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International Finance Frühling 2010 – Vorlesung 10635 Cases Peter Oertmann

International Finance Frühling 2010 – Vorlesung 10635 Cases Peter Oertmann. Introduction. Your role You are investment researcher in an asset management firm. Your responsibilities: Analyzing financial market data Exploring and testing fundamental relationships by regression analyses

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International Finance Frühling 2010 – Vorlesung 10635 Cases Peter Oertmann

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  1. International FinanceFrühling 2010 – Vorlesung 10635Cases Peter Oertmann

  2. Introduction Your role • You are investment researcher in an asset management firm. • Your responsibilities: • Analyzing financial market data • Exploring and testing fundamental relationships by regression analyses • Creating charts and tables to be used in presentations Data (EXCEL file “2010 Unibas Case data”) • Monthly total return index data over the 1st decade of the 21st century, from January 2000 to December 2009, denominated in EUR, is provided for • 10 European stock markets • 4 global risk factors

  3. Risk and return of international assets Tasks • Create tables and charts documenting the yearly mean returns as well as volatilities for the 10 stock markets and the 4 global factors. • Analyze the differences between the full period (2000.01 to 2009.12) and the sub-periods 2000.01 to 2004.12, and 2005.01 to 2009.12. • Calculate the yearly mean returns, and volatilities for two portfolios: • Portfolio 1: 50% MSCI Switzerland and 50% MSCI Germany • Portfolio 2: 50% MSCI Switzerland and 50% MSCI Austria Analyze the full period as well as the sub-periods. • Comment your results!

  4. Exploring factor risks Tasks • Analyze the relationships between the returns of the stock markets and the changes of the global factors. Perform the following regressions for each market: • Market return on the MSCI World index return (single factor model) • Market return on the 4 global factors (4-factor model) • Report regressions coefficients, t statistics, and R squares in a table and in a chart. • Comment your results!

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