The table below contains monthly share prices for Pfizer Inc. (PFE) and Astrazeneca Plc.(AZN). It also contains the monthly prices for the S&P 5000 index (S&PCOMP).DateTime S&PCOMPPFEAZN2/1/201902510.0343.2537.801/2/201912706.5342.8836.651/3/201922803.6943.3641.761/4/201932867.1942.8441.271/5/201942923.7340.7737.353/6/201952744.4541.9237.901/7/201962964.3343.7741.311/8/201972953.5638.2544.003/9/201982906.2736.1245.271/10/201992940.2535.4343.661/11/2019103066.9138.3948.392/12/2019113113.8738.2948.382/1/2020123257.8539.1450.393/2/2020133248.9237.5148.512/3/2020143090.2334.8845.871/4/2020152470.5031.7543.781/5/2020162830.7137.6451.861/6/2020173055.7335.4655.161/7/2020183115.8633.7453.323/8/2020193294.6138.3556.821/9/2020203526.6536.8855.381/10/2020213380.8036.3754.302/11/2020223310.2436.2350.621/12/2020233662.4539.4152.984/1/2021243700.6536.8150.521/2/2021253773.8635.8050.401/3/2021263901.8233.6948.091/4/2021274019.8736.3049.533/5/2021284192.6639.8353.701/6/2021294202.0438.5056.251/7/2021304319.9439.5660.312/8/2021314387.1643.9657.381/9/2021324524.0946.0458.721/10/2021334357.0442.9359.681/11/2021344613.6743.6462.461/12/2021354513.0454.6854.883/1/2022364796.5656.6558.311/2/2022374546.5453.0757.681/3/2022384306.2645.7561.341/4/2022394545.8651.5766.812/5/2022404155.3848.3466.431/6/2022414101.2352.3766.121/7/2022423825.3352.3165.951/8/2022434118.6350.6165.651/9/2022443966.8546.6361.79a)Brieftly describe the Ordinary Least Squares (OLS) estimation method and its assumptions. Explain why the assumptions are necessary to compute OLS estimators.b)Generate the log return series for PFE and AZN. Calculate and comment upon their average return and volatility. Comment upon other descriptive statistics.c)Estimate a linear time-trend model for each of the price level series and determine its statistical significance. Comment upon your results.d)Using the market model determine which company has a lower beta value and test whether its beta value is significantly different from 1. Explain what your results imply.

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Answered: The table below contains monthly share…

MATLAB: An Introduction with Applications

6th Edition

ISBN:9781119256830

Author:Amos Gilat

Publisher:Amos Gilat

Chapter1: Starting With Matlab

Section: Chapter Questions

Problem 1P

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The table below contains monthly share prices for Pfizer Inc. (PFE) and Astrazeneca Plc.

(AZN). It also contains the monthly prices for the S&P 5000 index (S&PCOMP).

Date	Time	S&PCOMP	PFE	AZN
2/1/2019	0	2510.03	43.25	37.80
1/2/2019	1	2706.53	42.88	36.65
1/3/2019	2	2803.69	43.36	41.76
1/4/2019	3	2867.19	42.84	41.27
1/5/2019	4	2923.73	40.77	37.35
3/6/2019	5	2744.45	41.92	37.90
1/7/2019	6	2964.33	43.77	41.31
1/8/2019	7	2953.56	38.25	44.00
3/9/2019	8	2906.27	36.12	45.27
1/10/2019	9	2940.25	35.43	43.66
1/11/2019	10	3066.91	38.39	48.39
2/12/2019	11	3113.87	38.29	48.38
2/1/2020	12	3257.85	39.14	50.39
3/2/2020	13	3248.92	37.51	48.51
2/3/2020	14	3090.23	34.88	45.87
1/4/2020	15	2470.50	31.75	43.78
1/5/2020	16	2830.71	37.64	51.86
1/6/2020	17	3055.73	35.46	55.16
1/7/2020	18	3115.86	33.74	53.32
3/8/2020	19	3294.61	38.35	56.82
1/9/2020	20	3526.65	36.88	55.38
1/10/2020	21	3380.80	36.37	54.30
2/11/2020	22	3310.24	36.23	50.62
1/12/2020	23	3662.45	39.41	52.98
4/1/2021	24	3700.65	36.81	50.52
1/2/2021	25	3773.86	35.80	50.40
1/3/2021	26	3901.82	33.69	48.09
1/4/2021	27	4019.87	36.30	49.53
3/5/2021	28	4192.66	39.83	53.70
1/6/2021	29	4202.04	38.50	56.25
1/7/2021	30	4319.94	39.56	60.31
2/8/2021	31	4387.16	43.96	57.38
1/9/2021	32	4524.09	46.04	58.72
1/10/2021	33	4357.04	42.93	59.68
1/11/2021	34	4613.67	43.64	62.46
1/12/2021	35	4513.04	54.68	54.88
3/1/2022	36	4796.56	56.65	58.31
1/2/2022	37	4546.54	53.07	57.68
1/3/2022	38	4306.26	45.75	61.34
1/4/2022	39	4545.86	51.57	66.81
2/5/2022	40	4155.38	48.34	66.43
1/6/2022	41	4101.23	52.37	66.12
1/7/2022	42	3825.33	52.31	65.95
1/8/2022	43	4118.63	50.61	65.65
1/9/2022	44	3966.85	46.63	61.79

Brieftly describe the Ordinary Least Squares (OLS) estimation method and its assumptions. Explain why the assumptions are necessary to compute OLS estimators.

Generate the log return series for PFE and AZN. Calculate and comment upon their average return and volatility. Comment upon other descriptive statistics.

Estimate a linear time-trend model for each of the price level series and determine its statistical significance. Comment upon your results.

Using the market model determine which company has a lower beta value and test whether its beta value is significantly different from 1. Explain what your results imply.

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