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a. Download monthly adjusted close prices (close price adjusted for dividends and splits) from December 2012 to December 2018 from DatAnalysis Premium (available at Deakin library) for the following 10 Australian stocks: Fortescue Metals Group Ltd (FMG), National Australia Bank Limited (NAB), Rio Tinto Limited (RIO), Qantas Airways Limited (QAN), Transurban Group (TCL), Bluescope Steel Limited (BSL), Coca-Cola Amatil Limited (CCL), CSL Limited (CSL), Newcrest Mining Limited (NCM), and Woolworths Ltd (WOW). Find two envelope portfolios using the techniques of Proposition 1 of Chapter 9. Assume that the historical means, variances, and covariances are also those expected to prevail in the future. Assume your own constant. Use a data table to graph (σ, μ) frontier of the convex combinations of these two portfolios. You will get 0 for this part of the question if a data table is not used. b. Find the current (close price on 29 March 2019) equity market values for each stock in Q1_a using DatAnalysis Premium. Assume this market portfolio (an artificial market with only these 10 stocks) is the benchmark portfolio. Calculate the returns and risk of this benchmark portfolio, and those of an efficient portfolio (based on the calculations in Q1_a by assuming the risk-free rate is 2.4% per year). Discuss the difference between these two portfolios. Assume the chosen benchmark is efficient with respect to its own components, and derive the returns that make the benchmark the investor’s optimal choice (the risk-free rate is 2.4% per year). Find a set of returns so that the opinion about the expected benchmark return is 12% per year (using Solver, you will get 0 if Solver is not used).
Question 2 (24 marks) Use DatAnalysis to find all earnings announcements (the announcements only for their Half Yearly Report) for one of the companies in the following list between January 2015 and December 2018. You need to prepare an event study for only one of the companies in the list below. Your task is randomly assigned based on the last digit of your student number at Deakin University. For example, if your student number is 211234756, In this case your task is the number 6 of the listed company (BSL). 1. Fortescue Metals Group Ltd (FMG) 2. News Corporation (NWS) 3. Rio Tinto Limited (RIO) 4. Qantas Airways Limited (QAN) 5. Transurban Group (TCL) 6. Bluescope Steel Limited (BSL) 7. Coca-Cola Amatil Limited (CCL) 8. CSL Limited (CSL) 9. Newcrest Mining Limited (NCM) 10. Woolworths Ltd (WOW).
a. From the announcements, you need to identify the following information and summarize them in your excel spreadsheet: announcement dates for each disclosure; Reported earnings per share (EPS) in this year and in the prior year; and change in the EPS from prior year.