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8/12/2019 Financial Derivatives Final
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Executive Summary
Should we invest money in securities# The decision depends on many factors$ the
availaility of funds! a willingness to take risks! economic knowledge and experience or the
desire to give the money in trust stock market professionals. Some people invest money in
securities without making examination on these securities. %s a result these people lose
money. Smart investors make! on the other hand empirical research! provide some
assumptions! predictions in order to compare the intrinsic value of the securities with market
value. &nvestment decision making eventually addresses the issues of risk. So how to measure
risk and relation etween expected risk and return# &s 'apital %sset "ricing (odel holds in
)a*akhstan companies or contradict#
The paper provides rief information on the ackground and o+ective of the report.
There is some information aout companies ,-S' )a*akhtelecom! )a*munaiga* " and
/haikmunai LL"0! including its history! operations and usiness integration which are
descried in the literature review. &n (ethodology section! some asic theoretical aspects of
empirical research and valuation methods will e discussed. Findings and analysis content
shows our empirical tests and calculation process of valuation common shares and results. &n
final section of 'onclusion12ecommendation! according to our experiment of regression
analysis we interpret the regression output with conducting valid tests and ased on
comparison of intrinsic value with market value! we give recommendation on whether to
invest or not in securities of the company.
Table of Contents
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%cknowledgement333333333333333333333333333.4
xecutive Summary3333333333333333333333333335
I. Introduction.6!
a. 6ackground33333333333333333333333333.7
. 8+ective333333333333333333333333333.7
c. Scope333333333333333333333333333.......7
d. Limitation33333333333333333333333333....7
e. Significance of the issue333333333333333333333..9
II. "iterature #eview
-S' )a*akhtelecom33333333333333333333333..9:;
)a*munaiga* "333333333333333333333333..9:;
III. $et%odology..&'&(
I). *indings and Analysis..&(+&
). Conclusion and #ecommendation.+&
2eferences333333333333333333333333333..44
I. Introduction
,ackground
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6ased on the availale data and information of the companies )a*akhmys plc!
/H%&)(as E- covering Dividend
Discount (odel. (oreover! our research group focuses attention of the reader on calculation
of reBuired rate of return and risk for the companyAs stock through 'apital asset pricing model
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,'%"(0 in order to assess its attractiveness for the investor. %dditionally! the estimation of
2eturn on Buity through Du"ont analysis will e presented in order to find the expected
growth rate. %ll necessary data for assessing stocks of these three companies is retrieved
from financial reports placed on official wesite of the companies! )a*akhstan Stock
xchange and investfunds.k*. &nformation for 'apital asset pricing model ,'%"(0 and
estimation of such variales as eta and market return and figure of risk free rate was otained
from bcc-invest.kz! )%S wesite.
"imitation
8ne of the main limitations of this paper is an asence of necessary data which may result in
inaccuracy of estimations. (oreover! little information is availale to the general pulic
regarding closing price of stocks in national currency for )a*akhstan oil and gas sector
especially for /haikmunai. %ll these factors served as challenge for the research group to
make a careful analysis. The empirical evidence of the 'apital %sset "ricing model is
inadeBuate to negate the way that it is used in applications. The '%"(As empirical issues
might reveal theoretical failures! the conseBuence of many simplifying hypotheses. %lso
another reason of these prolems of '%"( is that it might e performing some valid tests of
the model. Caluation of common stock is very complex process. The stock reBuires a deeper
analysis compared to preferred stock or dets and without making some assumptions or
predictions! the estimating the intrinsic value for the common shares is arduous in comparison
with other securities. From this fact! our assessing of the security will e ased on the
assumption concerning the excepted growth rate of dividends.
II. "iterature review
KazMunaiGaz Exploration
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)a*(unai>a* xploration "roduction -S' is a susidiary of =ational 'ompany
)a*(unay>as! which elongs to =ational Wealth Fund Samruk:)a*ynaE. )(> " was
founded in (arch 45 y the merger of two hitherto +oint stock companies! " has production
ranches
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=' )(>! others are treasury shares,!I G0! free float ordinary shares ,I!IG0 and
preference shares ,4!G0.
Kazakhmys
)a*akhmys is considered to e the largest copper producer in )a*akhstan and one of
the leading copper producers all over the world. The shares of the company are traded in
London stock exchange! Hong )ong and %lmaty. Due to fully integrated companyAs
operations! )a*akhmys is not merely highly profitale company! ut also one of the copper
producers! which has the lowest costs and flexiility to serve many different customers. %s
the copper is one of the key metals! which can e found in every new apartment or office
lock! vehicle and electrical appliance! the demand for it is not falling! meaning the stale
supply for the corporation.
)a*akhmys operates I7 underground and open pit mines across )a*akhstan. &n 4I4!
company mined 9.K million tonnes of copper ore and processed it in
I concentrators. 'ompany also operates three coal:fired plants and heating plants that
generate the necessary level of power for copper production and market excess capacity for
commercial aims. )a*akhmys is also the largest domestic power provider in )a*akhstan with
4G of market share. &n addition to corporationAs captive power plants! company owns KG
of the countryAs largest power station ,kiastu* >2S:I0! which produced around
I5!7 >Wh of power in 4I4! IG aove the previous year.
a) Analysis of company performance
%ccording to the information provided on )a*akhstan Stock xchange! )a*akhmys
shareholders are represented y following entities$
'uprum Holding Limited M IK ;55 4K shares! 4K.;G
Fund of =ational Welfare ?Samruk:)a*yna@ -S' M K 97 9; shares! IIG
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Harper Finance Limited M 4; 97 ;I shares! K.KKG
'ommittee of State "roperty and "rivati*ation! (inistry of Finance of the 2epulic of
)a*akhstan M 47 K shares! IKG
>eneral pulic M 4 7 ;4 shares! 5.7G
Total numer of stated shares eBuals to 9K ! out of them KK 5I9 ;7I shares
are outstanding. (ore than 5G of )a*akhmys shares are in hands of the pulic! it means that
there is interest from the general pulic toward investment in eBuity of the company. Some
portion of people prefers investment in stocks which is more risky in comparison with
placement of deposits in second:tier anks.
(oreover! even though the key financial indicators! which are illustrated elow! show
that companyAs earnings are fluctuating indicating the riskiness of investment in companyAs
shares! still 4; polled investment analysts examining the )a*akhmys "L' advise to investors
to hold their position in the corporation. To e more precise! according to the analystsA
forecasts company is going to outperform the market in the nearest future ,Financial Times
LTD! 4I0.
Furthermore! local analysts of %syl &nvest give the advice for investors on shares of
)a*akhmys "L' to uy and hold securities of this company due to strong operating results
and prospects for a recovery in demand for copper from 'hina and )a*(unai>as. %nalysts
8
49 4 4; 4I 4II 4I4
6&TD% ,Nm0 4!7 4!K7 I!75 4!K 4!;4K I!;I4
"S ,N0 .4 4.49 I.I 4.9; 4. .;5
Free 'ash Flow ,Nm0 ;K 9IK K9; 9I 45 K
'ash 'ost of 'opper ,
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also draw the attention of investors on the strong characteristics of the issuer in terms of its
efficiency! profitaility and alance sheet indicators and lagging stock price indicators of the
company from the overall market ,"rodengi.k*! 4I40.
&n accordance with analysis of related literature! investment in shares of )a*akhmys has
following pros and cons respectively$
)a*akhmys is engaged in the cyclical usiness! conseBuently! its revenue and earnings
are heavily influenced y aggregate usiness activity. &n terms of stocks! this company
has high eta and its rate of return has greater changes than the overall market rate of
return. This is negative side of the industry! it adds risk! ut at the same time return
increases.
)a*akhmys has differentiation competitive strategy which is explained y the fact that
company is uniBue in the industry! thatAs why it is extremely important for the uyers
of their product. This factor contriutes to high revenues. There is also influence of the
cyclical usiness! ut nevertheless this factor may positively affect the dividend policy
in the future.
Zhaikmunai
/haikmunai! a Limited "artnership ,the ?"artnership@ or ?/haikmunai@0 was
estalished in )a*akhstan in I;;9 for the purpose of exploration and development of
'hinarevskoye oil and gas condensate field in the Western )a*akhstan 2egion. The
"artnership carries out its activities in accordance with the 'ontract for %dditional
xploration! "roduction and "roduction M Sharing of 'rude Hydrocarons in the
'hinarevskoye oil and gas condensate field dated in 8ctoer I! I;;9 in accordance with the
license (> =o. 4KD for the exploration and production of hydrocarons in 'hinarevskoye
oil and gas condensate field etween the State 'ommittee of &nvestments of the 2epulic of
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condensate from neighoring fields and "ursue the Buest for further reserves at low finding
costs. Focus on Delivering Shareholder Calue which includes "ursue a alanced approach to
investment in growth over the long:term! nsure strong operating cash flow generation
guaranteeing the expenditure programme and maintain a sound capital structure! a clear
financial policy and a regular dividend payout.
III. $et%odology
%n empirical research is a scientific study which is ased on facts. %ny scientific research
starts with the collection! classification and generali*ation of the facts. The concept of JfactJ
has the following ma+or meanings$
I0 Some fragment of reality! o+ective events! the results that ased on either to the
o+ective reality ,Jfacts of realityJ0! or to the realm of consciousness and knowledge
,Jfacts of consciousnessJ0Q
40 )nowledge of any event! phenomenon! which crediility is provedQ
0 %ny assumptions or suggestions that fixing empirical knowledge which received
during experiments and oservations.
The internal structure of empirical level is formed into two sulevels$
a0 Direct oservation and experiments which result are referred to these oservationsQ
0 6y means of cognitive procedures! transition from oservations to empirical
dependences and facts is carried out.
The activity:ased nature of empirical research at level of oservation is most
distinctly shown in situations when oservation is carried out during real experiment. 6y
tradition! the experiment is opposed to oservation which is out of experiment. LetRs note that
a core of empirical research is an experiment M test of the studied phenomena in controllale
and manageale conditions. The distinction etween an experimentation and oservation is
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that experimental conditions are controlled and managed! ut in oservation the processes are
given ased on the natural course of events. Without denying specifics of these two types of
cognitive activities! it is necessary to pay attention to their common generic features. First of
all we need to consider in more detail what the feature of experimental research as practical
activity is. xperimental work is a specific form of natural interaction! and interactive
fragments of the nature in the experiment always appear as o+ects with functionally allocated
properties.
Ca0ital Asset -ricing $odel
8ne of the main prolems that can e encountered when assessing the value of the
assets is to determine the relationship etween risk and return. The market pattern Jthe higher
the risk! the higher the rate of returnJ is not in dout. &n this case! each investor forms its own
forecasts of relatively marked parameters. However! the market tends to keep moving in the
direction of a certain eBuilirium valuations of risk and return on assets. &n a well:developed
market! new information is Buickly reflected in the market value of assets! so for these
conditions! there is a model that would adeBuately descrie the relationship etween risk and
return of assets. Such a model is developed in the mid 7s. y William Sharpe and -ohn
Lintern and was named the valuation of financial assets ,capital asset pricing model : '%"(0.
,6essonova! 490
'apital %sset "ricing (odel ,'%"(0 M a model for the economic evaluation of
shares! securities! derivatives and 1 or assets y relating risk and expected return. '%"( is
ased on the idea that investors demand additional expected return ,risk premium0 if they are
asked to take on additional risk. ,6essonova! 490
&n I;;! William Sharpe won the =oel "ri*e in the realm of economics for his
contriutions to the theory of pricing financial assets! that is so:called the 'apital %sset
"ricing (odel ,'%"(0. This is a single:factor model! the key factor is a risk.
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The main result of '%"( is the estalishment of the relationship etween return
and risk of the asset for the eBuilirium of the market. 8ne of the most important things is the
fact that in the making choice! the investor must take into account not the entire risk of the
security! ut the only systematic or non:diversifiale. This part of the risk of an asset is
closely linked to the overall market and Buantitatively represented y coefficient beta which
wasintroduced y William Sharpe in his one:factor model. ,6essonova! 490
'%"( can e determined in the following way$
iM
M
fM
fi
RRRR
+=
4 ,I0
Where =iR expected return on eBuilirium of the securityQ MR M return on the marketQ
4
M M the variance of the market or its riskQ fR M risk free rateQ iM M the covariance
etween the return of financial asset and return of the market.
"articular attention should e paid to coefficient model! which characteri*es the sensitivity
of the asset to market changes. The coefficient of '%"( is the ratio of$
4
M
iM
=
This ratio is used to measure the market risk and the relationship etween the return of
the financial asset and the return of the asset market.
We can rewrite the formula ,I0 y the following way$
0, fMfi RRRR += ,40
Hence! it clear that the '%"( is ased on following key variales$
2f:the risk:free rate of an investment
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2m : the overall stock market risk
: the stockRs eta
The capital asset pricing model '%"( : is single:factor model. &t is Buite widespread.
6ut like any other models! it has oth advantages and disadvantages. The main advantage is
that this model clearly descries the relationship etween return and risk. %s well as its main
drawack is that it is one factor and! therefore! cannot take into account all the factors
affecting the return. (S%ar0e, Alexander, ,ailey1 +''23
mpirical evidence was in favor of '%"( and the model ecame extremely famous in
the modern portfolio theory. Things were clear$ stocks with eta lower than I were considered
passive stocks and stocks with eta higher than I were considered aggressive and risky.
Depending on their appetite toward risk! investors would choose the stocks in their portfolio
according to the value of eta.
Though! some criticisms of '%"( appeared. 8ne very known critic in literature
elongs to Fama and French. &n I;;4! they discovered a negative relationship etween risk
and return. Since then! a very important Buestion is eing asked$ ?&s 6eta dead# @. %nd if the
answer is yes! what is the true nature and measure of risk# Fama and French came up with the
conclusion that a more realistic approach of the risk in the market is the multi:index models.
They argued that si*e of the firm and the ook to market value have a significant influence on
the performance of a stock.
4ividend 4iscount $odel 544$3
% lot of stock exchanges allow investors to invest in several securities including
stocks. To find necessary information aout stock! investors employ different types of
investment analyses including fundamental analysis. (any methods for calculating the
intrinsic value of a stock is used. &nvestors freBuently apply the dividend discount model to
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estimate the intrinsic value of a stock. 6ased on this model! they uy! hold or sell the stock.
,>8TTW%LD! 4I40
The dividend discount model provides a method of elaorating an explicit expected
return for the stock market. &t is a means of assessing ased on theory that a stock is eBual to
the discounted sum of all its future dividend payments. &n other words! the intrinsic value of a
stock is determined similar to the present value of future dividends. The stocks are valued
ased on the net present value of the future dividends. The predicting of future dividends is
sometimes rather prolematic. ,>8TTW%LD! 4I40.
Several methods of the dividend discount model are employed y the financial
analytics. The easiest method is that the value of a stock eBuals to the value for a perpetual
annuity with a constant level of payments.
" DivI1 ,k M g0
8ther methods are ased on increasing! stagnation or decreasing of dividends. The increasing
or decreasing of dividends can e in two ways$ linear or nonlinear. Financial analytics usually
consider possile increase rate of dividends with the aid of financial statements of companies
or historical information analysis. &n order to examine historical data! we should discover the
existence of such data. The possile growth rate of dividends relies on factors like dividend
policy! profit margin! return on eBuity and indetedness. ,>8TTW%LD! 4I40.
%ccording to 6lackwell! >riffiths and Winters ,490! stocks are divided y stocks
that pay dividends and stocks that do not pay dividends. %n investor who chooses the stock
which gives dividend looks forward to take part in two sets of future cash flows$ a stream of
future dividends and a sales price when the stock is sold.
6y assessing a dividend paying stock! we should make some hypothesis aout
dividend growth$ no growth in dividends! constant growth in dividends or non:constant
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growth in dividends. However! the hypothesis aout no growth in dividends could appear
insustantial. The speculation of constant dividends is appropriate for the peculiarities of
preferred stock! which contains a stated dividend of a fixed amount. %ll preferred stock
dividends have to e fully disursed efore any dividend on common stock can e disursed.
Supposition of constant growth in dividends is acceptale for the ig! stale! dividend:paying
companies! which are usually named as ?lue chip@ firms. % more general kind of assumption
is the non:constant growth in dividends which says that dividends are supposed to go down to
a rate of growth that is sustainale over the long run. There are often three:stage! four:stage
non:constant growth models in dividends are employed in practice. ,>8TTW%LD! 4I40.
The price of a share of stock is the present value of all expected future dividends
per share discounted at market capitali*ation rate$
Vj value of common stock +QDt dividend during period tQ k reBuired rate of return of
stockj or cost of eBuityQ t the holding period. The model was initially developed y
Williams ,I;0 and afterwards expanded y >ordon ,I;70 ,6realey U(yers ,4$ 75:
770.0
&n order to apply the aove eBuation! an investor has to predict all future
dividends. %nd additionally specific assumptions have to e made! these assumptions are
ased on dividend growth rates. Thus! the dividend per share at any time t can e expressed as
the dividend per share at time t:I times the growth rate of gt ,Sharpe! I;;;0$
Dt Dt:I O ,I V gt0
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We made the valuation of common stock ased on ?Two:stage Dividend
Discount (odel@. The model consists of two stages of growthQ an expected growth rate that
lasts ?t@ years and a steady state growth rate that lasts infinitely$
Where the intrinsic value of common stockQ
D Dividends per share at year 4I4Q
g expected growth rate that lasts t yearsQ
r cost of eBuity
"= "rice or Terminal value at the end of year =
%ccording to our assumption! the expected growth rate which we are going to
estimate y formula! " Ret#rn on e$#ity % Retention Ratio,will last for the next five years
and after five years it will e eBual to >D" growth rate of )a*akhstan which are KG until
eternity ,4I40 ,KG >D" growth rate is taken from the official wesite0
'ost of eBuity will e estimated according to the 'apital %sset "ricing (odel$
0, fMfi RRRR += ! in this eBuation risk free rate will e taken from )a*akhstan official
wesite which is called c:invest.k* that eBuals to the K.KGQ we will calculate the market
return ased on )%S &=D of monthly data starting from 4 till 4I4! as oth
)a*(unai>as " and -S' )a*akhtelecom are listed in this indexQ the will e estimated
ased on the historical stock prices of two companies also referring to the monthly data. From
historical prices we will otain annual returns and use formula for finding the $
& " 'ovariance (' *azak+telecom, *A D/) 0 Variance (*A D/)
& " 'ovariance (*azM#nai1as , *A D/) 0 Variance (*A D/).
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%s mentioned aove! the formula for calculating the expected growth rate that we
are going to use$
! " Ret#rn on e$#ity % Retention Ratio
For estimating 2eturn on eBuity we will employ Du"ont analysis and Financial Statement of
the two companies for 4I4$
R2 " rofit Mar!in (rofit0ales) % 3otal Asset 3#rnover (ales0Assets) % $#ity M#ltiplier
(Assets0$#ity)
2etention ratio will e estimated y the following formula$
Retention Ratio " (4 5 D for 67460 (or et ncome) for 6746) " (4 5 ay2#t ratio)
%fter that we will compute the present value of all expected future dividends per
share discounted at the cost of eBuity. The terminal value will e computed after five years y
this formula$
"= xpected dividends per share at end of year =1,'ost of eBuity M >D" steady state
growth rate0
I). *indings and Analysis
The data that examined here are the monthly returns for the three companies. The data
cover for )a*munaiga* and )a*akhmys Decemer 49 through Decemer 4I4 and for
/haikmunai (arch 4 through Decemer 4I4. The market return is measured for
three companies using the London Stock xchange. Here are the values$
Kazakhmys LSE
Date Close Return Date Close Return
31-Dec-2012 778 0.090399 31-Dec-2012 1088 0.113043
30-Nov-2012 713.5 0.006347 30-Nov-2012 977.5 0.00205
31-Oct-2012 709 0.02327 31-Oct-2012 975.5 0.034464
28-Sep-2012 692.5 0.167791 28-Sep-2012 943 !0.0503
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31-Aug-2012 593 !0.157 31-Aug-2012 993.5 0.024755
31-Jul-2012 705 !0.0227 31-Jul-2012 969.5 !0.03436
29-Jun-2012 721.5 0.04962 29-Jun-2012 1004 0.004
31-May-2012 665 !0.22764 31-May-2012 1000 !0.00
30-Ap-2012 861 !0.05176 30-Ap-2012 1088 0.052224
30-Ma-2012 908 !0.1124 30-Ma-2012 1034 0.146341
29-!e"-2012 1109 !0.02377 29-!e"-2012 902 0.03672
31-Jan-2012 1136 0.22545 31-Jan-2012 870 0.09434
30-Dec-2011 927 0.002162 30-Dec-2011 795 !0.07612
30-Nov-2011 925 !0.0027 30-Nov-2011 860.5 !0.0439
31-Oct-2011 927.5 0.169609 31-Oct-2011 900 0.104294
30-Sep-2011 793 !0.27314 30-Sep-2011 815 !0.11461
31-Aug-2011 1091 !0.19065 31-Aug-2011 920.5 !0.07673
29-Jul-2011 1348 !0.02319 29-Jul-2011 997 !0.06032
30-Jun-2011 1380 0.05022 30-Jun-2011 1061 0.02101
31-May-2011 1314 !0.04714 31-May-2011 980.5 0.125072
28-Ap-2011 1379 !0.01076 28-Ap-2011 871.5 0.04647
31-Ma-2011 1394 !0.03463 31-Ma-2011 832.5 !0.07528-!e"-2011 1444 !0.04117 28-!e"-2011 900 0.0633
31-Jan-2011 1506 !0.06691 31-Jan-2011 846 0.009547
31-Dec-2010 1614 0.164502 31-Dec-2010 838 0.10412
30-Nov-2010 1386 0.053191 30-Nov-2010 758.5 0.033379
29-Oct-2010 1316 !0.09366 29-Oct-2010 734 0.07727
30-Sep-2010 1452 0.256055 30-Sep-2010 681 0.031037
31-Aug-2010 1156 !0.04934 31-Aug-2010 660.5 0.02066
30-Jul-2010 1216 0.22334 30-Jul-2010 647 0.1411
30-Jun-2010 994 !0.1611 30-Jun-2010 563.5 !0.12227
31-May-2010 1185 !0.1559 31-May-2010 642 !0.06277
30-Ap-2010 1404 !0.0055 30-Ap-2010 685 !0.0359
31-Ma-2010 1527 0.13702 31-Ma-2010 710.5 0.0642126-!e"-2010 1341 0.10002 26-!e"-2010 665 0.036633
29-Jan-2010 1219 !0.020 29-Jan-2010 641.5 !0.10655
31-Dec-2009 1328 0.07704 31-Dec-2009 718 !0.0455
30-Nov-2009 1233 0.132231 30-Nov-2009 752.5 !0.11575
30-Oct-2009 1089 0.013966 30-Oct-2009 851 !0.0054
30-Sep-2009 1074 0.06495 30-Sep-2009 856 0.062694
31-Aug-2009 988.5 0.154116 31-Aug-2009 805.5 0.13132
31-Jul-2009 856.5 0.359524 31-Jul-2009 712 0.013523
30-Jun-2009 630 !0.0762 30-Jun-2009 702.5 0.0154
29-May-2009 690.5 0.290654 29-May-2009 689.5 !0.07944
30-Ap-2009 535 0.442049 30-Ap-2009 749 0.324492
31-Ma-2009 371 0.4173 31-Ma-2009 565.5 0.302245
27-!e"-2009 261.5 0.16715 27-!e"-2009 434.25 !0.09766
30-Jan-2009 223.75 !0.03139 30-Jan-2009 481.25 !0.05637
31-Dec-2008 231 !0.1106 31-Dec-2008 510 !0.16256
28-Nov-2008 259.75 !0.09019 28-Nov-2008 609 0.090421
31-Oct-2008 285.5 !0.50776 31-Oct-2008 558.5 !0.3524
30-Sep-2008 580 !0.5510 30-Sep-2008 863 0.0272
29-Aug-2008 1292 !0.1309 29-Aug-2008 793 !0.04573
31-Jul-2008 1499 !0.0542 31-Jul-2008 831 0.06535
30-Jun-2008 1592 !0.05799 30-Jun-2008 780 !0.24051
30-May-2008 1690 0.0626 30-May-2008 1027 !0.04643
30-Ap-2008 1582 !0.00939 30-Ap-2008 1077 !0.1044
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31-Ma-2008 1597 0.0329 31-Ma-2008 1208 !0.11111
29-!e"-2008 1546 0.27242 29-!e"-2008 1359 !0.19633
31-Jan-2008 1215 !0.11379 31-Jan-2008 1691 !0.14553
31-Dec-2007 1371 31-Dec-2007 1979
Kaz"una#$as LSE
Date Close Return Date Close Return
31-Dec-2012 18 !0.03743 31-Dec-2012 1088 0.113043
30-Nov-2012 18.7 0.053521 30-Nov-2012 977.5 0.00205
31-Oct-2012 17.75 !0.03794 31-Oct-2012 975.5 0.034464
28-Sep-2012 18.45 0.025 28-Sep-2012 943 -0.05083
31-Aug-2012 18 !0.00662 31-Aug-2012 993.5 0.024755
31-Jul-2012 18.12 0.07219 31-Jul-2012 969.5 -0.03436
29-Jun-2012 16.9 !0.09042 29-Jun-2012 1004 0.004
31-May-2012 18.58 !0.071 31-May-2012 1000 -0.08088
30-Ap-2012 20 !0.0131 30-Ap-2012 1088 0.05222430-Ma-2012 20.28 0.132961 30-Ma-2012 1034 0.146341
29-!e"-2012 17.9 0.132911 29-!e"-2012 902 0.036782
31-Jan-2012 15.8 0.05656 31-Jan-2012 870 0.09434
30-Dec-2011 14.95 !0.07143 30-Dec-2011 795 -0.07612
30-Nov-2011 16.1 !0.0513 30-Nov-2011 860.5 -0.04389
31-Oct-2011 16.98 0.15254 31-Oct-2011 900 0.104294
30-Sep-2011 14.66 !0.1351 30-Sep-2011 815 -0.11461
31-Aug-2011 16.95 !0.037 31-Aug-2011 920.5 -0.07673
29-Jul-2011 18.5 !0.07035 29-Jul-2011 997 -0.06032
30-Jun-2011 19.9 !0.07657 30-Jun-2011 1061 0.082101
31-May-2011 21.55 !0.0457 31-May-2011 980.5 0.125072
28-Ap-2011 22.65 !0.02455 28-Ap-2011 871.5 0.04684728-Ma-2011 23.22 0.009565 31-Ma-2011 832.5 -0.075
28-!e"-2011 23 0.069767 28-!e"-2011 900 0.06383
31-Jan-2011 21.5 0.04216 31-Jan-2011 846 0.009547
31-Dec-2010 19.83 0.03212 31-Dec-2010 838 0.104812
30-Nov-2010 19.2 0.116279 30-Nov-2010 758.5 0.033379
29-Oct-2010 17.2 !0.0266 29-Oct-2010 734 0.077827
30-Sep-2010 17.67 0.001701 30-Sep-2010 681 0.031037
31-Aug-2010 17.64 !0.0916 31-Aug-2010 660.5 0.020866
30-Jul-2010 19.56 0.051613 30-Jul-2010 647 0.148181
30-Jun-2010 18.6 !0.1327 30-Jun-2010 563.5 -0.12227
31-May-2010 21.45 !0.1205 31-May-2010 642 -0.06277
30-Ap-2010 24.6 !0.0024 30-Ap-2010 685 -0.03589
31-Ma-2010 24.67 0.021955 31-Ma-2010 710.5 0.068421
26-!e"-2010 24.14 !0.04961 26-!e"-2010 665 0.036633
29-Jan-2010 25.4 0.0200 29-Jan-2010 641.5 -0.10655
31-Dec-2009 24.9 0.033195 31-Dec-2009 718 -0.04585
30-Nov-2009 24.1 0.019027 30-Nov-2009 752.5 -0.11575
30-Oct-2009 23.65 0.056747 30-Oct-2009 851 -0.00584
30-Sep-2009 22.38 0.017273 30-Sep-2009 856 0.062694
31-Aug-2009 22 0.0202 31-Aug-2009 805.5 0.13132
31-Jul-2009 21.55 0.134211 31-Jul-2009 712 0.013523
30-Jun-2009 19 !0.13597 30-Jun-2009 702.5 0.018854
29-May-2009 21.99 0.23176 29-May-2009 689.5 -0.07944
20
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30-Ap-2009 17.76 0.191946 30-Ap-2009 749 0.324492
31-Ma-2009 14.9 0.214344 31-Ma-2009 565.5 0.302245
27-!e"-2009 12.27 !0.0336 27-!e"-2009 434.25 -0.09766
30-Jan-2009 12.7 0.007937 30-Jan-2009 481.25 -0.05637
31-Dec-2008 12.6 !0.0604 31-Dec-2008 510 -0.16256
28-Nov-2008 13.41 !0.04214 28-Nov-2008 609 0.090421
31-Oct-2008 14 !0.09677 31-Oct-2008 558.5 -0.35284
30-Sep-2008 15.5 !0.33045 30-Sep-2008 863 0.088272
29-Aug-2008 23.15 !0.09216 29-Aug-2008 793 -0.04573
31-Jul-2008 25.5 !0.15619 31-Jul-2008 831 0.065385
17-Jun-2008 30.22 !0.0672 30-Jun-2008 780 -0.24051
30-May-2008 32.45 0.103741 30-May-2008 1027 -0.04643
30-Ap-2008 29.4 0.173653 30-Ap-2008 1077 -0.10844
31-Ma-2008 25.05 0.01417 31-Ma-2008 1208 -0.11111
29-!e"-2008 24.7 !0.05364 29-!e"-2008 1359 -0.19633
31-Jan-2008 26.1 !0.1506 31-Jan-2008 1691 -0.14553
31-Dec-2007 31 31-Dec-2007 1979
%ha#kmuna# LSE
Date Close Return Date Close Return
31-Dec-2012 10.7 -0.02727 31-Dec-2012 1088 0.113043
30-Nov-2012 11 0.028037 30-Nov-2012 977.5 0.00205
31-Oct-2012 10.7 0.04902 31-Oct-2012 975.5 0.034464
28-Sep-2012 10.2 0.051546 28-Sep-2012 943 -0.05083
31-Aug-2012 9.7 0.175758 31-Aug-2012 993.5 0.024755
31-Jul-2012 8.25 -0.02941 31-Jul-2012 969.5 -0.03436
29-Jun-2012 8.5 -0.12821 29-Jun-2012 1004 0.004
31-May-2012 9.75 -0.09302 31-May-2012 1000 -0.08088
30-Ap-2012 10.75 -0.03932 30-Ap-2012 1088 0.052224
30-Ma-2012 11.19 -0.01842 30-Ma-2012 1034 0.146341
29-!e"-2012 11.4 0.055556 29-!e"-2012 902 0.036782
31-Jan-2012 10.8 0.112255 31-Jan-2012 870 0.09434
30-Dec-2011 9.71 0.078889 30-Dec-2011 795 -0.07612
30-Nov-2011 9 0.086957 30-Nov-2011 860.5 -0.04389
31-Oct-2011 8.28 0.118919 31-Oct-2011 900 0.104294
30-Sep-2011 7.4 -0.09756 30-Sep-2011 815 -0.11461
31-Aug-2011 8.2 -0.17172 31-Aug-2011 920.5 -0.07673
29-Jul-2011 9.9 -0.00503 29-Jul-2011 997 -0.0603230-Jun-2011 9.95 -0.09545 30-Jun-2011 1061 0.082101
31-May-2011 11 -0.07329 31-May-2011 980.5 0.125072
28-Ap-2011 11.87 -0.04274 28-Ap-2011 871.5 0.046847
31-Ma-2011 12.4 -0.04542 31-Ma-2011 832.5 -0.075
28-!e"-2011 12.99 0.05868 28-!e"-2011 900 0.06383
31-Jan-2011 12.27 0.0225 31-Jan-2011 846 0.009547
31-Dec-2010 12 0.043478 31-Dec-2010 838 0.104812
30-Nov-2010 11.5 0.084906 30-Nov-2010 758.5 0.033379
29-Oct-2010 10.6 0.325 29-Oct-2010 734 0.077827
30-Sep-2010 8 0.142857 30-Sep-2010 681 0.031037
31-Aug-2010 7 -0.05405 31-Aug-2010 660.5 0.020866
30-Jul-2010 7.4 0 30-Jul-2010 647 0.148181
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30-Jun-2010 7.4 -0.06329 30-Jun-2010 563.5 -0.12227
31-May-2010 7.9 -0.07494 31-May-2010 642 -0.06277
30-Ap-2010 8.54 -0.024 30-Ap-2010 685 -0.03589
31-Ma-2010 8.75 0.11465 31-Ma-2010 710.5 0.068421
26-!e"-2010 7.85 -0.04848 26-!e"-2010 665 0.036633
29-Jan-2010 8.25 -0.02941 29-Jan-2010 641.5 -0.10655
31-Dec-2009 8.5 0.307692 31-Dec-2009 718 -0.04585
30-Nov-2009 6.5 0.382979 30-Nov-2009 752.5 -0.11575
30-Oct-2009 4.7 -0.01053 30-Oct-2009 851 -0.00584
30-Sep-2009 4.75 -0.05 30-Sep-2009 856 0.062694
31-Aug-2009 5 0.136364 31-Aug-2009 805.5 0.13132
31-Jul-2009 4.4 -0.2 31-Jul-2009 712 0.013523
30-Jun-2009 5.5 0.222222 30-Jun-2009 702.5 0.018854
29-May-2009 4.5 0.084337 29-May-2009 689.5 -0.07944
30-Ap-2009 4.15 1.075 30-Ap-2009 749 0.324492
31-Ma-2009 2 -0.14894 31-Ma-2009 565.5 0.302245
27-!e"-2009 2.35 0.175 27-!e"-2009 434.25 -0.09766
30-Jan-2009 2 -0.27273 30-Jan-2009 481.25 -0.0563731-Dec-2008 2.75 -0.40605 31-Dec-2008 510 -0.16256
28-Nov-2008 4.63 -0.02526 28-Nov-2008 609 0.090421
31-Oct-2008 4.75 -0.40625 31-Oct-2008 558.5 -0.35284
30-Sep-2008 8 -0.41606 30-Sep-2008 863 0.088272
29-Aug-2008 13.7 -0.05517 29-Aug-2008 793 -0.04573
30-Jul-2008 14.5 -0.08805 31-Jul-2008 831 0.065385
30-Jun-2008 15.9 0.05298 30-Jun-2008 780 -0.24051
30-May-2008 15.1 0.263598 30-May-2008 1027 -0.04643
30-Ap-2008 11.95 0.138095 30-Ap-2008 1077 -0.10844
31-Ma-2008 10.5 0.009615 31-Ma-2008 1208 -0.11111
28-Ma-2008 10.4 29-!e"-2008 1359
Here are the results of a regression fit$
a7muniaga7
Depen$ent %a&a"le' (A)M*N
Met+o$' ,eat Suae
Date' 12/11/13 &e' 04'12
Saple' 2008M01 2012M12
nclu$e$ o"evat&on' 60
(A)M*N12,SA
oe&c&ent St$. :o t-Stat&t&c ;o".
1 -0.002705 0.012604 -0.214621 0.8308
2 0.304331 0.110258 2.760171 0.0077
e &no c&te&on -1.783350
Su uae$ e&$ 0.552363 Sc+?a@ c&te&on -1.713538
,og l&>el&+oo$ 55.50049 annan-Bu&nn c&te. -1.756043
!-tat&t&c 7.618541 Du"&n-Caton tat 1.710942
;o"!-tat&t&c 0.007720
22
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a7ak%mys
Depen$ent %a&a"le' (A)MS
Met+o$' ,eat Suae
Date' 12/11/13 &e' 04'16Saple' 2008M01 2012M12
nclu$e$ o"evat&on' 60
(A)MS12,SA
oe&c&ent St$. :o t-Stat&t&c ;o".
1 0.011164 0.021565 0.517678 0.6067
2 0.683307 0.188654 3.622002 0.0006
e &no c&te&on -0.709163
Su uae$ e&$ 1.617105 Sc+?a@ c&te&on -0.639352,og l&>el&+oo$ 23.27490 annan-Bu&nn c&te. -0.681856
!-tat&t&c 13.11890 Du"&n-Caton tat 1.448329
;o"!-tat&t&c 0.000616
8%aikmunai
Depen$ent %a&a"le' )A(
Met+o$' ,eat Suae
Date' 12/11/13 &e' 04'21
Saple a$=ute$' 2008M01 2012M10
nclu$e$ o"evat&on' 58 ate a$=utent
)A(12,SA2
oe&c&ent St$. :o t-Stat&t&c ;o".
1 0.018285 0.026377 0.693218 0.4910
2 0.644823 0.236041 2.731821 0.0084
e &no c&te&on -0.338854
Su uae$ e&$ 2.258604 Sc+?a@ c&te&on -0.267804
,og l&>el&+oo$ 11.82676 annan-Bu&nn c&te. -0.311178
!-tat&t&c 7.462843 Du"&n-Caton tat 1.780661
;o"!-tat&t&c 0.008409
23
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The estimate of three etas is$ '.9':5a7munaiga731 '.6295a7ak%mys31
'.6::58%aikmunai3. %s we see stocks of a7akmys is doule riskierthana7munaiga71
ut a little it riskier than 8%aikmunai.However all three companiesA stocks have less price
volatility than the market and are less risky.
&f we conduct t-test for the hypothesis $
87 9 & " 7
849 & : 7
a7munaiga7;
*azm#nai!az ret#rn " -7.776;7< = 7.>7?>>4 Market Ret#rn R6" 7.44@47>
se (7.746@7?) (7.44767) (7.77;;) t "&0se(&) "7.>7?>>407.4476>7;Market Ret#rn R6" 7.4??@?
se (7.764
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References
>ottwald! 2. ,4I40. 38 E 2F 38 DVDD D'2E3 M2DG 32
MAER 32'* R' V2GA3G3H. -ournal of interdisciplinary research
6essonova 8. S. E 2F 'A3AG A3 R'1 M2DG ('AM) F2R
/'3D R3ER F2R'A31 2 /AMG 2F
3G'2MME'A32 '2MA 32'*
>u+arati D.Iasic conometrics
Fama! .F. U French! ).2. ,450. The 'apital %sset "ricing (odel$ theory and
evidence.o#rnal of conomic erspectives 4,0.
Farrell! -. ,I;K0. The dividend discount model$ a primer.Financial Analysts o#rnal
?4,70.
Hillier! D.! 2oss!S.! Westerfield! 2.! -affe! -. U -ordan! 6. ,4I0. 'orporate Finance.
raw:Hill
26
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