 500. Do the following estimates and the tests:

1. Estimate a one-factor CAPM for AAPL.
2. Estimate CAPM for AAPL including intercept and slope dummies for the shut-down of the economy in March, 2020 for three months.  Did the shut-down have any effect on the valuation of the Apple corporation?
3.  Estimate a three-factor CAPM for AAPL. How does this model differ from the one in part “a”.  What is the reason for inclusion of the other two variables in the model?
4. Estimate a three-factor CAPM for AAPL including intercept and slope dummies.

1.  A financial analyst is testing the performance of four portfolios where two are domestic (A and B) and the other two are foreign (C and D). The average annual returns on each portfolio for the past ten years are listed below: Note: (For each question, clearly define your hypothesis, find the relevant statistics, and statistically declare what your conclusion is.)

Year: 2005, 2006, 2007, 2008, 2009, 2010, 2011, 2012, 2013, 2014Returns to A:  4.5,  3.8,   4.8,    3.7,    2.1,    3.1,    4.3,    7.9,    6.2,    6.6Returns to B:  6.8,  5.2,   5.9,    5.7,    3.2,    1.8,    2.9,    8.2,    7.2,    9.1Returns to C:  3.6,  4.7,   6.5,    3.5,    2.8,    2.2,    3.5,   5.6,     4.2,    5.9

Returns to D:  4.6,  3.2,   5.5,    2.9,    4.8,    4.0,    2.5,   5.3,     3.2,    6.1

1. Test the hypothesis that the mean returns of all four portfolios are not statistically different from each other.
2. Does data indicate any one portfolio have a better performance than the others? If so, which portfolio and by how much.
3. Test whether the recession of 2008– 2009 had any effect on the mean returns of the portfolios. If the recession was a significant factor, what was the effect of the recession on return to each portfolio? Note: The great recession happened during 2007M12 – 2009M6. Since data is annual data, take 2008 and 2009 as the years of recession.
4. For each portfolio find the mean return during the recession and no-recession periods.
5. Test whether the portfolios’ origin (domestic/foreign) had any affect on the average return to portfolios.  If so, by how much.

3- Using historical data, demand for a good (i) is estimated in terms of its own price (Pi), price of its complement (Pc), price of its substitute (Ps), income (Y), and advertising (A). All the variables are in natural logarithm forms and all the coefficients of the demand model are statistically significant.    LnQit = 915 – 1.5LnPit – 0.3LnPct + 0.9LnPst + 0.009LnYt + 0.045LnADtt-stats  (2.85)   (-3.25)         (-5.2)             (1.75)            (6.03)                (4.22)

R2 = .78

Adj R2 = .76

F = 86.5

P_value for F = .001

In 2022, 55000 units of the good were sold in the market at an average market price of \$200.  The substitute good, which is an import from Europe, was selling on average 25000 units at the market price of \$180.00.  The price of the complement good was \$30.00 each.  The consumers of the good had an average income of  \$120,000 a year.  For year 2023, the management has decided to increase the price of the good (i) by 5%.  Also, the government estimate of income growth for 2023 is 4%.  As well, it is expected that the government will levy an import tax of 10% on price of import substitute for good (i).  In year 2022, the company was spending \$2800000 on advertising. Answer the following questions based on the given information.  a- With respect to price, what kind of good is (i).  For a high demand season, should the company increase the price or decrease it?b- With respect to income, what type of good is (i)?Is the amount of money spent on advertising right amount? Should the company spend more on advertising or less?  Why?What is your forecast of the quantity demanded for 2023?What is the optimum amount of advertising spending for 2023?

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