Explanation for the instruction:

Benchmark Model:

A$.$ CAPM with ESG Beta $($Limited but Feasible$)$:

Explanation:

Excess Returns:

Calculate excess returns $($stock return $-$ risk$-$free rate$)$ for each stock and the benchmark.

Regression Analysis:

Use Data Analysis $->$ Regression. Set dependent variable as "Excess Stock Return" and independent variable as "Excess Market Return."

Beta Analysis:

Analyze beta values for companies with different ESG ratings. Look for trends suggesting lower betas for higher ESG scores.

Step $3$

Multi$-$Factor Model with ESG Factor $($Limited Capability in Excel$)$:

Challenges: Excel's Data Analysis Tool doesn't support true multi$-$factor regression.

Alternatives:

Explanation:

Manual Multi$-$Factor Regression $($Highly Advanced$)$:

If highly skilled in Excel, you can attempt a manual multi$-$factor regression using helper functions and array formulas. This is complex and error$-$prone.

Data Analysis Tool Workaround $($Limited Accuracy$)$:

Run separate regressions for each additional factor $($size$,$ value, momentum$)$ along with the market return.

Analyze individual factor coefficients for trends, but this approach might not fully capture interactions between factors.