1.Download stock prices of ten companies publicly listed on SGX namely a. C09 CityDev b. C52 Comfort Delgro c. D05 DBS d. G13 Genting Sing e. MC0 Global Logistics f. C6L Singapore Airlines(SIA) g. S08 Siingpost h. CC3 Starhub i. F34 Wilmar j. BS6 YZJ Shipbldg
2. And for the benchmark index FTSE STI – 60 monthly closing prices for each of the ten stocks and the index.
3. Use the http://finance.yahoo.com(click the Investing tab followed by the Historical Prices tab to obtain the prices.
4. Use data from December 2009 to December 2014 to generate 60 monthly returns.
5. Calculate the annualised average return, standard deviation of the returns, correlation and beta of the ten stocks.
6. Review the return, standard deviation and beta from Q5 as well as identify any companies that appear to violate the risk and return trade-off concept. Discuss whether the concept of portfolio theory holds – in that portfolio risk is minimised by holding a well-diversified portfolio of shares(such as the All Ordinaries Index portfolio).
7. Apply the CAPM equation to predict the expected returns of these shares.(Hint: must obtain the average return on the government securities). Compare the companies’ actual average return performance during January 2015 – December 2015 with that expected by Capital Asset Pricing Model(CAPM), and discuss what these results suggest about the accuracy of the CAPM as a return-estimating model. Do the return consistent with the results of this CAPM evaluation.?
8. Write a one page Executive Summary report.
