slides_stats

slides_stats - CAPM (statistics) In these slides, we we...

Info iconThis preview shows pages 1–4. Sign up to view the full content.

View Full Document Right Arrow Icon

Info iconThis preview has intentionally blurred sections. Sign up to view the full version.

View Full DocumentRight Arrow Icon

Info iconThis preview has intentionally blurred sections. Sign up to view the full version.

View Full DocumentRight Arrow Icon
This is the end of the preview. Sign up to access the rest of the document.

Unformatted text preview: CAPM (statistics) In these slides, we we will do some statistical analysis of stock returns using the CAPM. Data The first thing we need to do is acquire some data. We will use monthly observations from Jan 1995 - Aug 2007 on Intel stock the S&P 500 index (as a proxy for the market portfolio) the three-month T-bill rate (as a proxy for the risk-free rate) Stock prices can be obtained from Yahoo! Finance. Treasury bill rates can be obtained from the Federal Reserve web site. Paste all three data sets into a single spreadsheet. Note: See Minicase 2 (stats) handout for details. 2 Data continued Now, we will create several new columns: To create a monthly interest rate series, divide the 3-month rate by 1200. Create an Intel return series using r t = ( p t- p t- 1 ) /p t- 1 . Create an Intel excess return series by subtracting the monthly interest rate from the stock returns....
View Full Document

This note was uploaded on 03/31/2008 for the course FNCE 3010 taught by Professor Donchez,ro during the Fall '07 term at Colorado.

Page1 / 10

slides_stats - CAPM (statistics) In these slides, we we...

This preview shows document pages 1 - 4. Sign up to view the full document.

View Full Document Right Arrow Icon
Ask a homework question - tutors are online