2003, found in Rat2003.txt? Explain with respect to potential bank-
ruptcy concerns.
The file format is:
Data JNJRatios;
infile “D:JNJRatios.txt” lrecl=75;
input smbl 1-6yeara 8-11@ 13 CR f9.3 @ 23 SA f9.3 @ 33 TDA
f9.3 @ 43 ROE f9.3 @ 53 DuPontA f9.3 @ 63 NewZ f9.3;
Data Rat2003;
infile “D:Rat2003.txt” lrecl=75;
input smbl 1-6yeara 8-11@ 13 CR f9.3 @ 23 SA f9.3 @ 33 TDA
f9.3 @ 43 ROE f9.3 @ 53 DuPontA f9.3 @ 63 NewZ f9.3;
CHAPTER 8 The Use of Financial Information
in the Risk and Return of Equity
1.Given the following data for stocks X, Y, and Z, find the means and
standard deviations of equally weighted, and risk-minimizing portfolios:
Stock Expected Returns Standard Deviation
X 0.075 0.125
Y 0.098 0.178
Z 0.147 0.251
2.Given the following file structure for December 1999, estimate the de-
terminants of returns (ret):
data FR1D&yymm;
infile “d:FR1D&yymm..txt” lrecl= 159;
input cusip $ 1-8 ticker $ 10-15 permno 17-22 @25 Ret&yymm
f7.4 @33 ep&yymm f6.3 @40 bp&yymm f6.3 @47
cp&yymm f6.3 @54 sp&yymm f6.3 @61 rep&yymm f6.3
@68 rbp&yymm f6.3 @75 rcp&yymm f6.3 @82 rsp&yymm
f6.3 @89 fep1&yymm f6.3 @96 fep2&yymm f6.3 @103
br1&yymm f6.3 @110 br2&yymm f6.3 @117 rv1&yymm
f6.3 @124 rv2&yymm f6.3 @131 ctef&yymm f6.3 @138
rd&yymm f6.3 @145 pm&yymm f6.3;
run;
264 EXERCISES
