Summary Statistics for AIMCO Business Statistics Project Worksheet


Description

Explanation & Answer length: 6 Pages.

  • Project Length: Roughly 6 pages (including graphs and tables), double spaced, but it can be longer.
  • This paper must be written in the format of a research paper (minus the references, unless you want to include some—but it’s not required).
  • A maximum of three students can work together—or you can work alone, or in pairs.

Idea: Why do prices of an investment in REIT go up or down? In other words, to obtain insight in the drivers of REIT returns.

1. INTRODUCTION (This section should be a minimum of 1 page):

What is the population we are studying (Apartment Investment & Management Co: https://www.aimco.com/ )? Give a brief introduction on what this REIT is, where it invests, etc. What kind of data is this (time series data or cross sectional data)? What is the size of the sample? What do you hope to show using this data?

2. DESCRIPTIVE STATISTICS (This section should be a minimum of 2 pages):

2.1 Include a list of the variables and their descriptions (see Excel spreadsheet).

2.2 Summarize the return and the other nine variables that you are analyzing.  Make a table with the Means, Medians, Standard Deviations, etc. like the following:

Table 1: Summary Statistics for AIMCO

VariableMeanMedianStandard Deviation10% percentile90% percentile
Return     
Price-to-Book     
Debt-to-Equity     
ROE     
Operating Margin     
Beta     
Share Volatility     
FCF yield     
Asset Turnover     
Capex to Assets     
Share turnover     

2.3 Include two graphs:

  • Show the price of the share in a graph over time
  • Make a histogram for the return of the share; you have to select the borders of the bins (in total 7-10 bins)

Below the graphs write a brief explanation of what each graph shows.

2.4 Include a table with the correlations between all ten variables (including return).

3. INFERENTIAL ANALYSIS (This section should be a minimum of 2 pages):

3.1 Perform multiple linear regressions with all explanatory variables

Return = βo + β1X1 + β2X2 + …. + β10X10 + e                       (1)

In Table 2 below are the results from equation (1).

Present your regression results in a table and briefly explain your findings.

                Table 2: Multiple Linear Regression Model 1 Results

VariableCoefficient (β)p-valueSignificance *)
Intercept (βo)   
Price-to-Book   
Debt-to-Equity   
etc   
    
    
    
R2  
Adjusted R2 
MSE (=SSR/n)   
F-test   

*) *Significant at the 10% level, ** significant at the 5% level, *** significant at the 1% level.

3.2 Adjusted regression. Exclude indicators that are individually not significant at the 10% level, and with the remaining indicators you run a second regression.

Return = βo + β..X.. + …. + β..X.. + e                        (2)

In Table 3 below are the results from equation 2.

Present your regression results in a table and briefly explain your findings.

                Table 3: Multiple Linear Regression Model 2 Results

VariableCoefficient (β)p-valueSignificance *)
Intercept (βo)   
Price-to-Book   
Debt-to-Equity   
etc   
    
    
    
R2  
Adjusted R2 
F-test   

CONCLUSION

Conclusion: Which variable(s) explain the return the best?

Teams

Will, Austin, KevinAbby, Malika, ZivLance Varela
Nicole, Sarah, JuliaBrianna, Alexa, BrookeConnor Elliott
Sam, Joe, JagerKarl, Eric, LoriMatt Maynard
Vincenzo, MueRoss Campbell
DateShare priceReturnPrice-to-BookDebt-to-EquityROEOperating MarginBetaShare VolatilityFCF yieldAsset Turnover Capex to AssetsShare turnover
12/31/2000             45.339.932.14147.732.1932.550.4618.72-1.330.170.0011.88
3/31/2001             40.35-9.431.67127.301.1232.660.6923.66-1.470.18-0.8031.47
6/30/2001             43.7610.191.89130.751.7832.410.6010.10-1.420.190.0013.47
9/30/2001             41.09-4.482.09137.651.0936.880.5919.77-1.420.190.0016.07
12/31/2001             41.512.760.54149.640.4238.450.5911.07-1.420.19-1.2717.80
3/31/2002             43.917.572.17161.623.5642.210.6512.59-1.420.17-0.8022.02
6/30/2002             44.663.411.92135.593.8039.930.6016.63-1.420.170.0021.65
9/30/2002             35.27-19.371.54156.685.2137.820.7815.09-1.420.17-7.1928.32
12/31/2002             34.02-1.421.58168.301.7636.630.6711.85-1.420.16-0.6026.26
3/31/2003             33.12-0.481.59176.911.5633.290.6125.70-1.420.15-0.6743.44
6/30/2003             31.41-2.911.54171.351.9233.850.5224.14-2.320.15-0.5737.23
9/30/2003             35.7315.491.81191.861.4630.750.5612.271.020.15-1.9031.17
12/31/2003             31.32-10.821.62184.652.9928.150.4413.840.560.14-0.6540.79
3/31/2004             28.22-8.141.51180.042.8227.410.5717.88-1.550.14-2.0644.99
6/30/2004             28.262.061.56193.030.7826.080.0217.25-2.010.14-0.6441.48
9/30/2004             31.5713.651.68173.576.9922.02-0.1317.86-1.950.14-1.8440.26
12/31/2004             34.9912.541.86160.918.8019.580.0115.71-2.450.14-1.4235.05
3/31/2005             33.77-1.921.80177.949.0320.350.0023.99-2.470.14-3.1442.64
6/30/2005             37.1511.612.10194.989.2520.92-0.0314.74-3.560.13-1.2637.49
9/30/2005             35.20-3.762.03192.102.0818.23-0.0115.58-3.240.14-1.1238.73
12/31/2005             34.380.752.13191.08-0.9221.950.6018.51-3.040.14-1.2043.62
3/31/2006             42.5823.842.64199.041.6120.820.8617.05-2.810.140.0040.58
6/30/2006             39.44-6.082.46207.004.1422.051.0718.18-2.810.15-1.5742.40
9/30/2006             49.3926.613.37244.281.3620.341.7513.70-2.810.15-1.4939.39
12/31/2006             50.852.963.58251.065.9419.551.8820.10-2.810.16-2.2947.04
3/31/2007             52.372.983.64258.513.9617.651.9429.89-2.810.16-1.9273.45
6/30/2007             45.77-11.613.36265.961.9820.261.2333.79-2.950.16-2.3681.34
9/30/2007             40.97-9.423.26302.103.9516.221.4332.65-5.570.16-6.2387.93
12/31/2007             31.53-16.153.25326.79-2.848.641.7750.43-5.680.13-2.2298.46
3/31/2008             32.513.113.96374.095.2814.240.7648.78-5.360.13-1.43116.09
6/30/2008             30.92-3.693.42348.1213.4018.140.7438.15-4.720.12-2.0698.38
9/30/2008             33.9216.383.56327.6330.5614.77-0.3584.08-2.680.12-1.90152.81
12/31/2008             14.75-41.922.04349.8744.254.031.15176.15-4.160.13-2.39283.21
3/31/2009               7.00-51.690.93376.2046.7510.451.69133.59-3.950.13-0.75315.57
6/30/2009             11.3063.321.58374.6210.7910.772.3667.85-3.670.13-0.89232.41
9/30/2009             18.8367.802.86362.05-15.866.462.4759.54-2.420.13-0.83125.16
12/31/2009             20.338.613.20331.82-19.990.332.3639.02-3.080.13-1.04134.23
3/31/2010             23.5115.644.24353.96-19.688.432.4319.36-2.050.13-0.50105.01
6/30/2010             24.735.764.73361.86-18.7012.422.2657.04-1.670.14-1.03153.42
9/30/2010             27.3010.895.75353.85-18.1013.022.2127.22-1.070.14-1.72103.14
12/31/2010             32.9921.337.83372.72-25.9111.542.1818.981.730.14-2.4273.26
3/31/2011             32.52-0.978.50394.13-27.0213.891.6529.401.780.14-0.4263.41
6/30/2011             32.600.719.56432.57-32.9317.931.4024.751.850.14-0.4475.88
9/30/2011             28.24-12.899.06406.31-32.3616.280.8742.031.540.14-0.80129.46
12/31/2011             29.254.1111.03388.64-32.2615.680.7834.741.380.14-2.92112.23
3/31/2012             33.7216.0616.45446.73-29.7315.880.8023.931.200.14-0.8373.11
6/30/2012             34.513.034.99351.16-8.7618.930.9625.271.270.14-0.8881.44
9/30/2012             33.18-3.114.68417.41-1.6919.320.9417.641.250.15-1.0861.49
12/31/2012             34.554.894.65357.3514.9323.940.8012.470.540.15-1.2856.58
3/31/2013             39.1514.195.45396.5519.2422.160.8713.940.390.15-1.0448.42
6/30/2013             38.36-1.245.60423.7413.7124.290.8727.420.230.15-1.5062.16
9/30/2013             35.67-6.195.01410.9818.4226.450.7821.91-0.370.15-1.7242.49
12/31/2013             33.08-6.414.20350.3023.3029.160.3016.28-0.290.16-1.2448.40
3/31/2014             38.5917.644.77348.6430.1026.180.0417.78-0.520.16-1.5562.20
6/30/2014             41.207.644.95294.4037.7126.700.0810.21-0.770.16-1.4546.95
9/30/2014             40.63-0.594.46260.2541.5927.330.2214.56-0.460.16-1.6042.23
12/31/2014             47.4317.575.22270.2630.9426.350.1817.59-0.460.16-1.4856.06
3/31/2015             50.266.704.26202.2427.4825.00-0.5625.14-0.130.16-1.1552.52
6/30/2015             47.15-5.413.93202.8325.6826.820.0216.57-0.230.16-1.6548.70
9/30/2015             47.271.064.02214.2916.5525.980.3430.26-0.210.16-1.6855.17
12/31/2015             51.118.944.32207.8618.9427.160.9920.72-1.690.16-4.2346.19
3/31/2016             53.405.304.58215.1011.8226.351.0015.90-1.620.16-1.3048.56
6/30/2016             56.386.384.29197.2821.4526.191.0217.35-1.340.16-1.3843.20
9/30/2016             58.624.714.62210.0421.5024.250.9725.27-1.210.16-1.4850.41
12/31/2016             58.03-0.284.54189.6627.6624.680.6817.10-2.280.16-6.0756.32
3/31/2017             56.63-1.634.48192.9927.2224.120.5515.85-2.440.16-1.4140.14
6/30/2017             54.87-2.305.11260.3113.6824.580.459.85-2.520.16-1.5753.18
9/30/2017             56.002.915.38270.7614.5723.860.3811.85-2.320.16-1.5241.29
12/31/2017             55.810.484.47220.7819.747.53-0.3611.770.120.16-1.6537.14
3/31/2018             52.03-5.904.15229.4424.3322.230.7019.70-1.240.16-3.8446.38
6/30/2018             54.014.744.47243.7625.8920.640.8516.10-1.470.16-1.9737.71
9/30/2018             56.355.223.47158.8755.6820.260.9613.29-1.530.16-1.5532.30
12/31/2018             56.030.294.03218.5442.1929.430.4628.59-1.670.16-1.8960.71
3/31/2019             62.2712.004.25195.5051.2518.950.6014.15-0.290.15-1.4054.20
6/30/2019             62.060.444.23205.6355.5219.000.6016.08-0.450.15-2.1243.08
9/30/2019             64.564.814.55230.5218.2417.820.6212.34-1.380.15-3.1243.59
12/31/2019             63.95-0.154.32232.5027.7916.940.5214.22-1.280.14-1.5743.14
3/31/2020             43.52-31.153.04253.2211.5817.540.94128.30-1.730.14-1.3878.44
6/30/2020             46.618.253.30260.8910.4715.690.8546.12-1.100.14-1.3060.61
9/30/2020             41.75-8.242.37198.458.067.690.9943.04-1.250.13-2.5756.92

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