The monthly rates of return for General Electric (Symbol GE) and the Standard and Poor's index...
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The monthly rates of return for General Electric (Symbol GE) and the Standard and Poor's index (a measure of the overall NYSE stock market) were recorded for each month between January 2008 and December 2012. Some of these data are shown here. Estimate the market model and analyze the results. Year Month 2008 January February March 2012 April May June July August September October November December January February March April May June July August September October November December S&P 500 Index -0.03476 -0.00596 0.04755 0.01067 -0.08596 -0.00986 0.01219 -0.09079 -0.16942 -0.07485 0.00782 -0.08566 0.04059 0.03133 -0.00750 -0.06265 0.03955 0.01260 0.01976 0.02424 -0.01979 0.00285 0.00707 0.02171 GE -0.05446 0.11703 -0.11651 -0.06058 -0.12151 0.05998 -0.00676 -0.08036 -0.23486 -0.12024 -0.03777 -0.25125 0.02765 0.05328 -0.02453 -0.02462 0.10097 -0.00439 -0.00196 0.10457 -0.07244 0.00335 0.00239 -0.00429 The monthly rates of return for General Electric (Symbol GE) and the Standard and Poor's index (a measure of the overall NYSE stock market) were recorded for each month between January 2008 and December 2012. Some of these data are shown here. Estimate the market model and analyze the results. Year Month 2008 January February March 2012 April May June July August September October November December January February March April May June July August September October November December S&P 500 Index -0.03476 -0.00596 0.04755 0.01067 -0.08596 -0.00986 0.01219 -0.09079 -0.16942 -0.07485 0.00782 -0.08566 0.04059 0.03133 -0.00750 -0.06265 0.03955 0.01260 0.01976 0.02424 -0.01979 0.00285 0.00707 0.02171 GE -0.05446 0.11703 -0.11651 -0.06058 -0.12151 0.05998 -0.00676 -0.08036 -0.23486 -0.12024 -0.03777 -0.25125 0.02765 0.05328 -0.02453 -0.02462 0.10097 -0.00439 -0.00196 0.10457 -0.07244 0.00335 0.00239 -0.00429
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Investment Analysis and Portfolio Management
ISBN: 978-0538482387
10th Edition
Authors: Frank K. Reilly, Keith C. Brown
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