1、Security Analysis and Investment-Assignment 4 费怡凡 1600011808 a.closing prices and returns b.Fama-French Data(See Appendix 1)CAPM c1.Stock 1:ODP;Stock 2:AGN;Stock 3:CI 1=1.2222 1=0.0018+1.2222 DateCloseReturnDateCloseReturnDateCloseReturn2015-01-217.23-0.39%2015-11-09296.82-1.58%2015-07-10157.210.42%
2、2015-01-227.493.60%2015-11-10306.703.33%2015-07-13155.05-1.37%2015-01-237.38-1.47%2015-11-11309.761.00%2015-07-14155.950.58%2015-01-267.552.30%2015-11-12300.04-3.14%2015-07-15156.070.08%2015-01-277.48-0.93%2015-11-13299.63-0.14%2015-07-16154.29-1.14%2015-01-287.33-2.01%2015-11-16298.71-0.31%2015-07-
3、17153.41-0.57%2015-01-297.461.77%2015-11-17297.32-0.47%2015-07-20152.93-0.31%2015-01-307.17-3.89%2015-11-18310.804.53%2015-07-21151.29-1.07%2015-02-027.200.42%2015-11-19302.05-2.82%2015-07-22151.07-0.15%2015-02-038.7621.67%2015-11-20312.463.45%2015-07-23154.362.18%2015-02-048.952.17%2015-11-23301.72
4、-3.44%2015-07-24145.72-5.60%2015-02-059.101.68%2015-11-24311.433.22%2015-07-27145.900.12%2015-02-068.95-1.65%2015-11-25320.262.84%2015-07-28145.87-0.02%2015-02-099.061.23%2015-11-27319.76-0.16%2015-07-29145.41-0.32%2015-02-109.02-0.44%2015-11-30313.89-1.84%2015-07-30143.90-1.04%2015-02-119.030.11%20
5、15-12-01322.492.74%2015-07-31144.060.11%2015-02-129.070.44%2015-12-02317.46-1.56%2015-08-03143.36-0.49%2015-02-139.05-0.22%2015-12-03312.95-1.42%2015-08-04143.890.37%2015-02-179.130.88%2015-12-04316.501.13%2015-08-05147.552.54%2015-02-189.140.11%2015-12-07316.510.00%2015-08-06146.80-0.51%2015-02-199
6、.01-1.42%2015-12-08310.47-1.91%2015-08-07145.85-0.65%Office DepotODPAllerganAGNCigna IncCISUMMARY OUTPUT回归统计Multiple R0.3004323R Square0.0902596Adjusted R Square0.0866206标准误差0.029201观测值252方差分析dfSSMSFSignificance F回归分析10.021150.0211524.8036561.18458E-06残差2500.21317460.0008527总计2510.2343246Coefficient
7、s标准误差t StatP-valueLower 95%Upper 95%下限 95.0%上限 95.0%Intercept0.00179020.00184310.97130480.3323353-0.0018397420.0054201-0.00183970.0054201X Variable 11.22244850.24545554.98032691.185E-060.7390243111.70587260.73902431.7058726Stock 1:ODPDaily(2014)2=1.2954 1=0.0012+1.2954 3=0.9143 1=0.0003+0.9143 Use d
8、aily data of the past year 2014 here Advantage:Using high frequent data is more precise and 2014 is close to the testing area Maybe there are some noises and random shocks in daily data d1.SUMMARY OUTPUT回归统计Multiple R0.5419153R Square0.2936721Adjusted R Square0.2908468标准误差0.0151159观测值252方差分析dfSSMSFS
9、ignificance F回归分析10.02374990.0237499103.943291.231E-20残差2500.05712220.0002285总计2510.0808721Coefficients标准误差t StatP-valueLower 95%Upper 95%下限 95.0%上限 95.0%Intercept0.00124830.00095411.30835290.1919552-0.00063080.0031273-0.00063080.0031273X Variable 11.29540580.127059610.1952581.231E-201.04516211.5456
10、4961.04516211.5456496Stock 2:AGNDaily(2014)SUMMARY OUTPUT回归统计Multiple R0.479423R Square0.2298464Adjusted R Square0.2267658标准误差0.0125928观测值252方差分析dfSSMSFSignificance F回归分析10.01183160.011831674.6105586.893E-16残差2500.03964470.0001586总计2510.0514763Coefficients标准误差t StatP-valueLower 95%Upper 95%下限 95.0%上
11、限 95.0%Intercept0.00032010.00079480.40269950.6875134-0.00124530.0018855-0.00124530.0018855X Variable 10.91431850.10585168.63774036.893E-160.7058441.1227930.7058441.122793Stock 3:CIDaily(2014)DateCloseReturnMkt-RFNRARCAR2015-01-217.23-0.39%0.42%0.69%-1.08%-1.08%2015-01-227.493.60%1.58%2.11%1.49%0.40%
12、2015-01-237.38-1.47%-0.47%-0.39%-1.07%-0.67%2015-01-267.552.30%0.42%0.69%1.61%0.94%2015-01-277.48-0.93%-1.21%-1.30%0.37%1.31%2015-01-287.33-2.01%-1.39%-1.52%-0.49%0.82%2015-01-297.461.77%0.98%1.38%0.40%1.22%2015-01-307.17-3.89%-1.30%-1.41%-2.48%-1.26%2015-02-027.200.42%1.25%1.71%-1.29%-2.55%2015-02-
13、038.7621.67%1.49%2.00%19.67%17.12%2015-02-048.952.17%-0.35%-0.25%2.42%19.53%2015-02-059.101.68%1.10%1.52%0.15%19.68%2015-02-068.95-1.65%-0.20%-0.06%-1.58%18.10%2015-02-099.061.23%-0.46%-0.38%1.61%19.71%2015-02-109.02-0.44%1.04%1.45%-1.89%17.82%2015-02-119.030.11%0.03%0.22%-0.11%17.71%2015-02-129.070
14、.44%1.00%1.40%-0.96%16.75%2015-02-139.05-0.22%0.47%0.75%-0.97%15.78%2015-02-179.130.88%0.17%0.39%0.50%16.28%2015-02-189.140.11%0.03%0.22%-0.11%16.17%2015-02-199.01-1.42%-0.01%0.17%-1.59%14.58%Office DepotODPDateCloseReturnMkt-RFNRARCAR2015-11-09296.82-1.58%-0.95%-1.11%-0.47%-0.47%2015-11-10306.703.3
15、3%0.13%0.29%3.04%2.57%2015-11-11309.761.00%-0.43%-0.44%1.43%4.01%2015-11-12300.04-3.14%-1.45%-1.76%-1.38%2.63%2015-11-13299.63-0.14%-1.06%-1.25%1.12%3.74%2015-11-16298.71-0.31%1.39%1.92%-2.23%1.51%2015-11-17297.32-0.47%-0.11%-0.02%-0.44%1.07%2015-11-18310.804.53%1.61%2.21%2.33%3.40%2015-11-19302.05-
16、2.82%-0.13%-0.05%-2.77%0.63%2015-11-20312.463.45%0.35%0.57%2.87%3.51%2015-11-23301.72-3.44%-0.01%0.11%-3.54%-0.04%2015-11-24311.433.22%0.21%0.39%2.83%2.79%2015-11-25320.262.84%0.09%0.24%2.60%5.39%2015-11-27319.76-0.16%0.09%0.24%-0.39%4.99%2015-11-30313.89-1.84%-0.47%-0.49%-1.35%3.65%2015-12-01322.49
17、2.74%0.97%1.38%1.36%5.01%2015-12-02317.46-1.56%-1.01%-1.19%-0.37%4.64%2015-12-03312.95-1.42%-1.50%-1.82%0.40%5.04%2015-12-04316.501.13%1.86%2.53%-1.40%3.65%2015-12-07316.510.00%-0.84%-0.97%0.97%4.62%2015-12-08310.47-1.91%-0.59%-0.64%-1.26%3.35%AGNAllergan e1.p-value:For AR we cant reject the null hy
18、pothesis.DateCloseReturnMkt-RFNRARCAR2015-07-10157.210.42%1.24%1.16%-0.74%-0.74%2015-07-13155.05-1.37%1.14%1.07%-2.45%-3.19%2015-07-14155.950.58%0.47%0.46%0.12%-3.07%2015-07-15156.070.08%-0.19%-0.14%0.22%-2.85%2015-07-16154.29-1.14%0.78%0.74%-1.88%-4.73%2015-07-17153.41-0.57%0.05%0.08%-0.65%-5.38%20
19、15-07-20152.93-0.31%-0.01%0.02%-0.33%-5.71%2015-07-21151.29-1.07%-0.47%-0.40%-0.67%-6.38%2015-07-22151.07-0.15%-0.18%-0.13%-0.01%-6.40%2015-07-23154.362.18%-0.60%-0.52%2.70%-3.70%2015-07-24145.72-5.60%-1.08%-0.96%-4.64%-8.34%2015-07-27145.900.12%-0.74%-0.65%0.77%-7.57%2015-07-28145.87-0.02%1.23%1.15
20、%-1.18%-8.74%2015-07-29145.41-0.32%0.74%0.71%-1.02%-9.77%2015-07-30143.90-1.04%0.12%0.14%-1.18%-10.94%2015-07-31144.060.11%-0.15%-0.11%0.22%-10.73%2015-08-03143.36-0.49%-0.35%-0.29%-0.20%-10.92%2015-08-04143.890.37%-0.14%-0.10%0.47%-10.45%2015-08-05147.552.54%0.36%0.36%2.18%-8.27%2015-08-06146.80-0.
21、51%-0.88%-0.77%0.27%-8.00%2015-08-07145.85-0.65%-0.36%-0.30%-0.35%-8.35%Cigna IncCIARCARARCARARCAR-10-1.08%-1.08%-0.47%-0.47%-0.74%-0.74%-91.49%0.40%3.04%2.57%-2.45%-3.19%-8-1.07%-0.67%1.43%4.01%0.12%-3.07%-71.61%0.94%-1.38%2.63%0.22%-2.85%-60.37%1.31%1.12%3.74%-1.88%-4.73%-5-0.49%0.82%-2.23%1.51%-0
22、.65%-5.38%-40.40%1.22%-0.44%1.07%-0.33%-5.71%-3-2.48%-1.26%2.33%3.40%-0.67%-6.38%-2-1.29%-2.55%-2.77%0.63%-0.01%-6.40%-119.67%17.12%2.87%3.51%2.70%-3.70%02.42%19.53%-3.54%-0.04%-4.64%-8.34%10.15%19.68%2.83%2.79%0.77%-7.57%2-1.58%18.10%2.60%5.39%-1.18%-8.74%31.61%19.71%-0.39%4.99%-1.02%-9.77%4-1.89%1
23、7.82%-1.35%3.65%-1.18%-10.94%5-0.11%17.71%1.36%5.01%0.22%-10.73%6-0.96%16.75%-0.37%4.64%-0.20%-10.92%7-0.97%15.78%0.40%5.04%0.47%-10.45%80.50%16.28%-1.40%3.65%2.18%-8.27%9-0.11%16.17%0.97%4.62%0.27%-8.00%10-1.59%14.58%-1.26%3.35%-0.35%-8.35%Mean0.69%9.92%0.16%3.13%-0.40%-6.87%SD4.53%9.01%1.96%1.72%1
24、.52%3.01%NormalizedDateODPAGNCI f1.(1)From CAR we can know that ODP and AGN experience positive stock price reactions to takeover announcements,but not for CI(2)For AR we cant reject the null hypothesis,so that markets react efficiently to takeover announcements.g.Fama-French Three Factors Model c2.
25、Fama-French Three Factors Model 1=0.9573;1=0.9305;1=0.3472 1=0.0021+0.9573 +0.9305 0.3472 2=1.1576;2=0.3869;2=1.5791 2=0.0011+1.1576 0.3869 1.5791 ARCARARCARARCARMean0.69%9.92%0.16%3.13%-0.40%-6.87%SD4.53%9.01%1.96%1.72%1.52%3.01%p-value0.49106156.215E-050.71225585.978E-080.24492931.474E-09AGNCINorm
26、alizedDateODPSUMMARY OUTPUT回归统计Multiple R0.3523844R Square0.1241748Adjusted R Square0.1135801标准误差0.0287668观测值252方差分析dfSSMSFSignificance F回归分析30.02909720.009699111.7205073.30392E-07残差2480.20522740.0008275总计2510.2343246Coefficients标准误差t StatP-valueLower 95%Upper 95%下限 95.0%上限 95.0%Intercept0.00214010.
27、0018211.17520550.2410396-0.0014465540.0057267-0.00144660.0057267X Variable 10.95730740.2577643.71389140.00025210.4496217621.46499310.44962181.4649931X Variable 20.9305060.36758992.53137020.01198060.2065099781.65450210.206511.6545021X Variable 3-0.3471920.5301419-0.65490440.5131362-1.3913469570.69696
28、23-1.3913470.6969623Stock 1:ODPDaily(2014)SUMMARY OUTPUT回归统计Multiple R0.6201724R Square0.3846138Adjusted R Square0.3771696标准误差0.014166观测值252方差分析dfSSMSFSignificance F回归分析30.03110450.010368251.6663215.624E-26残差2480.04976760.0002007总计2510.0808721Coefficients标准误差t StatP-valueLower 95%Upper 95%下限 95.0%上限
29、 95.0%Intercept0.00109710.00089671.22341950.2223325-0.00066910.0028633-0.00066910.0028633X Variable 11.15761930.1269349.11985362.659E-170.90761321.40762530.90761321.4076253X Variable 2-0.38685830.1810169-2.13713860.0335653-0.7433848-0.0303317-0.7433848-0.0303317X Variable 3-1.57911450.2610645-6.0487
30、5245.345E-09-2.0933008-1.0649282-2.0933008-1.0649282Stock 2:AGNDaily(2014)3=0.9795;3=0.1656;3=0.1872 3=0.0002+0.9795 0.1656+0.1872 d2.ARs/CARs SUMMARY OUTPUT回归统计Multiple R0.4882892R Square0.2384263Adjusted R Square0.2292138标准误差0.0125729观测值252方差分析dfSSMSFSignificance F回归分析30.01227330.004091125.8805051
31、.339E-14残差2480.0392030.0001581总计2510.0514763Coefficients标准误差t StatP-valueLower 95%Upper 95%下限 95.0%上限 95.0%Intercept0.00025820.00079590.3244520.7458693-0.00130930.0018258-0.00130930.0018258X Variable 10.97954790.11265868.69483764.846E-160.75765831.20143740.75765831.2014374X Variable 2-0.16557860.160
32、6592-1.03062050.3037229-0.4820090.1508517-0.4820090.1508517X Variable 30.18720110.23170430.8079310.4199046-0.26915810.6435603-0.26915810.6435603Stock 3:CIDaily(2014)DateCloseReturnMkt-RFSMBHMLRFNRARCAR2015-01-217.23-0.39%0.42%-0.95%0.55%0.00%-0.46%0.07%0.07%2015-01-227.493.60%1.58%0.46%0.41%0.00%2.0
33、1%1.59%1.66%2015-01-237.38-1.47%-0.47%0.52%-0.82%0.00%0.53%-2.00%-0.34%2015-01-267.552.30%0.42%0.56%-0.05%0.00%1.15%1.15%0.82%2015-01-277.48-0.93%-1.21%0.67%0.23%0.00%-0.40%-0.52%0.29%2015-01-287.33-2.01%-1.39%-0.08%-0.77%0.00%-0.93%-1.08%-0.78%2015-01-297.461.77%0.98%0.24%0.00%0.00%1.37%0.40%-0.38%
34、2015-01-307.17-3.89%-1.30%-0.77%0.03%0.00%-1.76%-2.13%-2.51%2015-02-027.200.42%1.25%-0.46%0.99%0.00%0.63%-0.22%-2.72%2015-02-038.7621.67%1.49%0.18%0.51%0.00%1.63%20.04%17.32%2015-02-048.952.17%-0.35%-0.07%-0.20%0.00%-0.12%2.29%19.61%2015-02-059.101.68%1.10%0.48%-0.16%0.00%1.77%-0.09%19.52%2015-02-06
35、8.95-1.65%-0.20%0.07%0.38%0.00%-0.05%-1.60%17.92%2015-02-099.061.23%-0.46%-0.39%0.09%0.00%-0.62%1.85%19.77%2015-02-109.02-0.44%1.04%-0.31%-0.69%0.00%1.16%-1.60%18.17%2015-02-119.030.11%0.03%-0.11%-0.33%0.00%0.25%-0.14%18.03%2015-02-129.070.44%1.00%0.18%-0.09%0.00%1.37%-0.92%17.11%2015-02-139.05-0.22
36、%0.47%0.19%-0.29%0.00%0.94%-1.16%15.95%2015-02-179.130.88%0.17%-0.02%0.00%0.00%0.35%0.53%16.48%2015-02-189.140.11%0.03%0.28%-0.81%0.00%0.78%-0.67%15.81%2015-02-199.01-1.42%-0.01%0.28%-0.35%0.00%0.58%-2.00%13.80%Office DepotODP Mean and standard deviation DateCloseReturnMkt-RFSMBHMLRFNRARCAR2015-11-0
37、9296.82-1.58%-0.95%-0.21%-0.05%0.00%-0.83%-0.75%-0.75%2015-11-10306.703.33%0.13%-0.01%0.26%0.00%-0.15%3.47%2.72%2015-11-11309.761.00%-0.43%-0.52%-0.18%0.00%0.10%0.90%3.62%2015-11-12300.04-3.14%-1.45%-0.51%-0.45%0.00%-0.66%-2.48%1.15%2015-11-13299.63-0.14%-1.06%0.30%0.38%0.00%-1.83%1.70%2.84%2015-11-
38、16298.71-0.31%1.39%-0.57%0.46%0.00%1.21%-1.52%1.32%2015-11-17297.32-0.47%-0.11%-0.12%-0.66%0.00%1.07%-1.54%-0.21%2015-11-18310.804.53%1.61%0.00%-0.08%0.00%2.10%2.43%2.22%2015-11-19302.05-2.82%-0.13%-0.26%-0.11%0.00%0.23%-3.05%-0.83%2015-11-20312.463.45%0.35%0.43%-0.41%0.00%1.00%2.45%1.62%2015-11-233
39、01.72-3.44%-0.01%0.66%-0.36%0.00%0.41%-3.85%-2.23%2015-11-24311.433.22%0.21%0.70%0.27%0.00%-0.34%3.56%1.34%2015-11-25320.262.84%0.09%0.87%-0.55%0.00%0.75%2.09%3.42%2015-11-27319.76-0.16%0.09%0.22%-0.29%0.00%0.59%-0.74%2.68%2015-11-30313.89-1.84%-0.47%0.14%0.69%0.00%-1.58%-0.26%2.42%2015-12-01322.492
40、.74%0.97%-0.66%0.25%0.00%1.09%1.65%4.07%2015-12-02317.46-1.56%-1.01%0.25%-0.70%0.00%-0.05%-1.51%2.56%2015-12-03312.95-1.42%-1.50%-0.21%0.44%0.00%-2.24%0.82%3.38%2015-12-04316.501.13%1.86%-1.04%-0.52%0.00%3.49%-2.35%1.03%2015-12-07316.510.00%-0.84%-0.86%-0.66%0.00%0.51%-0.51%0.52%2015-12-08310.47-1.9
41、1%-0.59%0.48%-1.23%0.00%1.18%-3.09%-2.57%AllerganAGNDateCloseReturnMkt-RFSMBHMLRFNRARCAR2015-07-10157.210.42%1.24%0.23%-0.55%0.00%1.09%-0.67%-0.67%2015-07-13155.05-1.37%1.14%-0.07%-0.42%0.00%1.07%-2.44%-3.12%2015-07-14155.950.58%0.47%0.15%0.13%0.00%0.48%0.10%-3.02%2015-07-15156.070.08%-0.19%-0.81%-0
42、.08%0.00%-0.05%0.12%-2.89%2015-07-16154.29-1.14%0.78%-0.17%-0.62%0.00%0.70%-1.84%-4.73%2015-07-17153.41-0.57%0.05%-0.60%-0.65%0.00%0.05%-0.62%-5.35%2015-07-20152.93-0.31%-0.01%-0.72%-0.57%0.00%0.02%-0.34%-5.68%2015-07-21151.29-1.07%-0.47%0.03%0.30%0.00%-0.39%-0.68%-6.37%2015-07-22151.07-0.15%-0.18%0
43、.18%0.19%0.00%-0.15%0.01%-6.36%2015-07-23154.362.18%-0.60%-0.35%-0.34%0.00%-0.57%2.75%-3.61%2015-07-24145.72-5.60%-1.08%-0.61%-0.02%0.00%-0.94%-4.66%-8.27%2015-07-27145.900.12%-0.74%-0.25%0.08%0.00%-0.65%0.77%-7.49%2015-07-28145.87-0.02%1.23%-0.34%-0.11%0.00%1.26%-1.28%-8.77%2015-07-29145.41-0.32%0.
44、74%-0.36%0.52%0.00%0.90%-1.22%-9.99%2015-07-30143.90-1.04%0.12%0.17%-0.26%0.00%0.06%-1.10%-11.09%2015-07-31144.060.11%-0.15%0.82%-0.99%0.00%-0.45%0.56%-10.53%2015-08-03143.36-0.49%-0.35%-0.33%-0.17%0.00%-0.30%-0.19%-10.72%2015-08-04143.890.37%-0.14%0.09%-0.19%0.00%-0.17%0.54%-10.18%2015-08-05147.552
45、.54%0.36%0.01%-0.44%0.00%0.29%2.26%-7.93%2015-08-06146.80-0.51%-0.88%-0.53%1.99%0.00%-0.38%-0.13%-8.05%2015-08-07145.85-0.65%-0.36%-0.46%-0.35%0.00%-0.32%-0.33%-8.38%Cigna IncCI e2 p-value:For AR we cant reject the null hypothesis.f2.(1)From CAR we can know that ODP and AGN experience positive stock
46、 price reactions to takeover announcements,but not for CI(2)For AR we cant reject the null hypothesis,so that markets react efficiently to takeover announcements.ARCARARCARARCAR-100.07%0.07%-0.75%-0.75%-0.67%-0.67%-91.59%1.66%3.47%2.72%-2.44%-3.12%-8-2.00%-0.34%0.90%3.62%0.10%-3.02%-71.15%0.82%-2.48
47、%1.15%0.12%-2.89%-6-0.52%0.29%1.70%2.84%-1.84%-4.73%-5-1.08%-0.78%-1.52%1.32%-0.62%-5.35%-40.40%-0.38%-1.54%-0.21%-0.34%-5.68%-3-2.13%-2.51%2.43%2.22%-0.68%-6.37%-2-0.22%-2.72%-3.05%-0.83%0.01%-6.36%-120.04%17.32%2.45%1.62%2.75%-3.61%02.29%19.61%-3.85%-2.23%-4.66%-8.27%1-0.09%19.52%3.56%1.34%0.77%-7
48、.49%2-1.60%17.92%2.09%3.42%-1.28%-8.77%31.85%19.77%-0.74%2.68%-1.22%-9.99%4-1.60%18.17%-0.26%2.42%-1.10%-11.09%5-0.14%18.03%1.65%4.07%0.56%-10.53%6-0.92%17.11%-1.51%2.56%-0.19%-10.72%7-1.16%15.95%0.82%3.38%0.54%-10.18%80.53%16.48%-2.35%1.03%2.26%-7.93%9-0.67%15.81%-0.51%0.52%-0.13%-8.05%10-2.00%13.80%-3.09%-2.57%-0.33%-8.38%Mean0.66%9.79%-0.12%1.44%-0.40%-6.82%SD4.62%9.21%2.25%1.88%1.54%3.00%NormalizedDateODPAGNCIARCARARCARARCARMean0.66%9.79%-0.12%1.44%-0.40%-6.82%SD4.51%8.99%2.20%1.84%1.50%2.93%p-value0.52199259.258E-050.80569820.00216120.24928841.591E-09AGNCINormalizedDateODP
