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1、Finance|金融ExecutivesummaryInthisreportwewilldiscussthefinancialsituationsofKelloggCompany,comparedwithS&P500andUnileverCompany.Firstly,weselecttheweeklydividend-adjustedclosingpricesofthesethreeassetsfrom1/1/2012to1/1/2015,anddemonstratethedescriptivestatisticsfortheweeklyreturnsofthesethreeassets.T

2、hen,weuseCAPMmodeltoexplaintheabnormalreturnsandrisksoftheKellogg.Inthethirdsection,theforecastingwillbeconductedbyapplyingthelaggedregressionmodeltoexaminewhetherthereturnsforthepreviousfourweeksonUnileversstockcanforecastthecurrentweek1sreturnoftheKellogg.Inthelastpart,wewilldiscussthebondvaluatio

3、noftheKelloggCompany(www.highma)DescriptivestatisticsInthissection,wewillreportthemean,median,therange,thevarianceandthestandarddeviationoftheweeklyreturnsforeachofthethreeassets.TableLTable2andTable3displaythedescriptivestatisticsoftheweeklyreturnsfortheS&P500,Unilever,andKelloggassets.Mean0.003179

4、161StandardError0.001227241Median0.003791228StandardDeviation0.015328239SampleVariance0.000234955Kurtosis().412050035Skewness-0.205695369Range0.088644557Minimum-0.042980959Maximum0.045663598Sum0.495949162Count156Table1DescriptivestatisticsofS&P500Mean0.002224374StandardError0.001724631Median0.003004

5、712StandardDeviation0.021540634SampleVariance0.000463999Kurtosis0.520653786Skewness0.016704183Range0.12441841Minimum-0.050344336Maximum0.074074074Sum0.347002296Count156Table2DescriptivestatisticsofUnileverMean0.002422814StandardError0.001481254Median0.004380746StandardDeviation0.018500852SampleVaria

6、nce0.000342282Kurtosis2.070430716Skewness-0.475901706Range0.134372754Minimum-0.067383804Maximum0.06698895Sum0.377958944Count156Table3DescriptivestatisticofKelloggIntermsofthesestatistics,therearestatisticalmeaningsandfinancialinterpretations.Firstly,themeanandthemedianmeasuresdescribethecentraltende

7、ncyreferringtothecenterofthedistributionofthedata.Intermsofstatisticalmeaning,themeanisthearithmeticaveragenumberofaseriesofvalues,ordistribution.Themedianisdefinedasthemiddlevaluewhichseparatesthedistributionintotwoequalhalves.Inpractice,themedianiswidelyusedtoindicatethecentraltendencyinaskeweddis

8、tribution/whilethemeanismoresuitablefornon-skeweddistributions.Thefinancialmeaningofmeanistheaverageweeklyreturnsforthethreeassetsduringthechosenperiod,whilethefinancialmeaningofmedianistheweeklyreturnsinthemiddleofthechosenperiod,the79thofthereturnsduringtheperiod.Sincethemeasureofthecentraltendenc

9、ycannotdescribethedatacompletely,weneeddispersiontodescribethespreadofthedata.Therearethreemainmeasuresofthedispersion,therange,thevariance,andthestandarddeviation.Statistically,therangeisthedifferencebetweenthelargestnumberandthesmallestnumberinthedataset.Theequationforthestandarddeviationisexpress

10、edinEquation1whereistheaveragereturn,andthevarianceisthesquareofthestandarddeviation(Feller,1950).Equation1StandardDeviationequationInfinance,thestandarddeviationandthevarianceofthereturnsdescribethetotalrisksofthecorrespondingassets,whilethemeanindicatestheexpectedreturnsoftheassets.InTable4,wecans

11、electthebestassetforthepotentialinvestors.TheS&P500isrecommendedbecauseithashighermeanvalueandlowerstandarddeviationamongthesethreeassets.NumberofObservations157LOCATIONS&P500ULKelloggMean0.0031791610.0022243740.002422814Median0.0037912280.0030047120.004380746DISPERSIONS&P500ULKelloggMinimum-0.04298

12、0959-0.050344336-0.067383804Maximum0.0456635980.0740740740.06698895Range0.0886445570.124418410.134372754StandardDeviation0.0153282390.0215406340.018500852Variance0.0002349550.0004639990.000342282Table4SummaryofthreeassetsNowwehaveaportfolioconsistingof60%Unileverand40%KelloggCompany.InFigureLwedrawt

13、heXYplotoftherelationshipbetweentheweeklyreturnsoftheUnileverandKelloggassets.AXYplotcansuggestavarietyofcorrelationsbetweenvariables.Oneadvantageofthisplotisthatitcandescribenonlinearrelationships（Keith,and口6川丫/2010）.Accordingtothisplot,thereisapositivelinearrelationshipbetweentheweeklyreturnsofthe

14、twoassets.InTable5,wecalculatethecovarianceandcorrelationbetweentheweeklyreturnsoftheUnileverandKelloggandtheaveragereturnandthestandarddeviationoftheassumedportfolio.XYPlotofUnileverandKelloggFigure 1 XYPlotofUnileverandKelloggweightswl60%w240%ExpectedreturnAverageret.UL0.22%Averageret.Kellogg0.24%

15、Portfolioreturn0.23%VarianceandVolatilityVarianceUL0.00046VarianceKellogg0.00034Covariance(UL&Kellogg)0.00015Correlation(UL&Kellogg)0.01213PortfolioVariance0.00063PortfolioStd.Deviation0.01213Table5ExpectedReturnandStandardDeviationofthePortfolioTheCapitalAssetPricingModeltheexcessreturnsoftheKelloggCompany(Y-axis),basedonanassumptionofaconstantweeklyris