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slides_stats - CAPM(statistics In these slides we we will...

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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....
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slides_stats - CAPM(statistics In these slides we we will...

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