This document is posted to help you gain knowledge. Please leave a comment to let me know what you think about it! Share it to your friends and learn new things together.
Transcript
Table 1. Betas of different companies according to different sources
AT&T Boeing CocaCola Date
Yahoo 0.61 0.46 0.29 12-Feb-03
Multex 0.87 0.66 0.42 12-Feb-03
Quicken 1.14 0.66 0.41 12-Feb-03
Reuters 0.87 0.68 0.42 12-Feb-03
Bloomberg 1.00 1.07 0.64 12-Feb-03
Datastream 1.10 1.10 0.37 12-Feb-03
Buy&hold 0.84 0.66 0.41 14-Feb-03
Max 1.14 1.10 0.64min 0.61 0.46 0.29
Table 2. Historical betas of the 3,813 companies in our sample with respect to the S&P 500
(Maximum Beta - Minimum Beta)/Abs(Beta December 31)
< 0.2 average
0 6.72
0 2.32
0 7.31
0 0.76
2 1.26
1 0.71
Correlation Company volatility / Market volatility
Average Max min Max/min Average Max
3M Co. 0.38 0.50 0.23 2.12 1.51 1.69
Alcoa 0.37 0.53 0.21 2.55 2.13 2.47
American Express 0.78 0.83 0.70 1.18 1.88 2.17
AT&T 0.34 0.44 0.14 3.11 2.22 2.57
Boeing 0.45 0.54 0.27 1.97 2.13 2.40
Caterpillar 0.40 0.52 0.31 1.65 1.93 2.15
Citigroup 0.80 0.85 0.71 1.19 2.07 2.32
Coca Cola 0.46 0.61 0.32 1.92 1.73 1.95
Du Pont 0.43 0.55 0.31 1.78 1.75 1.97
Eastman Kodak 0.28 0.35 0.18 1.97 1.98 2.25
Exxon Mobil 0.40 0.58 0.24 2.39 1.06 1.18
General Electric 0.79 0.83 0.74 1.11 1.59 1.72
Hewlett-Packard 0.53 0.68 0.39 1.76 2.55 2.90
Home Depot 0.62 0.71 0.50 1.43 2.01 2.28
Honeywell Intl. 0.50 0.59 0.42 1.40 2.44 2.76
IBM 0.56 0.66 0.36 1.83 2.11 2.30
Intel 0.57 0.64 0.50 1.28 2.72 3.09
Intl.Paper 0.38 0.48 0.29 1.67 1.90 2.15
Johnson & Johnson 0.37 0.53 0.25 2.14 1.29 1.50
J P Morgan Chase 0.72 0.77 0.66 1.18 2.21 2.50
McDonalds 0.41 0.49 0.30 1.64 1.60 1.85
Merck 0.36 0.55 0.14 4.02 1.67 1.89
Microsoft 0.60 0.66 0.52 1.26 2.55 3.10
Philip Morris 0.07 0.25 -0.07 3.67 1.96 2.20
SBC Comm. 0.30 0.47 0.15 3.16 1.62 1.83
United Technologies 0.64 0.72 0.56 1.28 1.89 2.12
Wal Mart Stores 0.56 0.67 0.46 1.45 1.78 2.06
General Motors 0.52 0.58 0.44 1.31 1.95 2.16
Procter & Gamble 0.24 0.45 -0.02 20.37 1.83 2.12
Walt Disney 0.55 0.70 0.43 1.61 1.90 2.07
Average 0.48 0.59 0.35 2.51 1.93 2.19
Max 0.80 0.85 0.74 20.37 2.72 3.10
Min 0.07 0.25 -0.07 1.11 1.06 1.18
Table 5. Some statistics of the correlation and of the company volatility divided by the market volatility of the S&P 500 for the 30 companies in the DJIA in the two-month period of December 2001 and January 2002.
Company volatility / Market volatility
min Max/min
1.39 1.22
1.91 1.29
1.71 1.27
1.98 1.29
1.92 1.25
1.74 1.24
1.89 1.23
1.46 1.33
1.56 1.26
1.67 1.35
0.90 1.31
1.46 1.18
2.23 1.30
1.82 1.25
2.29 1.20
1.89 1.22
2.43 1.27
1.65 1.30
1.10 1.37
1.89 1.32
1.50 1.23
1.42 1.33
2.24 1.38
1.66 1.32
1.36 1.35
1.70 1.25
1.62 1.27
1.78 1.22
1.58 1.34
1.69 1.22
1.71 1.28
2.43 1.38
0.90 1.18
Table 5. Some statistics of the correlation and of the company volatility divided by the market volatility of the S&P 500 for the 30 companies in the DJIA in the two-month period of December 2001 and January 2002.
Table 6. Percentage days or months that the share price and the S&P 500 move in the same direction
(1/1/1997-31/12/2001)
All companies 30 companies DJIA
Percentage range Monthly data Daily data Monthly data Daily data
0 - 10% 0 10
10% - 20% 4 32
20% - 30% 7 126
30% - 40% 23 598
40% - 50% 404 1138
50% - 60% 2037 1406 2
60% - 70% 1227 474 16 24
70% - 80% 107 29 11 6
80% - 90% 4 0 1
90% - 100% 0 0
Number of companies 3813 3813 30 30
Average 58.0% 48.7% 68.3% 65.9%
Median 58.1% 50.0% 66.9% 64.5%
Number of misallocated portfolios on the 62 days of the following two months.
Date
December: 10 and 16.
December: 12, 13, 14 and 15. January: 12, 13, 15 and 16.
January: 14.
December: 17 and 19.
December: 8 and 21. January: 8, 10, 17 and 19.
December: 18. January: 18, 20 and 21.
December: 5, 6, 7, 9, 11, 20 and 22. January: 5, 6, 7, 9, 11 and 22.
Table 8. Percentage of the companies in each portfolio formed on December 1 that change portfolio if portfolios formed on December 15, 2001. Change in the betas of each portfolio from December 1 to December 15, 2001. Portfolios formed according to Fama and French (1992).
Panel A. Percentage of the companies in each portfolio formed on December 1 that change portfolio if portfolios formed on December 15.
the companies in each portfolio formed on December 1 that change portfolio if portfolios formed on December 15, 2001. Change in the betas of each portfolio from December 1 to December 15, 2001. Portfolios formed according to Fama and French (1992).
the companies in each portfolio formed on December 1 that change portfolio if portfolios formed on December 15.
Table 9. Historical relative betas of the 30 companies in the Dow Jones Industrial Average Index
Beta S&P 500 / Beta DJ IND Beta S&P 500 / Beta W 5000
Max min average max/min Max min average
3M Co. 0.76 0.51 0.65 1.51 2.02 1.00 1.20
Alcoa 0.86 0.46 0.66 1.86 1.22 0.94 1.03
American Express 1.10 0.89 0.99 1.23 1.16 1.04 1.10
AT&T 2.57 1.19 1.66 2.15 1.09 0.92 1.00
Boeing 0.84 0.55 0.74 1.51 1.11 0.99 1.05
Caterpillar 0.78 0.48 0.66 1.62 1.37 1.10 1.21
Citigroup 1.18 0.96 1.05 1.24 1.16 1.02 1.09
Coca Cola 1.02 0.80 0.90 1.26 1.30 1.07 1.17
Du Pont 0.81 0.54 0.70 1.51 1.75 1.09 1.26
Eastman Kodak 0.90 0.56 0.75 1.60 1.24 0.92 1.10
Exxon Mobil 0.91 0.69 0.80 1.32 1.38 0.97 1.14
General Electric 1.23 1.00 1.10 1.23 1.21 1.07 1.12
Appendix 2. Summary statistics of the historical betas of the 30 companies in the Dow Jones Industrial Average Index with respect to the S&P 500, the DJIA and the W 5000.
Beta S&P 500 Beta DJIA
1/12/01 -31/1/02 Max min average max/min Max min average max/min
Average of (+) 1.21 0.68 0.94 0.78 1.96 1.23 0.77 0.99 0.57 1.85
(max-min)/ average
(max-min)/ average
Appendix 2. Summary statistics of the historical betas of the 30 companies in the Dow Jones Industrial Average Index with respect to the S&P 500, the DJIA and the W 5000.