Regression Analysis

After you have completed the regression model in Module 1, you can start this assignment by creating a new tab in this Module file.
Regression analysis is widely used in finance research. One of the applications is estimating a firm’s beta. You have learned the concept of beta from Principles of Finance. Beta measures a firm’s systematic risk, it measures how a company’s stock return react to the broad market index’s return at the same time. If beta is higher than 1, it indicates that a firm is riskier than the market, and it will yield higher than average return when market is up and lower than average return when market is down. To roughly measure beta, we can use regression analysis, by regressing a firm’s historical return on market index’s historical return simultaneously. Let’s estimate the beta of Cisco (Ticker: CSCO), listed on Nasdaq.
Use Yahoo Finance, download Cisco’s historical monthly stock prices for the last 10 years (Time period 1/1/2011 – 12/31/2020) and calculate holding period returns every month. Holding period return = (Ending price / Beginning price) – 1
Use Yahoo Finance, download Nasdaq index’s historical monthly prices for the past 10 years (Time period 1/1/2011 – 12/31/2020) and calculate holding period returns every month. Holding period return = (Ending price / Beginning price) – 1
Run a regression. Y variable is Cisco’s holding period returns. X variable is Nasdaq’s holding period returns during the same period.
Show the regression summary result, the coefficient will be a rough estimate of Cisco’s beta. Please use the rubric below to guide the development of your assignment.
M1 Assignment – Regression Analysis Rubric
Successfully downloaded both prices and calculated HPRs4 ptsSuccessfully ran regression and generated regression output1 ptTotal 5 ptsIf you didn’t complete all the class work prior to this sheet-2 pts