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Old 01-25-2018, 11:53 AM
Jay1993 Jay1993 is offline
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Join Date: Jan 2018
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Exclamation Help with dissertation

Hi,

I am in my last year of university and I was hoping to get some help for my dissertation. My topic is on the relationship between credit ratings and equity returns and so far I have reached the Data & Methodology section.My plan is to follow previous study that explores the same relationship, however I am struggling with some technical issues. The first step from this study is to calculate the excess return using the market model: E=Rit-(a+B*Rmt)
E-excess return
Rit-rate of return on stock i for day t
Rmt- Daily return of the FTSE index
a-alpha
B-beta
How can I calculate alpha and beta? Also, do I have to use different alpha and beta for every credit announcement or I have to calculate the excess returns with one alpha and one beta So far, I have the dates of the credit announcements along with their share prices and calculated daily returns along with the FTSE daily returns and I need to explain (if) negative/positive credit announcements affect share price of the underlying company negatively/positively.
I have attached a snapshot of a previous study that follow the same approach to clarify what I am trying to say.

Many thanks in advance!
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