Fundamentals of finance - Asset returns Exercise...
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Asset returns – Exercise 6 Exercise 6 1 2 3 4 5 6 7 8 9 10 11 12 13 14 A B C D E F G H Time in months Logarithmic portfolio return Logarithmic market return Logarithmic risk-free return Portfolio beta Portfolio excess return Market excess return Market-adjusted abnormal return Cumulative abnormal return Risk-adjusted abnormal return Cumulative abnormal return 1 2 3 4 5 6 7 0.0605 0.0566 0.0142 - 0.0236 0.0630 - 0.0762 0.0482 0.0138 0.0422 0.0126 - 0.0112 0.0428 - 0.0682 0.0366 0.0007 0.0008 0.0011 0.0009 0.0010 0.0008 0.0006 1.25 1. Calculate portfolio excess returns. Jukka Perttunen Fundamentals of finance
Transcript of Fundamentals of finance - Asset returns Exercise...
Asset returns – Exercise 6
Exercise 6
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12
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14
A B C D E F G H
Time in months
Logarithmic portfolio return
Logarithmic market return
Logarithmic risk-free return
Portfolio beta
Portfolio excess return
Market excess return
Market-adjusted abnormal return
Cumulative abnormal return
Risk-adjusted abnormal return
Cumulative abnormal return
1 2 3 4 5 6 7
0.0605 0.0566 0.0142− 0.0236 0.0630− 0.0762 0.0482
0.0138 0.0422 0.0126− 0.0112 0.0428− 0.0682 0.0366
0.0007 0.0008 0.0011 0.0009 0.0010 0.0008 0.0006
1.25
1. Calculate portfolio excess returns.
B7: = B2−B4
0.0598
Copy B7 to C7:H7.
0.0558 0.0153− 0.0227 0.0640− 0.0754 0.0476
Jukka Perttunen Fundamentals of finance
Asset returns – Exercise 6
Exercise 6
1
2
3
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7
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9
10
11
12
13
14
A B C D E F G H
Time in months
Logarithmic portfolio return
Logarithmic market return
Logarithmic risk-free return
Portfolio beta
Portfolio excess return
Market excess return
Market-adjusted abnormal return
Cumulative abnormal return
Risk-adjusted abnormal return
Cumulative abnormal return
1 2 3 4 5 6 7
0.0605 0.0566 0.0142− 0.0236 0.0630− 0.0762 0.0482
0.0138 0.0422 0.0126− 0.0112 0.0428− 0.0682 0.0366
0.0007 0.0008 0.0011 0.0009 0.0010 0.0008 0.0006
1.25
1. Calculate portfolio excess returns.
B7: = B2−B4
0.0598
Copy B7 to C7:H7.
0.0558 0.0153− 0.0227 0.0640− 0.0754 0.0476
Jukka Perttunen Fundamentals of finance
Asset returns – Exercise 6
Exercise 6
1
2
3
4
5
6
7
8
9
10
11
12
13
14
A B C D E F G H
Time in months
Logarithmic portfolio return
Logarithmic market return
Logarithmic risk-free return
Portfolio beta
Portfolio excess return
Market excess return
Market-adjusted abnormal return
Cumulative abnormal return
Risk-adjusted abnormal return
Cumulative abnormal return
1 2 3 4 5 6 7
0.0605 0.0566 0.0142− 0.0236 0.0630− 0.0762 0.0482
0.0138 0.0422 0.0126− 0.0112 0.0428− 0.0682 0.0366
0.0007 0.0008 0.0011 0.0009 0.0010 0.0008 0.0006
1.25
1. Calculate portfolio excess returns.
B7: = B2−B4
0.0598
Copy B7 to C7:H7.
0.0558 0.0153− 0.0227 0.0640− 0.0754 0.0476
Jukka Perttunen Fundamentals of finance
Asset returns – Exercise 6
Exercise 6
1
2
3
4
5
6
7
8
9
10
11
12
13
14
A B C D E F G H
Time in months
Logarithmic portfolio return
Logarithmic market return
Logarithmic risk-free return
Portfolio beta
Portfolio excess return
Market excess return
Market-adjusted abnormal return
Cumulative abnormal return
Risk-adjusted abnormal return
Cumulative abnormal return
1 2 3 4 5 6 7
0.0605 0.0566 0.0142− 0.0236 0.0630− 0.0762 0.0482
0.0138 0.0422 0.0126− 0.0112 0.0428− 0.0682 0.0366
0.0007 0.0008 0.0011 0.0009 0.0010 0.0008 0.0006
1.25
1. Calculate portfolio excess returns.
B7: = B2−B4
0.0598
Copy B7 to C7:H7.
0.0558 0.0153− 0.0227 0.0640− 0.0754 0.0476
Jukka Perttunen Fundamentals of finance
Asset returns – Exercise 6
Exercise 6
1
2
3
4
5
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7
8
9
10
11
12
13
14
A B C D E F G H
Time in months
Logarithmic portfolio return
Logarithmic market return
Logarithmic risk-free return
Portfolio beta
Portfolio excess return
Market excess return
Market-adjusted abnormal return
Cumulative abnormal return
Risk-adjusted abnormal return
Cumulative abnormal return
1 2 3 4 5 6 7
0.0605 0.0566 0.0142− 0.0236 0.0630− 0.0762 0.0482
0.0138 0.0422 0.0126− 0.0112 0.0428− 0.0682 0.0366
0.0007 0.0008 0.0011 0.0009 0.0010 0.0008 0.0006
1.25
1. Calculate portfolio excess returns.
B7: = B2−B4
0.0598
Copy B7 to C7:H7.
0.0558 0.0153− 0.0227 0.0640− 0.0754 0.0476
Jukka Perttunen Fundamentals of finance
Asset returns – Exercise 6
Exercise 6
1
2
3
4
5
6
7
8
9
10
11
12
13
14
A B C D E F G H
Time in months
Logarithmic portfolio return
Logarithmic market return
Logarithmic risk-free return
Portfolio beta
Portfolio excess return
Market excess return
Market-adjusted abnormal return
Cumulative abnormal return
Risk-adjusted abnormal return
Cumulative abnormal return
1 2 3 4 5 6 7
0.0605 0.0566 0.0142− 0.0236 0.0630− 0.0762 0.0482
0.0138 0.0422 0.0126− 0.0112 0.0428− 0.0682 0.0366
0.0007 0.0008 0.0011 0.0009 0.0010 0.0008 0.0006
1.25
0.0598 0.0558 0.0153− 0.0227 0.0640− 0.0754 0.0476
2. Calculate market excess returns.
B8: = B3−B4
0.0131
Copy B8 to C8:H8.
0.0414 0.0137− 0.0103 0.0438− 0.0674 0.0360
Jukka Perttunen Fundamentals of finance
Asset returns – Exercise 6
Exercise 6
1
2
3
4
5
6
7
8
9
10
11
12
13
14
A B C D E F G H
Time in months
Logarithmic portfolio return
Logarithmic market return
Logarithmic risk-free return
Portfolio beta
Portfolio excess return
Market excess return
Market-adjusted abnormal return
Cumulative abnormal return
Risk-adjusted abnormal return
Cumulative abnormal return
1 2 3 4 5 6 7
0.0605 0.0566 0.0142− 0.0236 0.0630− 0.0762 0.0482
0.0138 0.0422 0.0126− 0.0112 0.0428− 0.0682 0.0366
0.0007 0.0008 0.0011 0.0009 0.0010 0.0008 0.0006
1.25
0.0598 0.0558 0.0153− 0.0227 0.0640− 0.0754 0.0476
2. Calculate market excess returns.
B8: = B3−B4
0.0131
Copy B8 to C8:H8.
0.0414 0.0137− 0.0103 0.0438− 0.0674 0.0360
Jukka Perttunen Fundamentals of finance
Asset returns – Exercise 6
Exercise 6
1
2
3
4
5
6
7
8
9
10
11
12
13
14
A B C D E F G H
Time in months
Logarithmic portfolio return
Logarithmic market return
Logarithmic risk-free return
Portfolio beta
Portfolio excess return
Market excess return
Market-adjusted abnormal return
Cumulative abnormal return
Risk-adjusted abnormal return
Cumulative abnormal return
1 2 3 4 5 6 7
0.0605 0.0566 0.0142− 0.0236 0.0630− 0.0762 0.0482
0.0138 0.0422 0.0126− 0.0112 0.0428− 0.0682 0.0366
0.0007 0.0008 0.0011 0.0009 0.0010 0.0008 0.0006
1.25
0.0598 0.0558 0.0153− 0.0227 0.0640− 0.0754 0.0476
2. Calculate market excess returns.
B8: = B3−B4
0.0131
Copy B8 to C8:H8.
0.0414 0.0137− 0.0103 0.0438− 0.0674 0.0360
Jukka Perttunen Fundamentals of finance
Asset returns – Exercise 6
Exercise 6
1
2
3
4
5
6
7
8
9
10
11
12
13
14
A B C D E F G H
Time in months
Logarithmic portfolio return
Logarithmic market return
Logarithmic risk-free return
Portfolio beta
Portfolio excess return
Market excess return
Market-adjusted abnormal return
Cumulative abnormal return
Risk-adjusted abnormal return
Cumulative abnormal return
1 2 3 4 5 6 7
0.0605 0.0566 0.0142− 0.0236 0.0630− 0.0762 0.0482
0.0138 0.0422 0.0126− 0.0112 0.0428− 0.0682 0.0366
0.0007 0.0008 0.0011 0.0009 0.0010 0.0008 0.0006
1.25
0.0598 0.0558 0.0153− 0.0227 0.0640− 0.0754 0.0476
2. Calculate market excess returns.
B8: = B3−B4
0.0131
Copy B8 to C8:H8.
0.0414 0.0137− 0.0103 0.0438− 0.0674 0.0360
Jukka Perttunen Fundamentals of finance
Asset returns – Exercise 6
Exercise 6
1
2
3
4
5
6
7
8
9
10
11
12
13
14
A B C D E F G H
Time in months
Logarithmic portfolio return
Logarithmic market return
Logarithmic risk-free return
Portfolio beta
Portfolio excess return
Market excess return
Market-adjusted abnormal return
Cumulative abnormal return
Risk-adjusted abnormal return
Cumulative abnormal return
1 2 3 4 5 6 7
0.0605 0.0566 0.0142− 0.0236 0.0630− 0.0762 0.0482
0.0138 0.0422 0.0126− 0.0112 0.0428− 0.0682 0.0366
0.0007 0.0008 0.0011 0.0009 0.0010 0.0008 0.0006
1.25
0.0598 0.0558 0.0153− 0.0227 0.0640− 0.0754 0.0476
2. Calculate market excess returns.
B8: = B3−B4
0.0131
Copy B8 to C8:H8.
0.0414 0.0137− 0.0103 0.0438− 0.0674 0.0360
Jukka Perttunen Fundamentals of finance
Asset returns – Exercise 6
Exercise 6
1
2
3
4
5
6
7
8
9
10
11
12
13
14
A B C D E F G H
Time in months
Logarithmic portfolio return
Logarithmic market return
Logarithmic risk-free return
Portfolio beta
Portfolio excess return
Market excess return
Market-adjusted abnormal return
Cumulative abnormal return
Risk-adjusted abnormal return
Cumulative abnormal return
1 2 3 4 5 6 7
0.0605 0.0566 0.0142− 0.0236 0.0630− 0.0762 0.0482
0.0138 0.0422 0.0126− 0.0112 0.0428− 0.0682 0.0366
0.0007 0.0008 0.0011 0.0009 0.0010 0.0008 0.0006
1.25
0.0598 0.0558 0.0153− 0.0227 0.0640− 0.0754 0.0476
0.0131 0.0414 0.0137− 0.0103 0.0438− 0.0674 0.0360
3. Calculate market-adjusted abnormal returns of the portfolio.
B10: = B2−B3
0.0467
Copy B10 to C10:H10.
0.0144 0.0016− 0.0124 0.0202− 0.0080 0.0116
Jukka Perttunen Fundamentals of finance
Asset returns – Exercise 6
Exercise 6
1
2
3
4
5
6
7
8
9
10
11
12
13
14
A B C D E F G H
Time in months
Logarithmic portfolio return
Logarithmic market return
Logarithmic risk-free return
Portfolio beta
Portfolio excess return
Market excess return
Market-adjusted abnormal return
Cumulative abnormal return
Risk-adjusted abnormal return
Cumulative abnormal return
1 2 3 4 5 6 7
0.0605 0.0566 0.0142− 0.0236 0.0630− 0.0762 0.0482
0.0138 0.0422 0.0126− 0.0112 0.0428− 0.0682 0.0366
0.0007 0.0008 0.0011 0.0009 0.0010 0.0008 0.0006
1.25
0.0598 0.0558 0.0153− 0.0227 0.0640− 0.0754 0.0476
0.0131 0.0414 0.0137− 0.0103 0.0438− 0.0674 0.0360
3. Calculate market-adjusted abnormal returns of the portfolio.
B10: = B2−B3
0.0467
Copy B10 to C10:H10.
0.0144 0.0016− 0.0124 0.0202− 0.0080 0.0116
Jukka Perttunen Fundamentals of finance
Asset returns – Exercise 6
Exercise 6
1
2
3
4
5
6
7
8
9
10
11
12
13
14
A B C D E F G H
Time in months
Logarithmic portfolio return
Logarithmic market return
Logarithmic risk-free return
Portfolio beta
Portfolio excess return
Market excess return
Market-adjusted abnormal return
Cumulative abnormal return
Risk-adjusted abnormal return
Cumulative abnormal return
1 2 3 4 5 6 7
0.0605 0.0566 0.0142− 0.0236 0.0630− 0.0762 0.0482
0.0138 0.0422 0.0126− 0.0112 0.0428− 0.0682 0.0366
0.0007 0.0008 0.0011 0.0009 0.0010 0.0008 0.0006
1.25
0.0598 0.0558 0.0153− 0.0227 0.0640− 0.0754 0.0476
0.0131 0.0414 0.0137− 0.0103 0.0438− 0.0674 0.0360
3. Calculate market-adjusted abnormal returns of the portfolio.
B10: = B2−B3
0.0467
Copy B10 to C10:H10.
0.0144 0.0016− 0.0124 0.0202− 0.0080 0.0116
Jukka Perttunen Fundamentals of finance
Asset returns – Exercise 6
Exercise 6
1
2
3
4
5
6
7
8
9
10
11
12
13
14
A B C D E F G H
Time in months
Logarithmic portfolio return
Logarithmic market return
Logarithmic risk-free return
Portfolio beta
Portfolio excess return
Market excess return
Market-adjusted abnormal return
Cumulative abnormal return
Risk-adjusted abnormal return
Cumulative abnormal return
1 2 3 4 5 6 7
0.0605 0.0566 0.0142− 0.0236 0.0630− 0.0762 0.0482
0.0138 0.0422 0.0126− 0.0112 0.0428− 0.0682 0.0366
0.0007 0.0008 0.0011 0.0009 0.0010 0.0008 0.0006
1.25
0.0598 0.0558 0.0153− 0.0227 0.0640− 0.0754 0.0476
0.0131 0.0414 0.0137− 0.0103 0.0438− 0.0674 0.0360
3. Calculate market-adjusted abnormal returns of the portfolio.
B10: = B2−B3
0.0467
Copy B10 to C10:H10.
0.0144 0.0016− 0.0124 0.0202− 0.0080 0.0116
Jukka Perttunen Fundamentals of finance
Asset returns – Exercise 6
Exercise 6
1
2
3
4
5
6
7
8
9
10
11
12
13
14
A B C D E F G H
Time in months
Logarithmic portfolio return
Logarithmic market return
Logarithmic risk-free return
Portfolio beta
Portfolio excess return
Market excess return
Market-adjusted abnormal return
Cumulative abnormal return
Risk-adjusted abnormal return
Cumulative abnormal return
1 2 3 4 5 6 7
0.0605 0.0566 0.0142− 0.0236 0.0630− 0.0762 0.0482
0.0138 0.0422 0.0126− 0.0112 0.0428− 0.0682 0.0366
0.0007 0.0008 0.0011 0.0009 0.0010 0.0008 0.0006
1.25
0.0598 0.0558 0.0153− 0.0227 0.0640− 0.0754 0.0476
0.0131 0.0414 0.0137− 0.0103 0.0438− 0.0674 0.0360
3. Calculate market-adjusted abnormal returns of the portfolio.
B10: = B2−B3
0.0467
Copy B10 to C10:H10.
0.0144 0.0016− 0.0124 0.0202− 0.0080 0.0116
Jukka Perttunen Fundamentals of finance
Asset returns – Exercise 6
Exercise 6
1
2
3
4
5
6
7
8
9
10
11
12
13
14
A B C D E F G H
Time in months
Logarithmic portfolio return
Logarithmic market return
Logarithmic risk-free return
Portfolio beta
Portfolio excess return
Market excess return
Market-adjusted abnormal return
Cumulative abnormal return
Risk-adjusted abnormal return
Cumulative abnormal return
1 2 3 4 5 6 7
0.0605 0.0566 0.0142− 0.0236 0.0630− 0.0762 0.0482
0.0138 0.0422 0.0126− 0.0112 0.0428− 0.0682 0.0366
0.0007 0.0008 0.0011 0.0009 0.0010 0.0008 0.0006
1.25
0.0598 0.0558 0.0153− 0.0227 0.0640− 0.0754 0.0476
0.0131 0.0414 0.0137− 0.0103 0.0438− 0.0674 0.0360
0.0467 0.0144 0.0016− 0.0124 0.0202− 0.0080 0.0116
4. Calculate cumulative market-adjusted abnormal returns of the portfolio.
B11: = B10
0.0467
C11: = B11+C10
0.0611
Copy C11 to D11:H11.
0.0595 0.0719 0.0517 0.0597 0.0713
Jukka Perttunen Fundamentals of finance
Asset returns – Exercise 6
Exercise 6
1
2
3
4
5
6
7
8
9
10
11
12
13
14
A B C D E F G H
Time in months
Logarithmic portfolio return
Logarithmic market return
Logarithmic risk-free return
Portfolio beta
Portfolio excess return
Market excess return
Market-adjusted abnormal return
Cumulative abnormal return
Risk-adjusted abnormal return
Cumulative abnormal return
1 2 3 4 5 6 7
0.0605 0.0566 0.0142− 0.0236 0.0630− 0.0762 0.0482
0.0138 0.0422 0.0126− 0.0112 0.0428− 0.0682 0.0366
0.0007 0.0008 0.0011 0.0009 0.0010 0.0008 0.0006
1.25
0.0598 0.0558 0.0153− 0.0227 0.0640− 0.0754 0.0476
0.0131 0.0414 0.0137− 0.0103 0.0438− 0.0674 0.0360
0.0467 0.0144 0.0016− 0.0124 0.0202− 0.0080 0.0116
4. Calculate cumulative market-adjusted abnormal returns of the portfolio.
B11: = B10
0.0467
C11: = B11+C10
0.0611
Copy C11 to D11:H11.
0.0595 0.0719 0.0517 0.0597 0.0713
Jukka Perttunen Fundamentals of finance
Asset returns – Exercise 6
Exercise 6
1
2
3
4
5
6
7
8
9
10
11
12
13
14
A B C D E F G H
Time in months
Logarithmic portfolio return
Logarithmic market return
Logarithmic risk-free return
Portfolio beta
Portfolio excess return
Market excess return
Market-adjusted abnormal return
Cumulative abnormal return
Risk-adjusted abnormal return
Cumulative abnormal return
1 2 3 4 5 6 7
0.0605 0.0566 0.0142− 0.0236 0.0630− 0.0762 0.0482
0.0138 0.0422 0.0126− 0.0112 0.0428− 0.0682 0.0366
0.0007 0.0008 0.0011 0.0009 0.0010 0.0008 0.0006
1.25
0.0598 0.0558 0.0153− 0.0227 0.0640− 0.0754 0.0476
0.0131 0.0414 0.0137− 0.0103 0.0438− 0.0674 0.0360
0.0467 0.0144 0.0016− 0.0124 0.0202− 0.0080 0.0116
4. Calculate cumulative market-adjusted abnormal returns of the portfolio.
B11: = B10
0.0467
C11: = B11+C10
0.0611
Copy C11 to D11:H11.
0.0595 0.0719 0.0517 0.0597 0.0713
Jukka Perttunen Fundamentals of finance
Asset returns – Exercise 6
Exercise 6
1
2
3
4
5
6
7
8
9
10
11
12
13
14
A B C D E F G H
Time in months
Logarithmic portfolio return
Logarithmic market return
Logarithmic risk-free return
Portfolio beta
Portfolio excess return
Market excess return
Market-adjusted abnormal return
Cumulative abnormal return
Risk-adjusted abnormal return
Cumulative abnormal return
1 2 3 4 5 6 7
0.0605 0.0566 0.0142− 0.0236 0.0630− 0.0762 0.0482
0.0138 0.0422 0.0126− 0.0112 0.0428− 0.0682 0.0366
0.0007 0.0008 0.0011 0.0009 0.0010 0.0008 0.0006
1.25
0.0598 0.0558 0.0153− 0.0227 0.0640− 0.0754 0.0476
0.0131 0.0414 0.0137− 0.0103 0.0438− 0.0674 0.0360
0.0467 0.0144 0.0016− 0.0124 0.0202− 0.0080 0.0116
4. Calculate cumulative market-adjusted abnormal returns of the portfolio.
B11: = B10
0.0467
C11: = B11+C10
0.0611
Copy C11 to D11:H11.
0.0595 0.0719 0.0517 0.0597 0.0713
Jukka Perttunen Fundamentals of finance
Asset returns – Exercise 6
Exercise 6
1
2
3
4
5
6
7
8
9
10
11
12
13
14
A B C D E F G H
Time in months
Logarithmic portfolio return
Logarithmic market return
Logarithmic risk-free return
Portfolio beta
Portfolio excess return
Market excess return
Market-adjusted abnormal return
Cumulative abnormal return
Risk-adjusted abnormal return
Cumulative abnormal return
1 2 3 4 5 6 7
0.0605 0.0566 0.0142− 0.0236 0.0630− 0.0762 0.0482
0.0138 0.0422 0.0126− 0.0112 0.0428− 0.0682 0.0366
0.0007 0.0008 0.0011 0.0009 0.0010 0.0008 0.0006
1.25
0.0598 0.0558 0.0153− 0.0227 0.0640− 0.0754 0.0476
0.0131 0.0414 0.0137− 0.0103 0.0438− 0.0674 0.0360
0.0467 0.0144 0.0016− 0.0124 0.0202− 0.0080 0.0116
4. Calculate cumulative market-adjusted abnormal returns of the portfolio.
B11: = B10
0.0467
C11: = B11+C10
0.0611
Copy C11 to D11:H11.
0.0595 0.0719 0.0517 0.0597 0.0713
Jukka Perttunen Fundamentals of finance
Asset returns – Exercise 6
Exercise 6
1
2
3
4
5
6
7
8
9
10
11
12
13
14
A B C D E F G H
Time in months
Logarithmic portfolio return
Logarithmic market return
Logarithmic risk-free return
Portfolio beta
Portfolio excess return
Market excess return
Market-adjusted abnormal return
Cumulative abnormal return
Risk-adjusted abnormal return
Cumulative abnormal return
1 2 3 4 5 6 7
0.0605 0.0566 0.0142− 0.0236 0.0630− 0.0762 0.0482
0.0138 0.0422 0.0126− 0.0112 0.0428− 0.0682 0.0366
0.0007 0.0008 0.0011 0.0009 0.0010 0.0008 0.0006
1.25
0.0598 0.0558 0.0153− 0.0227 0.0640− 0.0754 0.0476
0.0131 0.0414 0.0137− 0.0103 0.0438− 0.0674 0.0360
0.0467 0.0144 0.0016− 0.0124 0.0202− 0.0080 0.0116
4. Calculate cumulative market-adjusted abnormal returns of the portfolio.
B11: = B10
0.0467
C11: = B11+C10
0.0611
Copy C11 to D11:H11.
0.0595 0.0719 0.0517 0.0597 0.0713
Jukka Perttunen Fundamentals of finance
Asset returns – Exercise 6
Exercise 6
1
2
3
4
5
6
7
8
9
10
11
12
13
14
A B C D E F G H
Time in months
Logarithmic portfolio return
Logarithmic market return
Logarithmic risk-free return
Portfolio beta
Portfolio excess return
Market excess return
Market-adjusted abnormal return
Cumulative abnormal return
Risk-adjusted abnormal return
Cumulative abnormal return
1 2 3 4 5 6 7
0.0605 0.0566 0.0142− 0.0236 0.0630− 0.0762 0.0482
0.0138 0.0422 0.0126− 0.0112 0.0428− 0.0682 0.0366
0.0007 0.0008 0.0011 0.0009 0.0010 0.0008 0.0006
1.25
0.0598 0.0558 0.0153− 0.0227 0.0640− 0.0754 0.0476
0.0131 0.0414 0.0137− 0.0103 0.0438− 0.0674 0.0360
0.0467 0.0144 0.0016− 0.0124 0.0202− 0.0080 0.0116
4. Calculate cumulative market-adjusted abnormal returns of the portfolio.
B11: = B10
0.0467
C11: = B11+C10
0.0611
Copy C11 to D11:H11.
0.0595 0.0719 0.0517 0.0597 0.0713
Jukka Perttunen Fundamentals of finance
Asset returns – Exercise 6
Exercise 6
1
2
3
4
5
6
7
8
9
10
11
12
13
14
A B C D E F G H
Time in months
Logarithmic portfolio return
Logarithmic market return
Logarithmic risk-free return
Portfolio beta
Portfolio excess return
Market excess return
Market-adjusted abnormal return
Cumulative abnormal return
Risk-adjusted abnormal return
Cumulative abnormal return
1 2 3 4 5 6 7
0.0605 0.0566 0.0142− 0.0236 0.0630− 0.0762 0.0482
0.0138 0.0422 0.0126− 0.0112 0.0428− 0.0682 0.0366
0.0007 0.0008 0.0011 0.0009 0.0010 0.0008 0.0006
1.25
0.0598 0.0558 0.0153− 0.0227 0.0640− 0.0754 0.0476
0.0131 0.0414 0.0137− 0.0103 0.0438− 0.0674 0.0360
0.0467 0.0144 0.0016− 0.0124 0.0202− 0.0080 0.0116
0.0467 0.0611 0.0595 0.0719 0.0517 0.0597 0.0713
5. Calculate risk-adjusted abnormal returns of the portfolio.
B13: = B2−(B4+$B5*B8)
0.0434
Copy B13 to C13:H13.
0.0041 0.0018 0.0098 0.0093− 0.0089− 0.0026
Jukka Perttunen Fundamentals of finance
Asset returns – Exercise 6
Exercise 6
1
2
3
4
5
6
7
8
9
10
11
12
13
14
A B C D E F G H
Time in months
Logarithmic portfolio return
Logarithmic market return
Logarithmic risk-free return
Portfolio beta
Portfolio excess return
Market excess return
Market-adjusted abnormal return
Cumulative abnormal return
Risk-adjusted abnormal return
Cumulative abnormal return
1 2 3 4 5 6 7
0.0605 0.0566 0.0142− 0.0236 0.0630− 0.0762 0.0482
0.0138 0.0422 0.0126− 0.0112 0.0428− 0.0682 0.0366
0.0007 0.0008 0.0011 0.0009 0.0010 0.0008 0.0006
1.25
0.0598 0.0558 0.0153− 0.0227 0.0640− 0.0754 0.0476
0.0131 0.0414 0.0137− 0.0103 0.0438− 0.0674 0.0360
0.0467 0.0144 0.0016− 0.0124 0.0202− 0.0080 0.0116
0.0467 0.0611 0.0595 0.0719 0.0517 0.0597 0.0713
5. Calculate risk-adjusted abnormal returns of the portfolio.
B13: = B2−(B4+$B5*B8)
0.0434
Copy B13 to C13:H13.
0.0041 0.0018 0.0098 0.0093− 0.0089− 0.0026
Jukka Perttunen Fundamentals of finance
Asset returns – Exercise 6
Exercise 6
1
2
3
4
5
6
7
8
9
10
11
12
13
14
A B C D E F G H
Time in months
Logarithmic portfolio return
Logarithmic market return
Logarithmic risk-free return
Portfolio beta
Portfolio excess return
Market excess return
Market-adjusted abnormal return
Cumulative abnormal return
Risk-adjusted abnormal return
Cumulative abnormal return
1 2 3 4 5 6 7
0.0605 0.0566 0.0142− 0.0236 0.0630− 0.0762 0.0482
0.0138 0.0422 0.0126− 0.0112 0.0428− 0.0682 0.0366
0.0007 0.0008 0.0011 0.0009 0.0010 0.0008 0.0006
1.25
0.0598 0.0558 0.0153− 0.0227 0.0640− 0.0754 0.0476
0.0131 0.0414 0.0137− 0.0103 0.0438− 0.0674 0.0360
0.0467 0.0144 0.0016− 0.0124 0.0202− 0.0080 0.0116
0.0467 0.0611 0.0595 0.0719 0.0517 0.0597 0.0713
5. Calculate risk-adjusted abnormal returns of the portfolio.
B13: = B2−(B4+$B5*B8)
0.0434
Copy B13 to C13:H13.
0.0041 0.0018 0.0098 0.0093− 0.0089− 0.0026
Jukka Perttunen Fundamentals of finance
Asset returns – Exercise 6
Exercise 6
1
2
3
4
5
6
7
8
9
10
11
12
13
14
A B C D E F G H
Time in months
Logarithmic portfolio return
Logarithmic market return
Logarithmic risk-free return
Portfolio beta
Portfolio excess return
Market excess return
Market-adjusted abnormal return
Cumulative abnormal return
Risk-adjusted abnormal return
Cumulative abnormal return
1 2 3 4 5 6 7
0.0605 0.0566 0.0142− 0.0236 0.0630− 0.0762 0.0482
0.0138 0.0422 0.0126− 0.0112 0.0428− 0.0682 0.0366
0.0007 0.0008 0.0011 0.0009 0.0010 0.0008 0.0006
1.25
0.0598 0.0558 0.0153− 0.0227 0.0640− 0.0754 0.0476
0.0131 0.0414 0.0137− 0.0103 0.0438− 0.0674 0.0360
0.0467 0.0144 0.0016− 0.0124 0.0202− 0.0080 0.0116
0.0467 0.0611 0.0595 0.0719 0.0517 0.0597 0.0713
5. Calculate risk-adjusted abnormal returns of the portfolio.
B13: = B2−(B4+$B5*B8)
0.0434
Copy B13 to C13:H13.
0.0041 0.0018 0.0098 0.0093− 0.0089− 0.0026
Jukka Perttunen Fundamentals of finance
Asset returns – Exercise 6
Exercise 6
1
2
3
4
5
6
7
8
9
10
11
12
13
14
A B C D E F G H
Time in months
Logarithmic portfolio return
Logarithmic market return
Logarithmic risk-free return
Portfolio beta
Portfolio excess return
Market excess return
Market-adjusted abnormal return
Cumulative abnormal return
Risk-adjusted abnormal return
Cumulative abnormal return
1 2 3 4 5 6 7
0.0605 0.0566 0.0142− 0.0236 0.0630− 0.0762 0.0482
0.0138 0.0422 0.0126− 0.0112 0.0428− 0.0682 0.0366
0.0007 0.0008 0.0011 0.0009 0.0010 0.0008 0.0006
1.25
0.0598 0.0558 0.0153− 0.0227 0.0640− 0.0754 0.0476
0.0131 0.0414 0.0137− 0.0103 0.0438− 0.0674 0.0360
0.0467 0.0144 0.0016− 0.0124 0.0202− 0.0080 0.0116
0.0467 0.0611 0.0595 0.0719 0.0517 0.0597 0.0713
5. Calculate risk-adjusted abnormal returns of the portfolio.
B13: = B2−(B4+$B5*B8)
0.0434
Copy B13 to C13:H13.
0.0041 0.0018 0.0098 0.0093− 0.0089− 0.0026
Jukka Perttunen Fundamentals of finance
Asset returns – Exercise 6
Exercise 6
1
2
3
4
5
6
7
8
9
10
11
12
13
14
A B C D E F G H
Time in months
Logarithmic portfolio return
Logarithmic market return
Logarithmic risk-free return
Portfolio beta
Portfolio excess return
Market excess return
Market-adjusted abnormal return
Cumulative abnormal return
Risk-adjusted abnormal return
Cumulative abnormal return
1 2 3 4 5 6 7
0.0605 0.0566 0.0142− 0.0236 0.0630− 0.0762 0.0482
0.0138 0.0422 0.0126− 0.0112 0.0428− 0.0682 0.0366
0.0007 0.0008 0.0011 0.0009 0.0010 0.0008 0.0006
1.25
0.0598 0.0558 0.0153− 0.0227 0.0640− 0.0754 0.0476
0.0131 0.0414 0.0137− 0.0103 0.0438− 0.0674 0.0360
0.0467 0.0144 0.0016− 0.0124 0.0202− 0.0080 0.0116
0.0467 0.0611 0.0595 0.0719 0.0517 0.0597 0.0713
0.0434 0.0041 0.0018 0.0098 0.0093− 0.0089− 0.0026
6. Calculate cumulative risk-adjusted abnormal returns of the portfolio.
B14: = B13
0.0434
C14: = B14+C13
0.0475
Copy C11 to D11:H11.
0.0493 0.0591 0.0499 0.0410 0.0436
Jukka Perttunen Fundamentals of finance
Asset returns – Exercise 6
Exercise 6
1
2
3
4
5
6
7
8
9
10
11
12
13
14
A B C D E F G H
Time in months
Logarithmic portfolio return
Logarithmic market return
Logarithmic risk-free return
Portfolio beta
Portfolio excess return
Market excess return
Market-adjusted abnormal return
Cumulative abnormal return
Risk-adjusted abnormal return
Cumulative abnormal return
1 2 3 4 5 6 7
0.0605 0.0566 0.0142− 0.0236 0.0630− 0.0762 0.0482
0.0138 0.0422 0.0126− 0.0112 0.0428− 0.0682 0.0366
0.0007 0.0008 0.0011 0.0009 0.0010 0.0008 0.0006
1.25
0.0598 0.0558 0.0153− 0.0227 0.0640− 0.0754 0.0476
0.0131 0.0414 0.0137− 0.0103 0.0438− 0.0674 0.0360
0.0467 0.0144 0.0016− 0.0124 0.0202− 0.0080 0.0116
0.0467 0.0611 0.0595 0.0719 0.0517 0.0597 0.0713
0.0434 0.0041 0.0018 0.0098 0.0093− 0.0089− 0.0026
6. Calculate cumulative risk-adjusted abnormal returns of the portfolio.
B14: = B13
0.0434
C14: = B14+C13
0.0475
Copy C11 to D11:H11.
0.0493 0.0591 0.0499 0.0410 0.0436
Jukka Perttunen Fundamentals of finance
Asset returns – Exercise 6
Exercise 6
1
2
3
4
5
6
7
8
9
10
11
12
13
14
A B C D E F G H
Time in months
Logarithmic portfolio return
Logarithmic market return
Logarithmic risk-free return
Portfolio beta
Portfolio excess return
Market excess return
Market-adjusted abnormal return
Cumulative abnormal return
Risk-adjusted abnormal return
Cumulative abnormal return
1 2 3 4 5 6 7
0.0605 0.0566 0.0142− 0.0236 0.0630− 0.0762 0.0482
0.0138 0.0422 0.0126− 0.0112 0.0428− 0.0682 0.0366
0.0007 0.0008 0.0011 0.0009 0.0010 0.0008 0.0006
1.25
0.0598 0.0558 0.0153− 0.0227 0.0640− 0.0754 0.0476
0.0131 0.0414 0.0137− 0.0103 0.0438− 0.0674 0.0360
0.0467 0.0144 0.0016− 0.0124 0.0202− 0.0080 0.0116
0.0467 0.0611 0.0595 0.0719 0.0517 0.0597 0.0713
0.0434 0.0041 0.0018 0.0098 0.0093− 0.0089− 0.0026
6. Calculate cumulative risk-adjusted abnormal returns of the portfolio.
B14: = B13
0.0434
C14: = B14+C13
0.0475
Copy C11 to D11:H11.
0.0493 0.0591 0.0499 0.0410 0.0436
Jukka Perttunen Fundamentals of finance
Asset returns – Exercise 6
Exercise 6
1
2
3
4
5
6
7
8
9
10
11
12
13
14
A B C D E F G H
Time in months
Logarithmic portfolio return
Logarithmic market return
Logarithmic risk-free return
Portfolio beta
Portfolio excess return
Market excess return
Market-adjusted abnormal return
Cumulative abnormal return
Risk-adjusted abnormal return
Cumulative abnormal return
1 2 3 4 5 6 7
0.0605 0.0566 0.0142− 0.0236 0.0630− 0.0762 0.0482
0.0138 0.0422 0.0126− 0.0112 0.0428− 0.0682 0.0366
0.0007 0.0008 0.0011 0.0009 0.0010 0.0008 0.0006
1.25
0.0598 0.0558 0.0153− 0.0227 0.0640− 0.0754 0.0476
0.0131 0.0414 0.0137− 0.0103 0.0438− 0.0674 0.0360
0.0467 0.0144 0.0016− 0.0124 0.0202− 0.0080 0.0116
0.0467 0.0611 0.0595 0.0719 0.0517 0.0597 0.0713
0.0434 0.0041 0.0018 0.0098 0.0093− 0.0089− 0.0026
6. Calculate cumulative risk-adjusted abnormal returns of the portfolio.
B14: = B13
0.0434
C14: = B14+C13
0.0475
Copy C11 to D11:H11.
0.0493 0.0591 0.0499 0.0410 0.0436
Jukka Perttunen Fundamentals of finance
Asset returns – Exercise 6
Exercise 6
1
2
3
4
5
6
7
8
9
10
11
12
13
14
A B C D E F G H
Time in months
Logarithmic portfolio return
Logarithmic market return
Logarithmic risk-free return
Portfolio beta
Portfolio excess return
Market excess return
Market-adjusted abnormal return
Cumulative abnormal return
Risk-adjusted abnormal return
Cumulative abnormal return
1 2 3 4 5 6 7
0.0605 0.0566 0.0142− 0.0236 0.0630− 0.0762 0.0482
0.0138 0.0422 0.0126− 0.0112 0.0428− 0.0682 0.0366
0.0007 0.0008 0.0011 0.0009 0.0010 0.0008 0.0006
1.25
0.0598 0.0558 0.0153− 0.0227 0.0640− 0.0754 0.0476
0.0131 0.0414 0.0137− 0.0103 0.0438− 0.0674 0.0360
0.0467 0.0144 0.0016− 0.0124 0.0202− 0.0080 0.0116
0.0467 0.0611 0.0595 0.0719 0.0517 0.0597 0.0713
0.0434 0.0041 0.0018 0.0098 0.0093− 0.0089− 0.0026
6. Calculate cumulative risk-adjusted abnormal returns of the portfolio.
B14: = B13
0.0434
C14: = B14+C13
0.0475
Copy C11 to D11:H11.
0.0493 0.0591 0.0499 0.0410 0.0436
Jukka Perttunen Fundamentals of finance
Asset returns – Exercise 6
Exercise 6
1
2
3
4
5
6
7
8
9
10
11
12
13
14
A B C D E F G H
Time in months
Logarithmic portfolio return
Logarithmic market return
Logarithmic risk-free return
Portfolio beta
Portfolio excess return
Market excess return
Market-adjusted abnormal return
Cumulative abnormal return
Risk-adjusted abnormal return
Cumulative abnormal return
1 2 3 4 5 6 7
0.0605 0.0566 0.0142− 0.0236 0.0630− 0.0762 0.0482
0.0138 0.0422 0.0126− 0.0112 0.0428− 0.0682 0.0366
0.0007 0.0008 0.0011 0.0009 0.0010 0.0008 0.0006
1.25
0.0598 0.0558 0.0153− 0.0227 0.0640− 0.0754 0.0476
0.0131 0.0414 0.0137− 0.0103 0.0438− 0.0674 0.0360
0.0467 0.0144 0.0016− 0.0124 0.0202− 0.0080 0.0116
0.0467 0.0611 0.0595 0.0719 0.0517 0.0597 0.0713
0.0434 0.0041 0.0018 0.0098 0.0093− 0.0089− 0.0026
6. Calculate cumulative risk-adjusted abnormal returns of the portfolio.
B14: = B13
0.0434
C14: = B14+C13
0.0475
Copy C11 to D11:H11.
0.0493 0.0591 0.0499 0.0410 0.0436
Jukka Perttunen Fundamentals of finance
Asset returns – Exercise 6
Exercise 6
1
2
3
4
5
6
7
8
9
10
11
12
13
14
A B C D E F G H
Time in months
Logarithmic portfolio return
Logarithmic market return
Logarithmic risk-free return
Portfolio beta
Portfolio excess return
Market excess return
Market-adjusted abnormal return
Cumulative abnormal return
Risk-adjusted abnormal return
Cumulative abnormal return
1 2 3 4 5 6 7
0.0605 0.0566 0.0142− 0.0236 0.0630− 0.0762 0.0482
0.0138 0.0422 0.0126− 0.0112 0.0428− 0.0682 0.0366
0.0007 0.0008 0.0011 0.0009 0.0010 0.0008 0.0006
1.25
0.0598 0.0558 0.0153− 0.0227 0.0640− 0.0754 0.0476
0.0131 0.0414 0.0137− 0.0103 0.0438− 0.0674 0.0360
0.0467 0.0144 0.0016− 0.0124 0.0202− 0.0080 0.0116
0.0467 0.0611 0.0595 0.0719 0.0517 0.0597 0.0713
0.0434 0.0041 0.0018 0.0098 0.0093− 0.0089− 0.0026
6. Calculate cumulative risk-adjusted abnormal returns of the portfolio.
B14: = B13
0.0434
C14: = B14+C13
0.0475
Copy C11 to D11:H11.
0.0493 0.0591 0.0499 0.0410 0.0436
Jukka Perttunen Fundamentals of finance
