Distributional Properties of Returns - Working with Autocorrelation Functions - Management Assignment Help

Assignment Task:

A. Obtaining and Transforming the Data:
1. Download daily and monthly adjusted closing prices for 12 years for the same company you used for the first team project (Recall that each team member had to choose a company for the team project that you submitted before Baruch was closed).
2. Annualize the daily data. See pages 2 – 6 of your textbook.
3. Annualize the Monthly data. See pages 2 – 6 of your textbook.
4. Plot the daily prices versus time (days)
5. Plot the annualized prices (obtained from daily prices) versus time (years).
6. Plot the monthly prices versus time (months).
7. Plot the annualized prices (obtained from monthly prices) versus time (years).
8. Describe, Explain, Compare and Contrast.

B. Calculating Simple and Logarithmic (Continuously Compounded) Returns:
Daily Simple and Logarithmic Returns:
1. Calculate (simple) returns as percentage changes in daily prices. See pages 2 – 6 of your textbook. [This is equal to (p(t) - p(t-1))/(p(t-1)].
2. Calculate daily logarithmic returns (continuously compounded). See pages 2 – 6 of your textbook. [This is equal to Ln((p(t)/(p(t-1))]. Monthly Simple and Logarithmic Returns:
3. Calculate (simple) returns as percentage changes in monthly prices.
4. Calculate monthly logarithmic returns (continuously compounded).
5. Describe, Explain, Compare and Contrast.

C. Distributional Properties of Returns (See pages 20-27 of your textbook):
1. Compute the moments for the continuously compounded (logarithmic) daily returns.
2. Do these daily logarithmic returns come from a normal distribution? Present JB test results.
3. Compute the moments for the continuously compounded (logarithmic) monthly returns.
4. Do these monthly logarithmic returns come from a normal distribution? Present JB test results.
5. Describe, Explain, Compare and Contrast.

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