In the ADF level test, we cannot reject the null hypothesis that there is a unit root in each series of both VISA INC. and WATERS. This is shown in the LEVEL columns above. The 1st difference columns above show the output of the ADF test for the first-differenced series. All the series are significant so that they reject the null hypothesis. We can say that the first-differenced series are I(0), so they are stationary. And we can say that each level series contains a unit root and is integrated of order 1(I(1)). In this part, I make the lag interval as 1 and do the Johansen’s Cointegration Test for 3 groups of data separately. This step is to test whether there is a long term relationship between those series so that we can decide whether …show more content…
The table above is the covariance matrix of the futures bid price and spot bid price of VISA INC. we can get σ_1^2, σ_12, and σ_2^2 to calculate HAS1 and HAS2. This table is from the VEC test of lnfutures_bid100 and lnfutures_ask100. We can get λ_1 and λ_2 to calculate HAS1 and HAS2. In conclusion, I get 3 groups of outputs of bid, ask and midpoint price for VISA INC. and WATERS separately. The following functions can help calculate the upper and lower bound of information shares. For VISA INC., when I use ask and bid prices, the average information shares of spot price is much larger than future prices so that the spot market contributes more to the price discovery process. However, when I use midpoint prices, they contribute roughly same to the price discovery process since both average information shares are about 0.5. For WATERS, the all 3 kinds of prices provide similar outputs. Their average information shares of future and spot prices are roughly 0.5. In conclusion, for VISA INC., the spot market contributes more for the price discovery process, but for WATERS, both SSF market and spot markets contribute roughly same to the price discovery process. However, it does not mean that the SSF market is not important. Contributing less than 50% does not mean that the SSF market is not important. Fung and Tse (2007) support this point. They suggest that the ratio can only indicate the difference of reaction speed. In my
Our reconciliation for this undervaluation is that the market is already pricing in a takeover. Some evidence of this can be demonstrated by the 1.0 beta of paramount. If we look at the 1992 Q1 to August 30 1993 returns of S&P500 and PCI, PCI is +30.6% and S&P500 is +14.6%, which implies an approximate
The three-year SAIC stock price data and its corresponding SSE index are obtained from finance.yahoo.com, as it provides dividend-adjusted closing prices. The two data are ordered in time in Excel (Sort Ascending). It is found that 46 SAIC daily stock prices are missing due to suspension of trading, therefore; 46 corresponding SSE daily index are removed in order to match up dates on the two data series.
According to our calculations Cooper Copper has an optimum bargaining position because they can offer up to $60.13 (at a 4% growth estimated rate) for it’s the stock in order to acquire the majority its shares. Porter 's offer of $42.00 per share failed to get the majority of shares need to acquire control. VLN 's offered to honor the price of $53.10 for preferred shares. This is the share value that speculators and stockholders would hope to obtain although the actual offer could end up to be much less. According to our calculations and analysis the best possible offer Copper can offer up to $60.13 (at a 4% growth estimated rate) per share for Nicholson stock.
* Financial and economic forces – Second Screening- reduces potential markets through analysis of financial and economic forces: Inflation trends, Currency exchange rated,
b. The company’s current and recent past book and market value structures. As well as rates of returns.
Using the statistical tables in your textbook, find the values of the appropriate test statistic in the following two situations:
The ADF and PP unit root test results, indicated that, Agric growth, Exports, Infrastructure development, Intellectual Property Rights and Research & development are integrated of order one I(1) intercept and trends, that is, they achieved stationary after taking their first. But the other variable achieved stationery after their first difference I (1) none. Having ascertained the absence of I (2) variable in the series, the ARDL approach to co integration is now applied to the
1. Please conduct a financial ratio analysis using the data in Exhibit 2. How do the results reflect different strategies pursued by the 4 firms?
Calculate the missing CVs and fill in the blanks on the row for CV in the table. Does the CV produce the same risk rankings as the standard deviation? Explain
2. Evaluate the two offers in Exhibit 7. What explains the two structures? In each case, what is the value to MCI shareholders?
s squared subscript p=(n1-1)s squared2 subscript1+(n2-1)s squared2 subscript2]/n1+n2-2. The numerator of the function, n1+n2-2, is the degrees of freedom.
Evaluating the first data set from the table, for n = 20, A2 = 0.18. Using the hint provided, the estimated standard deviation is 0.234. The process capability as obtained is 1.03. This is below 1.33, which means that the process is not capable.
Table 4.1 presents the panel unit-root test results. There are two groups of hypotheses that are involved here. In the first four methods, the null hypothesis is: there is panel unit-root and the alternative hypothesis is: there is no panel unit-root and the decision
Part 1 : Examine and analyze the financial ratios for eight pairs of unidentified companies and match the description of the company with the financial profile derived from the financial ratios.
There has been a long standing controversy among the economist about the validity of PPP (Purchasing Power Parity) in the long run. The parity reveals that prices in two different economies should be identical to each other when they expressed in terms of the same currency. It is a central building block in the monetary models of exchange rate determination. One of the most common practices, to test the validity of PPP is through unit root test of real exchange rate. In this paper unit root test has been done based on the data on Bangladesh and its major trading partner India, to see whether exchange rate has unit root or not. It has been found out that the PPP holds i.e. real exchange is not trend stationary in the