UKFF3013 CORPORATE FINANCE JANUARY 2024

UNIVERSITI TUNKU ABDUL RAHMAN (UTAR)

FACULTY OF ACCOUNTANCY AND MANAGEMENT (FAM)

BACHELOR OF ACCOUNTING (HONOURS)

GROUP ASSIGNMENT BRIEF

TASK 1: FORMING AND FINALIZING GROUP FOR ASSIGNMENT

Form your assignment groups within the same tutorial group (a group of FIVE (5)
students) using the link to the Google Sheet: t.ly/78iAS or scan the QR Code

The group assignment registration should be done by the end of Week 2 (due on Friday-
9 February [email protected]). Any changes with grouping (due to student withdrawal
from course or newly registered members) need to be informed to respective tutor via
email by Week 3.

TASK 2: SELECTING AND FINALIZING COMPANIES TO BE ANALYZED

Select SIX (6) public listed companies in Main Market of Bursa Malaysia website
(exclude Financial Services sector). These companies must be selected from the same
sector with THREE (3) are ESG compliance (e.g. A, B & C) and THREE (3) non-
ESG compliance (e.g. D, E & F).

The selection of companies is based on first come first served basis. To ensure no
overlaps in companies’ selection, it is your responsibility to check on the availability
of companies in the Google Sheet. This is to ensure no group selects the same
companies with the others within the same tutorial class. No changes of companies can
be made after Week 3.

Once these two tasks have been performed, students may start answering the
assignment questions. Generally, this assignment question set covers the Chapter 8
(Lecture 4 and 5) on Portfolio Theory and The Capital Asset Pricing Model (refer to
Teaching Plan). Group members are encouraged to initiate self-study within group
assignment team in order to start with the assignment even before the actual lecture
session started for the topic listed. Students may clarify for any doubts on topics studied
by consulting Tutor or Lead Lecturer.

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UKFF3013 CORPORATE FINANCE JANUARY 2024

WRITTEN REPORT
Data collection: you will need to collect the following data before answering the
assignment questions.

 Go to Yahoo Finance website (historical data tab). Collect weekly share price data
for the selected companies for year 2023 (from 31st December 2022 until 31st
December 2023). Download the data and save it in Microsoft Excel file.
 Download the weekly price data for FTSE Kuala Lumpur Composite Index
(FTSEKLCI) for 2023. This data will be your market index.
 Treasury bill rate of return for 2023 in Malaysia.

QUESTIONS

a. Compute the weekly stock return (%), mean weekly return (%) and standard
deviation (%) of weekly returns for each stock and market index. (10m)

b. Using linear regression analysis tool pack in Microsoft Excel, extract the stock
beta from the regression output. This method of estimating beta is based on
Single Index Market Model.

Ri = ai + biRm + ɛi
where,
Ri = the returns for stock i (i.e. individual stock weekly returns)
Rm= the returns for aggregate stock market (i.e. market index weekly returns)
bi = stock i beta. This is the slope coefficient from the regression results

Alternatively,
Covariance(𝑟𝑖 , 𝑟𝑚 )
𝛽=
Variance(𝑟𝑚 )
where,
𝑛
∑𝑖=1(𝑟𝑖 − 𝑟̅)(𝑟
𝑖 𝑚 − ̅̅̅)
𝑟𝑚
Cov(𝑟𝑖, 𝑟𝑚) =
𝑛−1
(10m)

c. Using the following equations, compute the covariance and correlation

coefficient between each pair of stock for each portfolio (i.e., AB, AC, BC, DE,
DF, and EF).
𝑛
∑𝑖=1(𝑋𝑖 − 𝑋ˉ)(𝑌𝑖 − 𝑌ˉ)
Cov(𝑋, 𝑌) =
𝑛−1

Cov(𝑋, 𝑌)
𝜌𝑋,𝑌 =
𝜎𝑋 𝜎𝑌
(10m)

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UKFF3013 CORPORATE FINANCE JANUARY 2024

d. Using various weights of investment (wi) with a constant correlation yield

generated in part (c), calculate the following risk-return combinations for each
portfolio (AB, AC, BC, DE, DF, and EF) using the following template:

Stock i’s Stock j’s Expected return Standard deviation Beta of

weight weight of portfolio E(Rp) of portfolio E(p) portfolio E(βp)
(%) (%)
0.0 1.00
0.1 0.9
0.2 0.8
0.3 0.7
0.4 0.6
0.5 0.5
0.6 0.4
0.7 0.3
0.8 0.2
0.9 0.1
1.0 0.0
(25m)

e. Using the results generated in part (d), rank the portfolios based on the risk-
return profile. Based on the rankings, justify your selection using relevant
analysis. In your discussion do include other non-financial factor(s) that may
influence your decision in deciding the type of portfolio to be invested.
(20m)
f. Using the Capital Asset Pricing Model (CAPM), calculate the portfolio return
for each portfolio and compare the results generated in part (e). Decide on
buying and selling decision based on the findings with justifications. Identify
the major pros and cons of using this model to make buy and sell decision in
managing your investment portfolio. (25m)
[Total: 100m]

ASSIGNMENT HAND-IN DATE

Week 7, hardcopy during the lecture class and softcopy submitted to the WBLE
link given by Lead Lecturer.

Format of group assignment report

a. The written report of assignment must be word-processed, and converted into
one single PDF file. Pages beyond the stated maximum will not be marked.
Hand-written assignment will not be accepted. Raw data and details of the
workings must be in Excel file.
b. Page limit: not more than TEN (10) pages including tables.
c. Paragraph alignment: justified.

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d. Font type: Times New Roman, size 12, 1.5 spacing, one-inch margin on each
side.
e. Students are reminded to include the mark sheet as the first page provided in
Appendix 1. This page was then followed by Table of Content (these two pages
are excluded from the page limit requirement).
f. All information sources and any relevant data used in your assignment must be
included in the report.
g. Reference format: APA style (refer to UTAR library page for guideline)

In order to obtain data and information in completing the report, groups are encouraged
to use the UTAR Library Resources for journal articles, Yahoo Finance websites,
Refinitiv database, Bursa Malaysia’s announcements, and Bank Negara website.

ACADEMIC INTEGRITY
If your work is not properly referenced it may appear that you are trying to present
someone else's ideas as your own. This is plagiarism and it is considered to be a form
of cheating. It is your responsibility to ensure that your work conforms to the
University's standards of academic integrity. Any assignment groups that are caught
plagiarising or letting part or whole of their work to be plagiarised will be penalised.

---END OF GROUP ASSIGNMENT QUESTION---

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UKFF3013 CORPORATE FINANCE JANUARY 2024

UNIVERSITI TUNKU ABDUL RAHMAN (UTAR)

FACULTY OF ACCOUNTANCY AND MANAGEMENT (FAM)

Appendix 1

Sector:
ESG companies Non-ESG companies
1. 4.
2. 5.
3. 6.

Group members Student ID

1)
2)
3)
4)
5)

Questions Marks Allocation Marks Obtained

a) 10 marks
b) 10 marks
c) 10 marks
d) 25 marks
e) 20 marks
f) 25 marks
Total: 100 marks

Overall comments by examiner:

Examiner Signature: Internal Moderator Signature:

________________________ ________________________
Name: Name:
Date: Date: