BRN 481 Case #1: due 6/7/2019


On the course web page is an Excel spreadsheet file (in ZIP format) BRN481Case119.ZIP that contains 5,722 days of stock returns for seven publicly traded Swiss stocks, along with the SMI Swiss market portfolio, the S&P 500 US market portfolio, and Swiss Franc/US Dollar exchange rate from August 5, 1996 through May 15, 2019. Returns to all of the individual stocks and the SMI portfolio are measured in Swiss francs, but the returns to the S&P 500 market portfolio (GSPC) are measured in US dollars. I have also included a measure of the returns to the S&P 500 in Swiss francs (GSPC(SwF)).

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 four 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?

  3. Does it matter which measure of the market return you use in estimating the “market model”? Why?

  4. Which market measure do you think is most appropriate? Why?

{Hint: you may want to analyze sub-periods of the whole 1996-2019 period and consider whether the risks and returns to these stocks have changed over time. 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 for a spreadsheet containing some calculations related to the data in this assignment. Here it is in ZIP format.


Click here is an example of a good answer for this assignment.


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 6/6/2019