Lecture 9 Index Model

Lecture 9 Index Model - Monthly returns Date Nov-08 Oct-08...

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Monthly returns Excess Returns Regression Using Solver (for IBM) Date IBM PG T-Bill IBM PG Predicted Residuals Res^2 Nov-08 -0.0909 0.0476 0.0041 0.0044 -0.0954 0.0431 -0.0004 0.0103 -0.1057 0.0112 Oct-08 -0.0496 0.0481 -0.0801 0.0049 -0.0544 0.0433 -0.0849 -0.0933 0.0388 0.0015 Sep-08 -0.1254 0.0662 -0.0049 0.0048 -0.1302 0.0615 -0.0097 -0.0011 -0.1291 0.0167 Aug-08 -0.1469 0.0836 -0.0535 0.0048 -0.1517 0.0788 -0.0583 -0.0606 -0.0911 0.0083 Jul-08 0.1774 0.0847 0.0607 0.0049 0.1725 0.0798 0.0558 0.0791 0.0934 0.0087 Jun-08 0.0245 0.0044 -0.0163 0.0048 0.0197 -0.0004 -0.0211 -0.0151 0.0348 0.0012 May-08 0.0210 -0.1466 0.0239 0.0049 0.0161 -0.1515 0.0191 0.0341 -0.0180 0.0003 Apr-08 -0.0376 0.1130 -0.0219 0.0050 -0.0425 0.1080 -0.0269 -0.0221 -0.0204 0.0004 Mar-08 -0.0581 0.0529 -0.0308 0.0048 -0.0629 0.0480 -0.0356 -0.0329 -0.0300 0.0009 Feb-08 0.1521 -0.3542 0.0967 0.0049 0.1472 -0.3591 0.0918 0.1233 0.0239 0.0006 Jan-08 -0.0846 -0.1305 -0.0201 0.0049 -0.0895 -0.1354 -0.0250 -0.0198 -0.0697 0.0049 Dec-07 0.0406 -0.0776 -0.0509 0.0048 0.0358 -0.0824 -0.0557 -0.0574 0.0932 0.0087 Nov-07 0.0467 0.0145 0.0578 0.0046 0.0421 0.0099 0.0533 0.0760 -0.0339 0.0011 Oct-07 0.0490 0.0298 0.0191 0.0044 0.0446 0.0254 0.0147 0.0288 0.0158 0.0003 Sep-07 -0.1880 0.1187 0.0625 0.0043 -0.1923 0.1144 0.0583 0.0821 -0.2744 0.0753 Aug-07 -0.0286 -0.0554 -0.0286 0.0041 -0.0327 -0.0595 -0.0327 -0.0293 -0.0035 0.0000 Jul-07 -0.0089 0.0959 -0.0063 0.0041 -0.0130 0.0918 -0.0103 -0.0019 -0.0111 0.0001 Jun-07 -0.0276 0.0277 -0.0320 0.0040 -0.0315 0.0237 -0.0360 -0.0333 0.0018 0.0000 May-07 0.1142 -0.0562 0.0544 0.0040 0.1102 -0.0602 0.0504 0.0725 0.0377 0.0014 Apr-07 0.1091 -0.0047 -0.0250 0.0038 0.1052 -0.0085 -0.0288 -0.0245 0.1297 0.0168 Mar-07 0.1802 -0.0421 0.0379 0.0037 0.1765 -0.0458 0.0342 0.0527 0.1238 0.0153 Feb-07 0.0442 0.0943 0.0388 0.0038 0.0404 0.0905 0.0350 0.0537 -0.0133 0.0002 Jan-07 -0.0737 -0.0151 -0.0323 0.0037 -0.0774 -0.0189 -0.0360 -0.0333 -0.0441 0.0019 Dec-06 -0.0061 -0.0048 0.0410 0.0036 -0.0097 -0.0084 0.0374 0.0566 -0.0663 0.0044 Nov-06 0.1166 0.0421 0.0564 0.0036 0.1130 0.0385 0.0528 0.0754 0.0376 0.0014 Oct-06 0.1120 -0.0120 0.0591 0.0036 0.1083 -0.0156 0.0555 0.0788 0.0296 0.0009 Sep-06 0.1556 0.2469 0.0803 0.0033 0.1523 0.2436 0.0770 0.1051 0.0473 0.0022 Aug-06 0.1410 -0.0703 0.0624 0.0038 0.1372 -0.0740 0.0586 0.0826 0.0546 0.0030 Jul-06 -0.1500 -0.0362 -0.1458 0.0041 -0.1541 -0.0403 -0.1499 -0.1728 0.0187 0.0004 Jun-06 0.1541 -0.1283 -0.0116 0.0042 0.1498 -0.1326 -0.0158 -0.0086 0.1585 0.0251 May-06 -0.0229 0.0857 0.0394 0.0043 -0.0271 0.0814 0.0352 0.0538 -0.0810 0.0066 Apr-06 0.0140 0.0205 -0.0188 0.0043 0.0097 0.0162 -0.0231 -0.0175 0.0273 0.0007 Mar-06 0.1155 -0.0259 0.0091 0.0043 0.1113 -0.0302
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This note was uploaded on 11/27/2011 for the course FINA 3104 taught by Professor Darwin during the Spring '11 term at HKUST.

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Lecture 9 Index Model - Monthly returns Date Nov-08 Oct-08...

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