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2015-06-18 来源: 51due教员组 类别: Paper范文
本文主要是一篇经济方面的paper。文章主要是一篇有关于经济本文旨在使用真正的市场数据字和用CAPM模型来描述的方法去选择一个合理的证券投资区协助你投资你的资金。
Abstract: In this paper, it is intended to use the market data from the real word and use CAPM model to describe the method of choose a reasonable stock to invest your money according to some reasonable theory.
Introduction: Investment is the current commitment of money or otherresources in the expectation of reaping future benefits. If anyone has a amount of money to invest, assuming about 100 K as a good amount of money to invest, so how to maximum your wealth and do not waste your money in running against the inflation, we need to know some basic investment rules and skills and try everything to protect our money because they are really scarce. So, what on the earth can we choose to do and analyze. I will show you in my paper some simple methods you can use when facing choice between financial markets.
Model: Capital Asset Pricing and Arbitrage Pricing Theory
The CAPM provides a precise relationship between the systematic risk of an asset measured by beta and its required rate of return. A market-index portfolio, Rm; Ri =βiRm + αi + ei . where α is a firm-specific return, ei is zero-mean " noise", of firm specific risk. The conditional return on market excess return is E(Ri/RM) =βiRm + αi .
The capital asset pricing theory, required rate of return of an investment required depends on the following three factors: (1) risk-free rate, ie treasury bonds (or bank deposits) (2) the average market return rate, which is the average rate of return of the market, the same as if an investment exposure to the average level of risk and market risk, the same as the average rate of return and the market rate of return; systematic risk factors (3) β coefficient, the relationship between the company and the market level.
CAPM theory is the core of modern financial theory, his role is mainly due to: predict the expected rate of return by the standard deviation of the quantitative relationship and to consider the different securities have been listed in the price of securities "reasonableness"; may help determine prepare listed securities Price; able to estimate the impact of various macroeconomic and macro-economic changes in securities prices.
Numbers:
How to calculate β, how to realize diversification, you have so many choices, in this paper , I only choose two or three as a example. For example , choose between two different sectors, not two company in a sector. You can see the two chart below, energy and healthcare , when energy is above the market , the healthcare is below the market. So to a extent , they are contradictory to each other and act at a good complementary function for your money.
What I want to take a example as a example is technology ,because they are usually better than the normal sector . of course, it is owing to information and technology age. I choose the data from Apple lnc./Western Digital Corp/SanDisk Corporation including historical prices, Income statement , balance sheet and cash flow. And they are also quite famous company.
Firstly, let us just compare the E(R). Every day the stock has a fluctuate price.
Apple lnc 21-Jul-14 18-Jul-14 17-Jul-14 16-Jul-14 15-Jul-14 14-Jul-14 11-Jul-14 10-Jul-14 9-Jul-14 8-Jul-14
Close 93.94 94.43 93.09 94.78 95.32 96.45 95.22 95.04 95.39 95.35
Use recent 30 days as a example. We can see difference in these three companys.
Apple lnc. SanDisk Corporation Western Digital Corp
1 -0.005189029 -0.008675413 -0.004323346
2 0.014394672 0.014054286 0.013346918
3 -0.017830766 -0.135583789 -0.030425763
4 -0.005665128 0.021504358 0.025529328
5 -0.011715915 -0.000284118 0.002844661
6 0.012917454 0.005906449 0.006750537
7 0.001893939 0.011564036 0.024735353
8 -0.003669148 -0.004604317 0.011770944
9 0.000419507 0 -0.000635863
10 -0.006460352 -0.020206767 -0.014311083
11 0.020631713 -0.003372049 -0.008390305
12 0.005883611 0.007169811 0.00646372
13 -0.000427716 0.005883469 0.015456278
14 0.006348865 0.009097003 0.02340195
15 0.010328332 0.016449289 -0.006458558
16 0.011881188 0.000974279 0.010991403
17 0.005976096 -0.003591884 -0.000543833
18 0.000886132 0.008616469 0.014566321
19 -0.006055268 0 -0.010590676
20 -0.000879991 0.001470877 0.001421386
21 -0.010341825 -0.002152642 0.001971954
22 -0.003471469 -0.001075164 -0.018389074
23 0.001086012 -0.009008136 0.007257366
24 -0.001301518 0.012156863 0.009403018
25 0.010078878 0.035848482 -0.007164568
26 -0.010943764 -0.00152099 0.026521061
27 -0.01672704 -0.010435481 -0.010584344
28 -0.004137931 0.025941939 -0.000881251
29 0.005869797 -0.010492004 -0.009384548
Average 0.000130322 -0.001185005 0.002770655
This is just Arithmetic average, and from the data, we can see growth in Western Digital Corp is fastest.
And we can also calculate geometric average of these three in these three days.
Apple lnc. SanDisk Corporation Western Digital Corp
0.00008527334738 -0.00155 0.002589
And then, compare these data with the industry average, which we can use may index data. I will choose S&P 500. Using the regression or excel to see the relationship between the company and the industry.
For Western Digital Corp, βis biggest, and its relationship with industry development is most relevant.
What’s more, we can also use Income statement , balance sheet and cash flow to measure the development of the company and estimate the real price of the stock. We can carry out our analysis for the macro level, industry level and the company level, including its employees and managements, cash flows, feature product and something like that.
Summary/results:
Investment is very complicated and Interesting. Make your money become more money, it is an art.
From calculation, arithmetic average and geometric average can be different because they are different methods. But sometimes when you use two methods to compare , you may discover they are the same. This is very interesting.
From analysis, we need to learn more and work harder to apply our knowledge into reality.
Conclusion:
In the real world, you may think more about the economic performances of the company and the outcomes of your investment.
Every theory has its own limitations. For example, although the CAPM theory explained in an efficient asset portfolio, β describes the systematic risk in any one asset (non-systematic risk has been offset each other out in the differentiation), and any other risk factors described best as β are inclusive, and it is still regarded as a classic captures the essence of the securities market economy model.And the model itself requires the existence of a series of strict assumptions, so the presence of the CAPM theory of abstraction and simplification of the real economy, with some empirical evidence does not fully comply. And actually ,it is also quite difficult to understand and calculate. You can not use a simple word or method to give a correct answer about your investment. Learn more and practice, and even sometime, luck is very important.
References:
Abstract: In this paper, it is intended to use the market data from the real word and use CAPM model to describe the method of choose a reasonable stock to invest your money according to some reasonable theory.
Introduction: Investment is the current commitment of money or otherresources in the expectation of reaping future benefits. If anyone has a amount of money to invest, assuming about 100 K as a good amount of money to invest, so how to maximum your wealth and do not waste your money in running against the inflation, we need to know some basic investment rules and skills and try everything to protect our money because they are really scarce. So, what on the earth can we choose to do and analyze. I will show you in my paper some simple methods you can use when facing choice between financial markets.
Model: Capital Asset Pricing and Arbitrage Pricing Theory
The CAPM provides a precise relationship between the systematic risk of an asset measured by beta and its required rate of return. A market-index portfolio, Rm; Ri =βiRm + αi + ei . where α is a firm-specific return, ei is zero-mean " noise", of firm specific risk. The conditional return on market excess return is E(Ri/RM) =βiRm + αi .
The capital asset pricing theory, required rate of return of an investment required depends on the following three factors: (1) risk-free rate, ie treasury bonds (or bank deposits) (2) the average market return rate, which is the average rate of return of the market, the same as if an investment exposure to the average level of risk and market risk, the same as the average rate of return and the market rate of return; systematic risk factors (3) β coefficient, the relationship between the company and the market level.
CAPM theory is the core of modern financial theory, his role is mainly due to: predict the expected rate of return by the standard deviation of the quantitative relationship and to consider the different securities have been listed in the price of securities "reasonableness"; may help determine prepare listed securities Price; able to estimate the impact of various macroeconomic and macro-economic changes in securities prices.
Numbers:
How to calculate β, how to realize diversification, you have so many choices, in this paper , I only choose two or three as a example. For example , choose between two different sectors, not two company in a sector. You can see the two chart below, energy and healthcare , when energy is above the market , the healthcare is below the market. So to a extent , they are contradictory to each other and act at a good complementary function for your money.
What I want to take a example as a example is technology ,because they are usually better than the normal sector . of course, it is owing to information and technology age. I choose the data from Apple lnc./Western Digital Corp/SanDisk Corporation including historical prices, Income statement , balance sheet and cash flow. And they are also quite famous company.
Firstly, let us just compare the E(R). Every day the stock has a fluctuate price.
Apple lnc 21-Jul-14 18-Jul-14 17-Jul-14 16-Jul-14 15-Jul-14 14-Jul-14 11-Jul-14 10-Jul-14 9-Jul-14 8-Jul-14
Close 93.94 94.43 93.09 94.78 95.32 96.45 95.22 95.04 95.39 95.35
Use recent 30 days as a example. We can see difference in these three companys.
Apple lnc. SanDisk Corporation Western Digital Corp
1 -0.005189029 -0.008675413 -0.004323346
2 0.014394672 0.014054286 0.013346918
3 -0.017830766 -0.135583789 -0.030425763
4 -0.005665128 0.021504358 0.025529328
5 -0.011715915 -0.000284118 0.002844661
6 0.012917454 0.005906449 0.006750537
7 0.001893939 0.011564036 0.024735353
8 -0.003669148 -0.004604317 0.011770944
9 0.000419507 0 -0.000635863
10 -0.006460352 -0.020206767 -0.014311083
11 0.020631713 -0.003372049 -0.008390305
12 0.005883611 0.007169811 0.00646372
13 -0.000427716 0.005883469 0.015456278
14 0.006348865 0.009097003 0.02340195
15 0.010328332 0.016449289 -0.006458558
16 0.011881188 0.000974279 0.010991403
17 0.005976096 -0.003591884 -0.000543833
18 0.000886132 0.008616469 0.014566321
19 -0.006055268 0 -0.010590676
20 -0.000879991 0.001470877 0.001421386
21 -0.010341825 -0.002152642 0.001971954
22 -0.003471469 -0.001075164 -0.018389074
23 0.001086012 -0.009008136 0.007257366
24 -0.001301518 0.012156863 0.009403018
25 0.010078878 0.035848482 -0.007164568
26 -0.010943764 -0.00152099 0.026521061
27 -0.01672704 -0.010435481 -0.010584344
28 -0.004137931 0.025941939 -0.000881251
29 0.005869797 -0.010492004 -0.009384548
Average 0.000130322 -0.001185005 0.002770655
This is just Arithmetic average, and from the data, we can see growth in Western Digital Corp is fastest.
And we can also calculate geometric average of these three in these three days.
Apple lnc. SanDisk Corporation Western Digital Corp
0.00008527334738 -0.00155 0.002589
And then, compare these data with the industry average, which we can use may index data. I will choose S&P 500. Using the regression or excel to see the relationship between the company and the industry.
For Western Digital Corp, βis biggest, and its relationship with industry development is most relevant.
What’s more, we can also use Income statement , balance sheet and cash flow to measure the development of the company and estimate the real price of the stock. We can carry out our analysis for the macro level, industry level and the company level, including its employees and managements, cash flows, feature product and something like that.
Summary/results:
Investment is very complicated and Interesting. Make your money become more money, it is an art.
From calculation, arithmetic average and geometric average can be different because they are different methods. But sometimes when you use two methods to compare , you may discover they are the same. This is very interesting.
From analysis, we need to learn more and work harder to apply our knowledge into reality.
Conclusion:
In the real world, you may think more about the economic performances of the company and the outcomes of your investment.
Every theory has its own limitations. For example, although the CAPM theory explained in an efficient asset portfolio, β describes the systematic risk in any one asset (non-systematic risk has been offset each other out in the differentiation), and any other risk factors described best as β are inclusive, and it is still regarded as a classic captures the essence of the securities market economy model.And the model itself requires the existence of a series of strict assumptions, so the presence of the CAPM theory of abstraction and simplification of the real economy, with some empirical evidence does not fully comply. And actually ,it is also quite difficult to understand and calculate. You can not use a simple word or method to give a correct answer about your investment. Learn more and practice, and even sometime, luck is very important.
References:
Google finance
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