econ483prob02capm - Econ 483. Applied Econometric Modeling...

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Unformatted text preview: Econ 483. Applied Econometric Modeling Data are on the Catalyst Discussion Board (check myUW). Based on Problems from Ernst R. Berndt (1991): The Practice of Econometrics: Classic and Contemporary , Chapter 2). This problem set deals with the Capital Asset Pricing Model (CAPM), and it is a relatively straightforward application of linear regression. You are given data on monthly stock returns (variable name: return ) for 15 companies in 7 industries for the period from January 1978 to December 1987. They are: Industry ncomp Company Oil 1 Mobil 2 Texaco Computers 3 IBM (International Business Machines) 4 DEC (Digital Equipment Corporation) 5 DataGen (Data General) Electric Utilities 6 ConEd (Consolidated Edison) 7 PSNH (Public Service of New Hampshire) Forest Products 8 Weyer (Weyerhauser) 9 Boise Airlines 10 PanAm (Pan American Airways) 11 Delta Banks 12 Contil (Continental Illinois) 13 Citcrp (Citicorp) Foods 14 Gerber 15 GenMil (General Mills) The dataset is capm.dta which can be found on the catalyst discussion board. The &le also contains information on the market monthly return (...
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This note was uploaded on 06/05/2008 for the course ECON 483 taught by Professor Seikkim during the Spring '08 term at University of Washington.

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econ483prob02capm - Econ 483. Applied Econometric Modeling...

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