In msperlin/afedR: Data and Functions for Book "Analyzing Financial and Economical Data with R"

library(BatchGetSymbols)
library(tidyverse)

tickers <- GetSP500Stocks()$Tickers
first_date <- Sys.Date() - 3*365
last_date  <- Sys.Date()

df_stocks <- BatchGetSymbols(tickers = tickers, 
                             first.date = first_date, 
                             last.date = last_date)[[2]]

df_sp500 <- BatchGetSymbols(tickers =  '^GSPC', 
                            first.date = first_date, 
                            last.date = last_date)[[2]]

idx <- match(df_stocks$ref.date, df_sp500$ref.date)
df_stocks$ret_mkt <- df_sp500$ret.closing.prices[idx]

# calculate beta for each stock
estimate_beta <- function(df) {
  # Function to estimate beta from dataframe of stocks returns
  #
  # Args:
  #   df - Dataframe with columns ret and ret.sp500
  #
  # Returns:
  #   The value of beta

  my_model <- lm(data = df, 
                 formula = ret.adjusted.prices ~ ret_mkt)

  return(coef(my_model)[2])
}

my_betas <- by(data = df_stocks, 
               INDICES = df_stocks$ticker, 
               FUN = estimate_beta)

glimpse(my_betas)

# solution
p <- ggplot(tibble(betas = my_betas), aes(x = betas)) + 
  geom_histogram()

print(p)

# none
#my_answers <- make_random_answers(my_sol)
my_answers <- rep(NA, 5)

type_question <- 'string'
ex_name <- 'models 11 04'

Question

Use the BatchGetSymbols::GetSP500Stocks function to download data for all stocks that are part of the current SP500 index for the last three years. Using the SP500 itself -- ticker '^GSPC' -- as the market index, calculate the beta for each of the stocks. Display the histogram of the estimated betas. Note that the SP500 returns are not available in the original database and must be downloaded and added to the original database.

Solution

Meta-information

extype: r type_question exsolution: r mchoice2string(c(TRUE, FALSE, FALSE, FALSE, FALSE), single = TRUE) exname: r ex_name exshuffle: TRUE

msperlin/afedR documentation built on Sept. 11, 2022, 9:49 a.m.