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HK Stock Return Statistics

2018-04-25 (Wed)
HSI: 0.00  0 (0%)
HSCEI: 0.00  0 (0%)
Turnover: 98,063M
Short-selling Turnover: 10,996M

00939.HK  -  China Construction Bank Corporation
Stock Return Statistics

Yearly      Monthly
Last 120 MonthsStock ReturnHSI Return
Standard Deviation^29.13%N/A
Coefficient of Variation7.67N/A
Sharpe Ratio0.06N/A
Treynor Ratio0.06N/A
Chart Illustration: Linear Regression Chart displays the determined regression line crossing along the scattered plot while each red dot represents one monthly sample of Stock Return percentage of China Construction Bank Corporation (00939.HK) versus Hang Seng Index (HSI) Return percentage. Stock Return percentage of China Construction Bank Corporation (00939.HK) is the dependent variable HSI Return percentage is the independent variable explaining the dependent variable. Slope (Regressed Beta) and Y-Intercept (Regressed Alpha) are determined by the regression and relevant Analysis of Variance (ANOVA) Table is built to indicate if such regression is statistically significant given a level of confidence.
Risk-free Rate (Rf)*Market Risk Premium**Correlation Coefficient (R)t-value of R
Regressed αRegressed βAdjusted β***Required Return on Equity (re)****
Source of VariationDegrees of FreedomSum of SquaresMean Sum of SquaresF
Regression (explained)12,663.072,663.07N/A
Error (unexplained)1186,101.3951.71
    ^ Mean and sample standard deviation are both geometric and annualized.
    * Rf is estimated by the monthly average rate of 10-year HK government bond as of 3/2018.
    ** Market Risk Premium is estimated as HSI earnings yield minus Rf.
    *** Adjusted β is mean-reverting towards 1.
    **** Required Return on Equity is annualized and computed based on Capital Asset Pricing Model (CAPM).
    Last Update: 2018-04-24

Page Description:
The graph on the Return Stats page shows the linear regression between a specific stock and the Hang Seng Index. Under the Capital Asset Pricing Model (CAPM), Beta is regressed and adjusted, and Required Return on Equity is computed, as well as Mean Return, Sample Standard Deviation, Coefficient of Variation, Sharpe Ratio, Treynor Ratio and Correlation Coefficient of the specific stock and HSI across the specified period. The Analysis of Variance (ANOVA) Table is shown for users to judge the statistical significance of the regression between each stock and HSI. Yearly and monthly return data can be selected for the purpose of regression analysis.
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