1963 m t t 7 013 8 018 9 016 027 025 025 024 023 025

Info iconThis preview shows page 1. Sign up to view the full content.

View Full Document Right Arrow Icon
This is the end of the preview. Sign up to access the rest of the document.

Unformatted text preview: .02 1.10 1.08 1.30 0.12 28.78 49.31 42.67 27.39 28.41 33.27 27.05 24.20 26.84 18.94 2.18 Low 0.07 2 0.09 3 0.09 4 0.08 5 0.09 6 0.12 7 0.12 8 0.15 9 0.15 High 0.16 HML 0.05 Panel 3: 10 BE/ME deciles – Jan. 1964: Dec. 1982 m σ α 0.35 0.32 0.31 0.32 0.29 0.30 0.30 0.31 0.33 0.40 0.17 -0.16 -0.04 -0.04 -0.07 0.02 0.26 0.28 0.47 0.46 0.55 -0.06 tα -1.02 -0.50 -0.42 -0.56 0.20 2.35 2.00 3.30 2.95 2.47 -0.31 β 1.07 1.04 1.01 1.01 0.92 0.91 0.90 0.94 0.98 1.13 -0.17 tβ 24.40 44.37 37.64 23.23 23.57 21.71 19.15 21.58 14.67 15.18 -2.91 Low 0.14 2 0.15 3 0.15 4 0.15 5 0.15 6 0.15 7 0.17 8 0.15 9 0.17 High 0.18 HML 0.05 m σ α tα β tβ Panel 4: 10 BE/ME deciles – Jan. 1983: Dec. 2001 0.36 0.31 0.32 0.31 0.29 0.29 0.28 0.26 0.27 0.30 0.22 -0.14 0.10 0.06 0.15 0.18 0.17 0.37 0.28 0.41 0.48 0.19 -0.91 0.87 0.46 0.75 0.96 1.05 1.68 1.31 1.90 1.84 0.74 1.14 1.00 1.02 0.92 0.87 0.88 0.78 0.73 0.77 0.76 -0.40 36.02 24.01 24.66 15.05 13.97 17.80 11.40 11.40 10.17 10.96 -5.53 7-22 Monthly Return Statistics for T-bills, S&P 500 and General Motors 7-23 Cumulative Returns for T-bills, S&P 500 and GM Stock 7-24 Characteristic Line for GM 7-25 Security Characteristic Line for GM: Summary Output 7-26 GM Regression: What We Can Learn GM is a cyclical stock (with positive beta) Required Return: rf + β (rM − rf ) = 2.75 + 1.24 x5.5 = 9.57% Next compute betas of other firms in the industry 7-27 7-28...
View Full Document

Ask a homework question - tutors are online