, Spring 2009,
You have 100 minutes. Total score is 80. Points are indicated in the [square brackets].
Questions that need to be answered are written in
bold
.
Name:
books. You are NOT allowed to use your own computer. Data are on the Catalyst Discussion Board
(check myUW). Whenever you start using a new data set, use the
clear
command to refresh STATA±s
memory.
[22 points] 1. The data set mid200901.dta contains information on the monthly return of 2 ²rms (
return
),
Mobil and Texaco, the market monthly return (
market
), and information on the riskfree rate of return
(
tbill
) from January 1978 to December 1987. Create new variables if you need.
[3] (1) [
use Mobil
]
Report the year and month when the Mobil±s
return
was the highest.
Provide your code. Use Mobil only.
[5] (2) [
use Mobil
] Mobil has 120
return
observations.
How many of them (
return
) are positive?
Provide your code. Use Mobil only.
[2] (3) [
use Texaco
] We are interested in the investment beta for this stock. Use the following two
variables
jpre
=
return
tbill
and
mpre
=
market
tbill
to estimate a capital asset pricing model
(CAPM). The model is given by
jpre
i
=
&
0
+
1
mpre
i
+
u
i
, for
i
= 1
; :::;
120
.
Report your investment
beta estimate and its standard error of Texaco. Use Texaco only.
[4] (4) [
use Texaco
] From the model in (3), we want to know is whether 1 unit increase in the market
premium is associated with 1 unit increase in the stock premium.
State the null hypothesis
H
0
and
perform the test at the
5%
signi²cance level. Use Texaco only.
1
This preview has intentionally blurred sections. Sign up to view the full version.
View Full Document
This is the end of the preview.
Sign up
to
access the rest of the document.
 Spring '08
 Staff
 Macroeconomics, Variance, Texaco, Mobil, signi…cance level

Click to edit the document details