Question

As discussed in the text, beta estimates for one firm will vary depending on various factors like such as the time over which the estimation is conducted, the market portfolio proxy, and the return intervals. You will demonstrate this variation using returns for Microsoft.
a. Using all 45 monthly returns for Microsoft and the two stock market indices, compute Microsoft’s beta using the S&P 500 Index as the market proxy. Then compute the beta using the NASDAQ indices as the market portfolio proxy. Compare the two beta estimates.
b. Now estimate the beta using only the most recent 30 monthly returns and the S&P 500 Index. Compare the beta estimate to the estimate in part (a) when using the S&P 500 Index and all 45 monthly returns.


c. Estimate Microsoft’s beta using the following quarterly data returns. Compare the estimate to the ones from parts (a) and (b).


$1.99
Sales0
Views67
Comments0
  • CreatedSeptember 23, 2014
  • Files Included
Post your question
5000