CAPM_solution - Average Value Weighted Returns --...

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Unformatted text preview: Average Value Weighted Returns -- Percentage Points per Month NOTE: 193001 refers to January 1930 size: Small Big value: Low High Low High Market year-mnth R-Rf R-Rf R-Rf R-Rf Rm-Rf 193001 7.98 7.13 6.75 2.26 5.41 a) mean excess ret 193002 2.43 4.19 2.55 1.16 2.34 b) beta 193003 9.88 10.94 6.54 5.21 7.29 c) alpha 193004-6.69-5.49-1.53-6.55-2.39 d) CAPM pred. excess ret 193005-2.77-3.86-0.19-2.32-1.54 193006-18.00-18.79-17.94-12.38-16.01 e) Diff. (Actual-Pred. EER) 193007 8.03 2.39 4.32 5.19 3.89 193008-3.58-3.05 0.73-1.79 0.22 193009-14.45-18.66-12.51-17.26-12.66 193010-11.84-11.05-9.15-11.45-8.49 193011-0.62-2.08-1.95-6.28-2.72 193012-11.38-17.85-6.39-10.07-7.89 193101 11.13 17.16 4.54 13.79 6.06 193102 11.77 16.74 12.23 12.44 10.86 193103-4.37-7.60-5.21-8.54-6.57 193104-12.74-18.19-9.16-11.44-9.93 193105-9.92-13.32-11.34-20.67-13.39 193106 9.89 20.15 12.96 24.51 13.69 193107-7.49-6.08-4.87-13.92-6.44 193108-0.69-4.64 0.52-0.72 0.05 193109-27.72-33.68-28.09-35.17-29.01 193110 5.92 6.30 9.36 9.22 7.97 193111-8.18-9.85-6.64-15.64-9.11 193112-13.63-22.29-11.59-22.01-13.61 193201 2.18 10.40-3.58 8.03-1.30 193202 1.37-0.31 6.72 0.70 5.46 193203-12.54-11.61-10.13-14.70-11.09 193204-19.86-19.22-17.82-20.67-18.11 12/1963- 413 193205-16.76-16.62-19.60-27.24-20.75 12/2004 - 905 193206 1.15 1.23-2.57 13.53-0.96 193207 30.67 60.34 27.91 70.08 33.11 193208 60.42 81.33 30.91 59.51 36.50 193209-2.38-12.26-1.64-5.01-3.18 193210-16.03-23.10-10.54-23.27-13.08 193211-2.40-13.23-2.42-16.24-5.58 193212-7.84-10.81 6.73-4.10 4.47 193301 1.37 7.55 0.06 9.65 0.96 193302-15.96-13.17-14.05-14.27-13.26 193303 5.56 7.09 0.45 3.24 1.56 193304 44.81 56.19 32.38 55.33 38.17 193305 64.28 69.60 17.13 41.81 21.17 193306 32.99 15.95 11.53 22.39 13.35 193307-11.61-8.59-8.89-9.38-9.63 193308 9.17 8.28 10.65 18.31 12.14 193309-6.39-21.39-9.09-20.53-10.59 193310-8.93-13.39-6.15-18.01-8.26 193311 6.21 5.16 9.53 13.00 9.94 193312 4.08 0.01 2.39 3.25 1.99 0.8 0.9 1.0 0.0 0.4 0.8 1.2 1.6 Mean Return 193401 19.49 38.60 10.44 25.31 12.94 193402 0.00 5.49-2.18-3.84-2.36 193403 4.50 0.06 0.06-1.30 0.47 193404 4.64-2.22-1.71-4.71-1.81 193405-6.66-12.92-6.19-14.62-7.08 193406 2.80-2.23 2.66 3.05 2.51 193407-18.98-24.55-8.15-25.91-10.83 193408 10.95 12.00 6.66 7.94 5.94 193409-2.27-3.72-0.38 0.03-0.30 193410-1.84-2.76-0.68-7.55-2.04 193411 19.30 11.54 10.71 8.49 8.40 193412 4.24 1.17 0.90-2.23 0.40 193501-6.25-3.37-2.80-10.35-3.22 193502-4.59-6.47-0.65-13.27-2.00 193503-5.28-11.79-3.39-7.14-3.75 193504 6.10 10.78 7.86 13.69 8.94 193505-1.34 0.41 3.02 4.52 3.47 193506 3.81 0.31 5.75 9.15 5.48 193507 12.13 13.07 6.97 17.02 7.40 193508 5.88 14.08 2.43 3.16 2.78 193509 5.09-0.83 4.46 1.84 2.40 193510 8.06 8.53 6.81 5.77 7.04 193511 9.66 19.49 2.98 14.31 5.16 193512 8.13 3.09 2.91 8.57 4.60 193601 11.48 22.28 2.57 12.06 6.59 193602 2.92 5.10 2.03 7.56 2.60 193603 0.82 0.63 2.67-1.42 0.85 193604-15.74-16.59-6.63-10.12-7.87 193605 5.21 8.49 4.79 6.55 5.03 193606-2.40-0.94 3.59 0.39 2.57 193607 11.24 8.978....
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This note was uploaded on 09/02/2010 for the course ECON 136 taught by Professor Szeidl during the Fall '08 term at University of California, Berkeley.

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CAPM_solution - Average Value Weighted Returns --...

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