Download Diapositiva 1 - WordPress.com

Ejercicio 2.10 POE 3e
a)
 j rm  rf 
rj  rf 
y  1   2 x  e
x  rm  rf
y  rj  rf
n  120
1   j
(b)
(c)
Firma
Beta
Intercepto
Microsoft
General Electric
General Motors
IBM
Disney
Exxon-Mobil
1.42987
0.98304
1.07442
1.26830
0.95930
0.40301
0.01019
0.00589
-0.00231
0.00685
-0.00101
0.00734
defensiva
beta
1
(d)
Beta sin
intercepto
1.46384
1.00266
1.06670
1.29113
0.95594
0.42749
(d)-(b)
diferencia
0.03397
0.01962
-0.00771
0.02283
-0.00336
0.02448
ofensiva
2   j
Ejercicio 2.10 POE 3e
n  120
Modelos CAPM. Estimación de betas
General Motors
-.2
-.4
-.2
-.1
-.2 -.1
0
0
.1
.4
0
.2
.1 .2 .3
General Electric
.2
Microsoft
-.15
-.1
-.05
x
y1
0
.05
.1
-.15
Fitted values
-.1
-.05
x
y2
0
.05
.1
-.15
Fitted values
0
.05
.1
Fitted values
.1
.1 .2
.2
Exxon-Mobil
-.15
y4
-.1
-.05
x
0
.05
.1
Fitted values
0
-.1
-.2
0
-.3 -.2 -.1
0
.2
-.05
x
y3
Disney
.4
IBM
-.1
-.15
y5
-.1
-.05
x
0
.05
.1
Fitted values
-.15
y6
-.1
-.05
x
0
.05
.1
Fitted values
Ejercicio 2.10 POE 3e
* Solución Ejercicio 2.10 POE Tercera Edición
use "http://www.principlesofeconometrics.com/poe3/data/stata/capm2.dta", clear
describe
gen y1 = msft - rkfree
gen y2 = ge - rkfree
gen y3 = gm - rkfree
gen y4 = ibm - rkfree
gen y5 = dis - rkfree
gen y6 = xom - rkfree
gen x = mkt - rkfree
for num 1/6: regress yX x
for num 1/6: regress yX x, noconstant
graph
graph
graph
graph
graph
graph
graph
twoway (scatter y1 x, msize(vsmall)) (lfit y1 x), xline(0,lcolor(yellow)) yline(0,lcolor(yellow)) title("Microsoft") saving("C:\POE3\g1.GPH",replace)
twoway (scatter y2 x, msize(vsmall)) (lfit y2 x), xline(0,lcolor(yellow)) yline(0,lcolor(yellow)) title("General Electric") saving("C:\POE3\g2.GPH",replace)
twoway (scatter y3 x, msize(vsmall)) (lfit y3 x), xline(0,lcolor(yellow)) yline(0,lcolor(yellow)) title("General Motors") saving("C:\POE3\g3.GPH",replace)
twoway (scatter y4 x, msize(vsmall)) (lfit y4 x), xline(0,lcolor(yellow)) yline(0,lcolor(yellow)) title("IBM") saving("C:\POE3\g4.GPH",replace)
twoway (scatter y5 x, msize(vsmall)) (lfit y5 x), xline(0,lcolor(yellow)) yline(0,lcolor(yellow)) title("Disney") saving("C:\POE3\g5.GPH",replace)
twoway (scatter y6 x, msize(vsmall)) (lfit y6 x), xline(0,lcolor(yellow)) yline(0,lcolor(yellow)) title("Exxon-Mobil") saving("C:\POE3\g6.GPH",replace)
combine "C:\POE3\g1.GPH" "C:\POE3\g2.GPH" "C:\POE3\g3.GPH" "C:\POE3\g4.GPH" "C:\POE3\g5.GPH" "C:\POE3\g6.GPH", title("Modelos CAPM. Estimación de betas") saving("C:\POE3\g_ALL.GPH",replace)
Ejercicio 2.10 POE 4e
a)
 j rm  rf 
rj  rf 
y  1   2 x  e
x  rm  rf
y  rj  rf
n  132
1   j
(b)
(c)
Firma
Beta
Intercepto
Microsoft
General Electric
General Motors
IBM
Disney
Exxon-Mobil
1.31895
0.89926
1.26141
1.18821
0.89784
0.41397
0.00610
-0.00117
-0.01155
0.00585
-0.00115
0.00788
defensiva
beta
1
(d)
Beta sin
intercepto
1.31852
0.89934
1.26223
1.18780
0.89792
0.41341
(d)-(b)
diferencia
-0.00043
0.00008
0.00082
-0.00041
0.00008
-0.00056
ofensiva
2   j
Ejercicio 2.10 POE 4e
n  132
Modelos CAPM. Estimación de betas
General Motors
-.2
-.1
0
.2
0
-.2
-.4
-.4
-.2
-.2 -.1
0
0
.2
.1
.4
.4
General Electric
.2
Microsoft
.1
-.2
-.1
x
y1
0
.1
Fitted values
y2
Fitted values
.3
.1
0
-.1
0
.1
-.2
-.1
x
Fitted values
Fitted values
-.1
-.2
x
y4
y3
.2
.1 .2
.1
.1
Exxon-Mobil
-.3 -.2 -.1
0
0
x
0
.2
0
-.2
-.1
-.1
Disney
.4
IBM
-.2
-.2
x
y5
0
.1
x
Fitted values
y6
Fitted values
Ejercicio 2.10 POE 4e
* Solución Ejercicio 2.10 POE Cuarta Edición
use "http://www.principlesofeconometrics.com/poe4/data/stata/capm4.dta", clear
d
gen y1 = msft - riskfree
gen y2 = ge - riskfree
gen y3 = gm - riskfree
gen y4 = ibm - riskfree
gen y5 = dis - riskfree
gen y6 = xom - riskfree
gen x = mkt - riskfree
for num 1/6: regress yX x
for num 1/6: regress yX x, noconstant
graph
graph
graph
graph
graph
graph
graph
twoway (scatter y1 x, msize(vsmall)) (lfit y1 x), xline(0,lcolor(yellow)) yline(0,lcolor(yellow)) title("Microsoft") saving("C:\POE4\g1.GPH",replace)
twoway (scatter y2 x, msize(vsmall)) (lfit y2 x), xline(0,lcolor(yellow)) yline(0,lcolor(yellow)) title("General Electric") saving("C:\POE4\g2.GPH",replace)
twoway (scatter y3 x, msize(vsmall)) (lfit y3 x), xline(0,lcolor(yellow)) yline(0,lcolor(yellow)) title("General Motors") saving("C:\POE4\g3.GPH",replace)
twoway (scatter y4 x, msize(vsmall)) (lfit y4 x), xline(0,lcolor(yellow)) yline(0,lcolor(yellow)) title("IBM") saving("C:\POE4\g4.GPH",replace)
twoway (scatter y5 x, msize(vsmall)) (lfit y5 x), xline(0,lcolor(yellow)) yline(0,lcolor(yellow)) title("Disney") saving("C:\POE4\g5.GPH",replace)
twoway (scatter y6 x, msize(vsmall)) (lfit y6 x), xline(0,lcolor(yellow)) yline(0,lcolor(yellow)) title("Exxon-Mobil") saving("C:\POE4\g6.GPH",replace)
combine "C:\POE4\g1.GPH" "C:\POE4\g2.GPH" "C:\POE4\g3.GPH" "C:\POE4\g4.GPH" "C:\POE4\g5.GPH" "C:\POE4\g6.GPH", title("Modelos CAPM. Estimación de betas") saving("C:\POE4\g_ALL.GPH",replace)