BRN 481 Case #1: due 5/24/2017


On the course web page is an Excel spreadsheet file (in ZIP format) BRN481Case117.ZIP that contains 207 months of stock returns for several publicly traded stocks, along with the CRSP value-weighted portfolio from January 2000 through March 2017. You should do this assignment in groups and prepare a concise report that explains your analysis and findings. Neat, coherent presentation of high-quality analysis is the goal of this assignment. Do not include lots of computer output (although you may copy small portions of output that include relevant statistics).

Estimate beta coefficients, average returns and standard deviations for any five stocks, and discuss the risk estimates in relation to what you may know about the companies involved (e.g., the types of industries these companies are in, the amount of financial leverage the company has, etc.) Feel free to use internet resources (e.g., Google) to learn more about the businesses, leverage, etc. of these companies.

  1. Do the estimates of betas and standard deviations match up with your prior perceptions of the riskiness of these different stocks? Why or why not?
  2. Are the average returns to these companies' stocks higher for the riskier stocks? Why or why not?

    {Hint: you may want to analyze sub-periods of the whole 2000-17 period and consider whether the risks and returns to these stocks have changed over time. For example, 2000-2005, 2006-10 and 2011-17. Are there reasons why you might expect these stocks' risks to have changed?}


A full-text version of this case assignment is available in Acrobat's portable data format (.pdf). The file is about 28K and can only be viewed (and printed) using a copy of Acrobat Reader. Click here to download this case assignment.


Click here to view a possible answer to this case.

Click here to download the Excel worksheet with the answer.


Click here to see the histogram showing the grades for this case.

A histogram showing the grades for this case is available in Acrobat's portable data format (.pdf). The file is about 4K and can only be viewed (and printed) using a copy of Acrobat Reader.

Click here to download this graph.


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Last Updated on 5/18/2017