econ483midterm2009 - Econ 483 Midterm, Spring 2009, 08:30...

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, 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 risk-free 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
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This note was uploaded on 04/04/2011 for the course ECON 401 taught by Professor Staff during the Spring '08 term at University of Washington.

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econ483midterm2009 - Econ 483 Midterm, Spring 2009, 08:30...

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