In the excel files below: weekly, monthly and FF , you will find the monthly and weekly price data for the Walt Disney equity. The file also contains the risk free rate, market risk premium, and other relevant statistics. You will use this data to compute the required rate of return on the security. You are expected to examine the following issues:

1. What is the preferred approach toward estimation of a companys required return (Capital Asset Pricing Model (CAPM), FamaFrench Model (FFM), PastorStambaugh Model (PSM), and Macroeconomic Multifactor Models)? Justify your answer.
2. What market index is most appropriate and why?
3. Determine the length and frequency of data used for beta estimation.
4. Apply any adjustments to beta necessary.
5. Is the estimated Beta stable over the time period of estimation?
6. Determine the risk premium.
7. Identify the risk free rate.
9. Weekly data below
10. 

monthly data below

Fama French data

Number 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 Date DIS US Equity- Closing price SPY US Equity (SP500) 5/20/2016 99.78 205.49 210.24 5/27/2016 100.29 98.75 6/3/2016 210.28 6/10/2016 97.34 210.07 6/17/2016 99 206.52 6/24/2016 95.72 203.13 7/1/2016 98.03 209.921 7/8/2016 99.62 212.65 7/15/2016 99.8 215.83 7/22/2016 97.71 217.24 7/29/2016 95.95 217.12 8/5/2016 95.83 218.18 8/12/2016 96.84 218.46 8/19/2016 96.39 218.54 8/26/2016 95.21 217.29 9/2/2016 94.42 218.37 9/9/2016 92.42 213.28 9/16/2016 92.56 213.37 9/23/2016 93.27 215.99 9/30/2016 92.86 216.3 10/7/2016 92.49 215.04 10/14/2016 91.3 213.12 10/21/2016 93.03 213.98 10/28/2016 93.85 212.54 11/4/2016 92.45 208.55 11/11/2016 97.68 216.42 11/18/2016 98.24 218.5 11/25/2016 98.82 221.52 12/2/2016 98.5 219.68 12/9/2016 104.86 226.51 12/16/2016 103.91 225.04 12/23/2016 105.15 225.71 12/30/2016 104.22 223.53 Yearly Risk premium = Rm - Rf= Yearly Rf = Risk Free 0.0724 0.0297 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50 51 52 53 54 55 56 57 58 59 60 61 62 63 64 65 66 67 1/6/2017 108.98 1/13/2017 108.06 1/20/2017 107.66 1/27/2017 109.3 2/3/2017 110.3 2/10/2017 109.26 2/17/2017 110.06 2/24/2017 110.32 3/3/2017 111.24 3/10/2017 110.92 3/17/2017 111.76 3/24/2017 112.14 3/31/2017 113.39 4/7/2017 112.58 4/14/2017 113.2 4/21/2017 114.44 4/28/2017 115.6 5/5/2017 111.99 5/12/2017 109.69 5/19/2017 107.52 5/26/2017 108.41 6/2/2017 107.18 6/9/2017 105.62 6/16/2017 105.51 6/23/2017 104.36 6/30/2017 106.25 7/7/2017 103.32 7/14/2017 105.09 7/21/2017 107.09 7/28/2017 109.96 8/4/2017 107.69 8/11/2017 101.99 8/18/2017 100.7 8/25/2017 102.41 227.21 227.05 226.74 228.97 229.34 231.51 235.09 236.74 238.42 237.69 237.03 233.86 235.74 235.2 232.51 234.59 238.08 239.7 238.98 238.31 241.71 244.17 243.41 242.64 243.13 241.8 242.11 245.56 246.88 246.91 247.41 244.12 242.71 244.56 68 69 70 71 72 |8||5|6|7|8||80|1|2|3|4 77 79 85 86 87 88 89 90 91 92 93 94 95 96 97 98 99 100 101 9/1/2017 101.5 9/8/2017 97.07 9/15/2017 98.52 9/22/2017 98.6 9/29/2017 98.57 10/6/2017 100.07 10/13/2017 97.38 10/20/2017 99.4 10/27/2017 98.31 11/3/2017 98.64 11/10/2017 104.78 11/17/2017 103.44 11/24/2017 102.64 12/1/2017 105.25 12/8/2017 104.23 12/15/2017 111.27 12/22/2017 108.67 12/29/2017 107.51 1/5/2018 111.62 1/12/2018 112.47 1/19/2018 110.59 1/26/2018 2/2/2018 112.19 108.7 2/9/2018 103.09 2/16/2018 106.53 2/23/2018 107.25 3/2/2018 102.99 3/9/2018 104.73 3/16/2018 102.87 3/23/2018 98.54 3/30/2018 100.44 4/6/2018 100.35 4/13/2018 100.35 4/20/2018 100.24 247.84 246.58 249.19 249.44 251.23 254.37 254.95 257.11 257.71 258.45 258.09 257.86 260.36 264.46 265.51 266.51 267.51 266.86 273.42 277.92 280.41 286.58 275.45 261.5 273.11 274.71 269.08 278.87 274.2 258.05 263.15 259.72 265.15 266.61 102 103 104 4/27/2018 5/4/2018 5/11/2018 99.23 101.15 102.07 266.56 266.02 272.85 Number 1 4957WN 2 3 6 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 Date DIS US Equity 5/29/2015 110.37 6/30/2015 114.14 7/31/2015 120 8/31/2015 101.88 9/30/2015 102.2 10/30/2015 113.74 11/30/2015 113.47 12/31/2015 105.08 1/29/2016 95.82 2/29/2016 95.52 3/31/2016 99.31 4/29/2016 103.26 5/31/2016 99.22 6/30/2016 97.82 7/29/2016 95.95 8/31/2016 94.46 9/30/2016 92.86 10/31/2016 92.69 11/30/2016 99.12 12/30/2016 104.22 1/31/2017 110.65 2/28/2017 110.09 3/31/2017 113.39 4/28/2017 115.6 5/31/2017 107.94 6/30/2017 106.25 7/31/2017 109.93 8/31/2017 101.2 9/29/2017 98.57 10/31/2017 197.81 Spy (SP500) 211.14 205.85 210.5 197.67 191.63 207.93 208.69 203.87 193.721 193.56 205.52 206.331 209.84 209.475 217.12 217.38 216.3 212.55 220.38 223.53 227.53 236.47 235.74 238.08 241.44 241.8 246.77 247.49 251.23 1257.15 31 32 33 34 35 36 11/30/2017 104.82 12/29/2017 107.51 1/31/2018 108.67 2/28/2018 103.16 3/29/2018 100.44 4/30/2018 100.33 265.01 266.86 281.9 271.65 263.15 264.51 Number 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 Date 20150430 20150529 20150630 20150731 20150831 20150930 20151030 20151130 20151231 20160129 20160229 20160331 20160429 20160531 20160630 20160729 20160831 20160930 20161031 20161130 20161230 20170131 20170228 20170331 20170428 20170531 20170630 20170731 20170831 Rm - Rf SMB Excess Return on the Mark Small-Minus-Big Return 0.0059 -0.0297 0.0136 0.0094 -0.0153 0.0281 0.0154 -0.0415 -0.0604 0.0049 -0.0308 -0.0264 0.0775 -0.0198 0.0056 0.0364 -0.0217 -0.0281 -0.0577 -0.0339 -0.0007 0.0078 0.0696 0.0089 0.0092 0.0067 0.0178 -0.0026 -0.0005 0.0065 0.0395 0.0264 0.005 0.0117 0.0025 0.0201 -0.0202 -0.0436 0.0486 0.0548 0.0182 0.0008 0.0194 -0.0105 0.0357 -0.0199 0.0017 0.012 0.0109 0.0073 0.0106 -0.0254 0.0078 0.0215 0.0187 -0.0142 0.0016 -0.0171 HML High-Minus-Low Return 0.0185 -0.0133 -0.0081 -0.0414 10.0269 0.0053 -0.0009 -0.0051 -0.0257 0.021 -0.0048 0.0114 0.0325 -0.018 -0.0149 -0.0113 0.0334 -0.0149 0.0416 0.0827 0.0361 -0.0268 -0.0179 -0.0317 -0.0191 -0.0375 0.0132 -0.0028 -0.0226 Prices DIS US Equity 108.72 110.37 114.14 120 101.88 102.2 113.74 113.47 105.08 95.82 95.52 99.31 103.26 99.22 97.82 95.95 94.46 92.86 92.69 99.12 104.22 110.65 110.09 113.39 115.6 107.94 106.25 109.93 101.2 30 31 32 33 34 35 36 20170929 20171031 20171130 20171229 20180131 20180228 20180329 0.0251 0.0225 0.0312 0.0106 0.0558 -0.0365 -0.0235 0.008686111 0.0453 -0.0195 -0.0063 -0.0127 -0.0306 0.0028 0.0396 -0.000855556 0.0302 -0.0008 0.0002 0.0011 -0.0141 -0.012 -0.0008 0.000266667 98.57 97.81 104.82 107.51 108.67 103.16 100.44 Number 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 Date DIS US Equity- Closing price SPY US Equity (SP500) 5/20/2016 99.78 205.49 210.24 5/27/2016 100.29 98.75 6/3/2016 210.28 6/10/2016 97.34 210.07 6/17/2016 99 206.52 6/24/2016 95.72 203.13 7/1/2016 98.03 209.921 7/8/2016 99.62 212.65 7/15/2016 99.8 215.83 7/22/2016 97.71 217.24 7/29/2016 95.95 217.12 8/5/2016 95.83 218.18 8/12/2016 96.84 218.46 8/19/2016 96.39 218.54 8/26/2016 95.21 217.29 9/2/2016 94.42 218.37 9/9/2016 92.42 213.28 9/16/2016 92.56 213.37 9/23/2016 93.27 215.99 9/30/2016 92.86 216.3 10/7/2016 92.49 215.04 10/14/2016 91.3 213.12 10/21/2016 93.03 213.98 10/28/2016 93.85 212.54 11/4/2016 92.45 208.55 11/11/2016 97.68 216.42 11/18/2016 98.24 218.5 11/25/2016 98.82 221.52 12/2/2016 98.5 219.68 12/9/2016 104.86 226.51 12/16/2016 103.91 225.04 12/23/2016 105.15 225.71 12/30/2016 104.22 223.53 Yearly Risk premium = Rm - Rf= Yearly Rf = Risk Free 0.0724 0.0297 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50 51 52 53 54 55 56 57 58 59 60 61 62 63 64 65 66 67 1/6/2017 108.98 1/13/2017 108.06 1/20/2017 107.66 1/27/2017 109.3 2/3/2017 110.3 2/10/2017 109.26 2/17/2017 110.06 2/24/2017 110.32 3/3/2017 111.24 3/10/2017 110.92 3/17/2017 111.76 3/24/2017 112.14 3/31/2017 113.39 4/7/2017 112.58 4/14/2017 113.2 4/21/2017 114.44 4/28/2017 115.6 5/5/2017 111.99 5/12/2017 109.69 5/19/2017 107.52 5/26/2017 108.41 6/2/2017 107.18 6/9/2017 105.62 6/16/2017 105.51 6/23/2017 104.36 6/30/2017 106.25 7/7/2017 103.32 7/14/2017 105.09 7/21/2017 107.09 7/28/2017 109.96 8/4/2017 107.69 8/11/2017 101.99 8/18/2017 100.7 8/25/2017 102.41 227.21 227.05 226.74 228.97 229.34 231.51 235.09 236.74 238.42 237.69 237.03 233.86 235.74 235.2 232.51 234.59 238.08 239.7 238.98 238.31 241.71 244.17 243.41 242.64 243.13 241.8 242.11 245.56 246.88 246.91 247.41 244.12 242.71 244.56 68 69 70 71 72 |8||5|6|7|8||80|1|2|3|4 77 79 85 86 87 88 89 90 91 92 93 94 95 96 97 98 99 100 101 9/1/2017 101.5 9/8/2017 97.07 9/15/2017 98.52 9/22/2017 98.6 9/29/2017 98.57 10/6/2017 100.07 10/13/2017 97.38 10/20/2017 99.4 10/27/2017 98.31 11/3/2017 98.64 11/10/2017 104.78 11/17/2017 103.44 11/24/2017 102.64 12/1/2017 105.25 12/8/2017 104.23 12/15/2017 111.27 12/22/2017 108.67 12/29/2017 107.51 1/5/2018 111.62 1/12/2018 112.47 1/19/2018 110.59 1/26/2018 2/2/2018 112.19 108.7 2/9/2018 103.09 2/16/2018 106.53 2/23/2018 107.25 3/2/2018 102.99 3/9/2018 104.73 3/16/2018 102.87 3/23/2018 98.54 3/30/2018 100.44 4/6/2018 100.35 4/13/2018 100.35 4/20/2018 100.24 247.84 246.58 249.19 249.44 251.23 254.37 254.95 257.11 257.71 258.45 258.09 257.86 260.36 264.46 265.51 266.51 267.51 266.86 273.42 277.92 280.41 286.58 275.45 261.5 273.11 274.71 269.08 278.87 274.2 258.05 263.15 259.72 265.15 266.61 102 103 104 4/27/2018 5/4/2018 5/11/2018 99.23 101.15 102.07 266.56 266.02 272.85 Number 1 4957WN 2 3 6 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 Date DIS US Equity 5/29/2015 110.37 6/30/2015 114.14 7/31/2015 120 8/31/2015 101.88 9/30/2015 102.2 10/30/2015 113.74 11/30/2015 113.47 12/31/2015 105.08 1/29/2016 95.82 2/29/2016 95.52 3/31/2016 99.31 4/29/2016 103.26 5/31/2016 99.22 6/30/2016 97.82 7/29/2016 95.95 8/31/2016 94.46 9/30/2016 92.86 10/31/2016 92.69 11/30/2016 99.12 12/30/2016 104.22 1/31/2017 110.65 2/28/2017 110.09 3/31/2017 113.39 4/28/2017 115.6 5/31/2017 107.94 6/30/2017 106.25 7/31/2017 109.93 8/31/2017 101.2 9/29/2017 98.57 10/31/2017 197.81 Spy (SP500) 211.14 205.85 210.5 197.67 191.63 207.93 208.69 203.87 193.721 193.56 205.52 206.331 209.84 209.475 217.12 217.38 216.3 212.55 220.38 223.53 227.53 236.47 235.74 238.08 241.44 241.8 246.77 247.49 251.23 1257.15 31 32 33 34 35 36 11/30/2017 104.82 12/29/2017 107.51 1/31/2018 108.67 2/28/2018 103.16 3/29/2018 100.44 4/30/2018 100.33 265.01 266.86 281.9 271.65 263.15 264.51 Number 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 Date 20150430 20150529 20150630 20150731 20150831 20150930 20151030 20151130 20151231 20160129 20160229 20160331 20160429 20160531 20160630 20160729 20160831 20160930 20161031 20161130 20161230 20170131 20170228 20170331 20170428 20170531 20170630 20170731 20170831 Rm - Rf SMB Excess Return on the Mark Small-Minus-Big Return 0.0059 -0.0297 0.0136 0.0094 -0.0153 0.0281 0.0154 -0.0415 -0.0604 0.0049 -0.0308 -0.0264 0.0775 -0.0198 0.0056 0.0364 -0.0217 -0.0281 -0.0577 -0.0339 -0.0007 0.0078 0.0696 0.0089 0.0092 0.0067 0.0178 -0.0026 -0.0005 0.0065 0.0395 0.0264 0.005 0.0117 0.0025 0.0201 -0.0202 -0.0436 0.0486 0.0548 0.0182 0.0008 0.0194 -0.0105 0.0357 -0.0199 0.0017 0.012 0.0109 0.0073 0.0106 -0.0254 0.0078 0.0215 0.0187 -0.0142 0.0016 -0.0171 HML High-Minus-Low Return 0.0185 -0.0133 -0.0081 -0.0414 10.0269 0.0053 -0.0009 -0.0051 -0.0257 0.021 -0.0048 0.0114 0.0325 -0.018 -0.0149 -0.0113 0.0334 -0.0149 0.0416 0.0827 0.0361 -0.0268 -0.0179 -0.0317 -0.0191 -0.0375 0.0132 -0.0028 -0.0226 Prices DIS US Equity 108.72 110.37 114.14 120 101.88 102.2 113.74 113.47 105.08 95.82 95.52 99.31 103.26 99.22 97.82 95.95 94.46 92.86 92.69 99.12 104.22 110.65 110.09 113.39 115.6 107.94 106.25 109.93 101.2 30 31 32 33 34 35 36 20170929 20171031 20171130 20171229 20180131 20180228 20180329 0.0251 0.0225 0.0312 0.0106 0.0558 -0.0365 -0.0235 0.008686111 0.0453 -0.0195 -0.0063 -0.0127 -0.0306 0.0028 0.0396 -0.000855556 0.0302 -0.0008 0.0002 0.0011 -0.0141 -0.012 -0.0008 0.000266667 98.57 97.81 104.82 107.51 108.67 103.16 100.44