Blackrock

In: Business and Management

Submitted By rishabhvprabhu
Words 1279
Pages 6
Statistics Project and Paper | BlackRock Inc. (BLK) | Rishabh Prabhu
MSF Global CohortFINA 6202: Analysis of Financial Institutions and MarketsSubmission Date: 11/22/2013 |

Statistics Paper: BlackRock Inc. (BLK)
In the following paper, I have analyzed the stock returns for BlackRock Inc. (BLK), for the period from May, 1999 to September, 2013. Throughout the paper, RBLK-RFR stands for the excess monthly return for BlackRock stock, RM-RFR stands for the market excess return, SMB stands for the return on Small Minus Big stocks and HML stands for the return on High Minus Low stocks. 1) The mean, standard deviation, skewness, kurtosis and excess kurtosis for the excess return variables are: Excess Variables | Mean | Standard Deviation | Skewness | Kurtosis | RBLK - RFR | 2.1396 | 9.7730 | 0.2610 | 1.6934 | RM – RFR | 0.3207 | 4.7273 | -0.5442 | 0.5824 | SMB | 0.5039 | 3.2677 | 0.5920 | 2.8920 | HML | 0.3007 | 4.4211 | -0.1769 | 6.4445 |
For a sample data to be normally distributed, it should have a skewness of 0 and a kurtosis of 0 (as calculated in Excel). For our data, we can see that RBLK – RFR and HML are not significantly different from a normal distribution; while RM-RFR and SMB are not normally distributed since they are unusually skewed (skewness does not lie within ±0.5). RBLK-RFR, RM-RFR, SMB and HML are all leptokutic. The Histograms for these descriptive statistics can be found in the appendix. 2) The correlation matrix for the four excess return variables is: | RBLK-RFR | RM-RFR | SMB | HML | RBLK-RFR | 1 | | | | RM-RFR | 0.4189 | 1 | | | SMB | 0.1783 | 0.3380 | 1 | | HML | 0.1141 | 0.1174 | -0.1551 | 1 |
In the above correlation matrix, a positive correlation signifies that if one variable increases, the other variable also increases and vice-versa. We can see that BlackRock’s excess monthly return RBLK-RFR is…...

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