Assignment: Write a short research paper (roughly 5 pages)
Be sure to properly cite your work & include a “References” section (any
citation format is fine). The goal of
this research project it to first using simple linear regression to analyze the
volatility of a stock of your choice.
The second part of the assignment is to do some simple forecasting
analyses of the stock and examine your findings.
FYI: retrieved the data from Yahoo
Finance
Analyses:
* Choose
one unique stock from Yahoo Finance (note that each student will choose a
different stock).
1. CAPM (Capital Asset Pricing Model) → Use
simple regression to perform a CAPM analysis and interpret your results.
2. Simple Forecasting Methods → Compare
the methods and determine which method yields the best 1-year forecast for your
stock (e.g. mean, naïve, seasonal naïve, drift).
3. Reg with trend and seasonal dummy
variables → Fit a regression line with a trend and seasonal dummy variables
to get a 1-year forecast of your stock.
4. Excel Trendline Forecast → Use Excel’s
trendline tools to get a 1-year forecast.
Suggested sections:
I. Abstract
II. Literature and Background
III. Data and Analysis
• Interpret
the results from your CAPM. How does
your stock compare to the market?
• What is
your best simple forecasting method?
Show the results.
• Findings
from the trend/seasonal regression… Is
the trend/seasonal aspect statistically significant?
• What is
your best “trendline forecast”? Show
your results.
• Please
include any relevant Figures and Tables.
Please include a table that compares the monthly forecasts for each of
the three forecasting methods from sections 2-4.
IV. Conclusion
V. References/Works Cited
