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    Capm

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    maxdegroot321
    This document contains stock price and return data for the S&P/TSX Composite Index and the Bank of Nova Scotia from 2020 to 2023. It includes statistical measures such as standard deviation, correlation, and beta calculated from the return data and uses these figures to estimate the expected rate of return for the Bank of Nova Scotia.

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    Capm

    Uploaded by

    maxdegroot321
    7 views2 pages
    This document contains stock price and return data for the S&P/TSX Composite Index and the Bank of Nova Scotia from 2020 to 2023. It includes statistical measures such as standard deviation, correlation, and beta calculated from the return data and uses these figures to estimate the expected rate of return for the Bank of Nova Scotia.

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    940032_CAPM (1)

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    This document contains stock price and return data for the S&P/TSX Composite Index and the Bank of Nova Scotia from 2020 to 2023. It includes statistical measures such as standard deviation, correlation, and beta calculated from the return data and uses these figures to estimate the expected rate of return for the Bank of Nova Scotia.

    Copyright:

    © All Rights Reserved
    Download as PDF, TXT or read online from Scribd
    Download as pdf or txt
    7 views2 pages

    Capm

    Uploaded by

    maxdegroot321
    This document contains stock price and return data for the S&P/TSX Composite Index and the Bank of Nova Scotia from 2020 to 2023. It includes statistical measures such as standard deviation, correlation, and beta calculated from the return data and uses these figures to estimate the expected rate of return for the Bank of Nova Scotia.

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    Bank of Nova Scotia

    Closing Price Returns, percent


    DATE S&P/TSX Bank of Nova Scotia S&P/TSX Bank of Nova Scotia
    2020-01-01 17318.50 58.30
    2020-02-01 16263.10 56.64 -0.060940635 -0.028500304
    2020-03-01 13378.80 46.35 -0.177352403 -0.181572128
    2020-04-01 14780.70 45.76 0.104785213 -0.01278291
    2020-05-01 15192.80 45.24 0.027880926 -0.011290291
    2020-06-01 15515.20 46.07 0.021220604 0.018307018
    2020-07-01 16169.20 45.84 0.042152211 -0.005117224
    2020-08-01 16514.40 46.97 0.021349244 0.024722741
    2020-09-01 16121.40 46.10 -0.023797413 -0.018626921
    2020-10-01 15580.60 46.87 -0.033545521 0.016858511
    2020-11-01 17190.30 53.52 0.103314456 0.141824754
    2020-12-01 17433.40 58.26 0.014141673 0.088607518
    2021-01-01 17337.00 58.52 -0.005529638 0.004418303
    2021-02-01 18060.30 63.84 0.041720066 0.09090904
    2021-03-01 18700.70 67.46 0.035458902 0.056720405
    2021-04-01 19108.30 67.93 0.02179606 0.007020664
    2021-05-01 19731.00 70.49 0.032587891 0.037562309
    2021-06-01 20165.60 69.97 0.022026233 -0.007265164
    2021-07-01 20287.80 68.35 0.006059883 -0.023257956
    2021-08-01 20582.90 68.59 0.014545668 0.00359577
    2021-09-01 20070.30 68.43 -0.024904149 -0.00243124
    2021-10-01 21037.10 72.04 0.04817062 0.052837917
    2021-11-01 20660.00 70.83 -0.017925456 -0.016761168
    2021-12-01 21222.80 80.39 0.027241083 0.134897598
    2022-01-01 21098.30 82.19 -0.005866332 0.022445551
    2022-02-01 21126.40 82.45 0.001331842 0.003167302
    2022-03-01 21890.20 80.43 0.036153761 -0.024496441
    2022-04-01 20762.00 73.86 -0.051539011 -0.081766791
    2022-05-01 20729.30 77.88 -0.001574955 0.054456114
    2022-06-01 18861.40 69.16 -0.090109185 -0.111914199
    2022-07-01 19692.90 70.82 0.044084744 0.024022084
    2022-08-01 19330.80 65.93 -0.018387317 -0.069093779
    2022-09-01 18444.20 59.65 -0.045864709 -0.095290513
    2022-10-01 19426.10 60.74 0.053236271 0.018246481
    2022-11-01 20453.30 64.73 0.052877376 0.06575548
    2022-12-01 19384.90 61.19 -0.052236087 -0.054716432
    2023-01-01 20767.40 67.48 0.071318396 0.102893838
    2023-02-01 20221.20 63.18 -0.026300893 -0.063723399
    2023-03-01 20099.90 63.77 -0.005998597 0.009341658
    2023-04-01 20636.50 64.34 0.02669663 0.008800644
    2023-05-01 19572.20 62.38 -0.051573706 -0.030459802
    2023-06-01 20155.30 63.05 0.029792337 0.010828118
    2023-07-01 20626.60 64.19 0.023383369 0.018092624
    2023-08-01 20292.60 61.99 -0.016192684 -0.034337392
    2023-09-01 19541.30 59.88 -0.037023291 -0.034015027
    2023-10-01 18873.50 55.23 -0.034173814 -0.077693781
    2023-11-01 20236.30 59.70 0.072207104 0.081032931
    2023-12-01 20958.40 63.44 0.03568338 0.062602942
    The yield on a 3-month Canada Treasury Bill
    29-Dec-23
    5.04

    Source for S&P/TSX Index Price Data:


    https://ca.finance.yahoo.com/
    Source for Company Price Data:
    https://ca.finance.yahoo.com/ (historical data)
    Formula for returns:
    (P1 - P0) / P0
    Sample return calculation:
    (56.637283 - 58.298817) / 58.298817

    Standard Deviation S&P/TSX Index Returns 0.04998 Excel Formula: = STDEV


    Standard Deviation Bank of Nova Scotia Returns 0.062249339 Formula: = STDEV
    Correlation of TSX and Bank of Nova Scotia Returns 0.786726803 Formula: = Correl
    Beta 0.631687522 Formula: = Slope
    Risk-Free Rate 5.04% 2023-12-29 https://www.bankofcanada.ca/
    Market Risk Premium 7% Provided
    Expected Rate of Return 0.094618127 Risk Free Rate + (Beta x Market Return Premium) 5.04% + (0.631687522) * (7%)

    S&P/TSX returns VS Bank of Nova Scotia


    0.2

    0.15

    0.1
    Banck of Nova scotia

    0.05

    0 Series1
    -0.2 -0.15 -0.1 -0.05 0 0.05 0.1 0.15 Linear (Series1)
    -0.05

    -0.1

    -0.15

    -0.2
    S&P / TSX monthly returns

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