Six Stock: Loblaw Companies Ltd, BMO, BCE Inc, PJT Partners Inc, AirIQ Inc, Sunora Foods Inc.
Download the data for 6 stocks you have selected along with the TSX
composite index, TSX60 index and TSX Small Cap Index for last 20 years.
Hints: Download monthly price data from Yahoo!
Prepare a graph or graphs showing price moment of indices and the stocks
you have selected. Use the adjusted closing price (why?).
• Compute the returns from price data. Hints: you can use the following formula to
1. Return = Ln(Price Week2/Price Week 1) … Recommended
2. Or, Return = (Price Week2/Price Week1)-1
• Compute the summary (descriptive) statistics of the return series and
present in a table. Hints: Summary statistics must include at least mean,
median and standard deviation!
• Are small cap stocks providing higher returns? Develop null and alternate
hypotheses and perform a statistical test to answer this question. Hints:
rather than using individual stocks, you can simply use TSX 60 index returns
and Small Cap Index returns to address this question!
• Are these blue-chip stocks and small-cap stocks are coming from the same
universe? Provide an appropriate statistical test. Hints: You may compare the average returns of these two categories of stocks with overall market index returns.
• Fama-French three factors and five-factors are largely used factors in
financial research. Now download the five-factors data for North-America (as
they don’t have data for Canada alone) from Ken French’s website. Propose a
multifactor model and estimate the model. Data website:
• Explain statistical and financial significances of the parameter estimates and
the overall model.
Prefer using excel and other statistical tools.