Data Definitions, Properties, Transformations
In earlier chapters it was suggested that the models which will be used for industry analysis are the CAPM, and multi index models which include microeconomic and macroeconomic factors that may drive returns. Data are needed for the variables entering each of the above models in order to estimate them. Some of these variables are not readily available, but have to be constructed from more basic data. These data transformations, necessary to derive the final variables which are used in the estimated models, as well as the identification of sources of these data, are described in the next section of this chapter. Section 3.3 shows summary statistics describing the properties of the data for the water transportation industry over the period analysed. The statistics are presented in such a way so as to consider whether the total risk of the water transportation industry is different from that of the “average” company in the market, and also to provide some information on the stationarity of these returns. The final section of the chapter concludes.
KeywordsTerm Structure Market Index Macroeconomic Variable ARIMA Model Risk Free Rate
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