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D B 1 2 3 4 5 6 7 8 9 Variable Name Descriptive Label date year/month/day aapl Apple monthly rate of return amzn Amazon monthly rate of return Chevron monthly rate of return dis Disney monthly rate of return ge General Electric monthly rate of retum msft Microsoft monthly rate of return Exxon-Mobil monthly rate of return mkt Market Portfolio monthly rate of return riskfree* Risk free rate, monthly rate based on 30 day T-bill 10 11 Xom 12 13 14 15 16 17 18 19 20 21 22 23 Data Description Raw Data + 1 Jobs aap! amzn CVX dis ge msft xom mkt riskfree 2 1998:07:00 0.2069744 0.1115289 0.013433 -0.01516 0.01252 0.014418 -0.01576 -0.02326 0.003954 3 1998:08:00 -0.099278 -0.244615 -0.103631 -0.20327 -0.10552 -0.12735 -0.06267 -0.15767 0.003909 4 1998:09:00 0.2224449 0.3328359 0.1350211 -0.07517 -0.00172 0.147231 0.079274 0.063836 0.003357 5 1998:10:00 -0.026231 0.1326988 -0.030483 0.063645 0.099764 -0.03805 0.014159 0.074357 0.00296 6 1998:11:00 -0.139731 0.5185367 0.0260736 0.194896 0.032857 0.152302 0.052845 0.061986 0.003702 7 1998:12:00 0.2818001 0.6731771 -0.008221 -0.06796 0.132503 0.136783 -0.025 0.063053 0.003662 8 1999:01:00 0.0061092 0.0920233 -0.101733 0.1 0.028186 0.26183 -0.03932 0,038346 0.003674 9 1999:02:00 -0.154781 0.0956708 0.0318792 0.066288 -0.0435 -0.14214 -0.04666 -0.03811 0.003755 10 1999:03:00 0.0323171 0.3439024 0.1544715 0.11545 0.106293 0.194005 0.060094 0.037862 0.003798 11 1999:04:00 0.27999730.000726 0.1239437 0.02008 -0.04746 -0.09275 0.177148 0.049 0.00371 12 1999:05:00 -0.042119 -0.309844 -0.072682 -0.08268 0.03499 -0.00769 -0.03344 -0.02072 0.003683 13 1999:06:00 0.0510631 0.0536842 0,0277027 0.05794 0.111248 0.117738 -0.03443 0.05102 0.003698 14 1999:07:00 0.2024309 -0.2003 -0.040105 -0.10548 -0.0323 0.04851 0.029173 -0.03064 0.003708 15 1999:08:00 0.1717162 0.2429731 0.0116438 0.006803 0.03039 0.07866 -0.00113 -0.00998 0.00375 16 1999:09:00 -0.029693 0.2854271 -0.038592 -0.06306 0.058765 -0.02161 -0.03645 -0.02287 0.003751 17 1999:10:00 0.2655487 -0.116497 0.0288732 0.019231 0.142857 0.022084 0.02549 0.062048 0.003638 18 1999:11:00 0.2215286 0.2044248 -0.030116 0.059811 -0.03967 -0.01637 0.076827 0.036856 0.003809 19 1999:12:00 0.0504472 -0.10507 -0.021877 0.049327 0.192392 0.282306 0.01576 0.083925 0.004252 20 2000:01:00 0.009118 -0.151888 -0.034632 0.241453 -0.13651 -0.16167 0.035687 -0.03975 0.004488 21 2000:02:00 0.1048202 0.0667957 -0.106876 -0.07745 -0.00936 -0.08685 -0.09211 0.03177 0.004428 22 2000:03:00 0.1848417 -0.027223 0.2376569 0.231343 0.178735 0.188811 0.034855 0.053552 0.00488 23 2000:04:00 -0.086517 -0.176306 -0.079108 0.05 0.010442 -0.34353 -0.00321 -0.05947 0.004392 24 2000:05:00 -0.322922 -0.124575 0.0859031 -0.03175 0.005167 -0.10305 0.078069 -0.03905 0.003896 25 2000:06:00 0.247024 -0.248383 -0.082488 -0.07452 0.005931 0.278721 -0.05776 0.051649 0.004691 26 2000:07:00 -0.029833 -0.170396 -0.068718 -0.00322 -0.0269 -0.12734 0.019108 -0.01711 0.004896 27 2000:08:00 0.1992625 0.3775934 0.0700297 0.006462 0.140948 0 0.025812 0.075811 0.005195 28 2000:09:00 -0.577436 -0.073795 0.0086892 -0.01766 -0.01471 -0.13608 0.091884 -0.05114 0.004933 29 2000:10:00 -0.240291 -0.047154 -0.036657 -0.06373 -0.04984 0.141969 0.000701 -0.02456 0.005023 30 2000:11:00 -0.156548 -0.325939 -0.003044 -0.19197 0.09578 -0.16697 -0.00838 -0.10255 0.005099 31 2000:12:00 -0.098485 -0.36962 0.0312977 0.007257 0.02956 -0.24401 -0.01207 0.020346 0.004808 32 2001:01:00 0.4537826 0.1124498 -0.013708 0.052268 0.04083 0.407781 -0.03206 0.039533 0.004023 33 2001:02:00 -0.15607 0.411552 0.0285784 0.01642 0.011309 -0.03378 -0.03161 -0.09927 0.004178 34 2001:03:00 0.2093141 0.0041718 0.0249825 -0.07593 -0.09634 -0.07309 0.00062 -0.07029 0.003693 35 2001:04:00 0.1549630.542522 0.0997721 0.057692 0.159341 0.238857 0.093827 0.083904 0.003118 36 2001:05:00 -0.217341 0.057668 0.005282 0.045289 0.009685 0.021107 0.006659 0.010561 0.002871 37 2001:06:00 0.1654147 -0.152187 -0.057782 -0.08634 -0.0051 0.055218 -0.01555 -0.01748 0.002846 38 2001:07:00 0.191828 -0.117314 0.0098343 -0.08792 -0.10441 -0.09329 0,04385 -0.01832 0.003033 39 2001:08:00 -0.012774 -0.284227 +0.007003 -0.03492 -0.05793 -0.13809 -0.03305 -0.05908 0.002812 40 2001:09:00 -0.163882 -0.332215 -0.066116 -0.26779 0.08834 0.10307 -0.01868 0.09154 0.001982 41 2001:10:00 0.1321724 0.1691792 0.0448378 -0.00161 0.02124 0.136408 0.001269 0.027967 0.001744 42 2001:11:00 0.2129853 0.6217765 -0.039977 0.10113 0.057402 0.104213 0.04613 0.078734 0.00144 43 2001:12:00 0.0281683 -0.04417 0.0541113 0.022472 0.045714 0.031771 0.050802 0.017841 0.001363 44 2002:01:00 0.1287695 0.3114603 -0.064836 0.016409 -0.0731 -0.03834 -0.00636 -0.01606 0.001408 45 2002:02:00 -0.122169 -0.006342 0.0076372 0.092118 0.041184 -0.08429 0,063508 -0.02171 0.001444 46 2002:03:00 0.0907845 0.0141844 0.069043 0.003478 -0.02727 0.033768 0.061259 0.044693 0.001425 47 2002:04:00 0.0253478 0.1671329 -0.039437 0.004333 -0.15754 -0.13348 0.08351 -0.04965 0.001461 48 2002:05:00 -0.039968 0.0922708 0.0062277 0.01165 -0.013 -0.02583 -0.00025 -0.01046 0.001408 49 2002:06:00 -0.239483 -0.108612 0.0143266 -0.17503 -0.06134 0.074445 0.024793 -0.07024 0.001389 50 2002:07:00 -0.138827 -0.110769 -0.152542 -0.06191 0.108434 -0.12285 -0.10166 -0.08114 0.001417 51 2002:08:00 -0.03342 0.03391 0.0217333 -0.11562 -0.06367 0.022926 -0.02938 0.007984 0.00138 52 2002:09:00 -0.016948 0.0662651 -0.096307 -0.03444 -0.17645 -0.1088 -0.10014 -0.09998 0.001308 53 2002:10:00 0.1082729 0.2153171 -0.023394 0.103038 0.024341 0.222451 0.055172 0.074958 0.001183 54 2002:11:00 -0.035468 0.206095 -0.008872 0.186826 0.074059 0.078736 0.040701 0.061276 0.001014 55 2002:12:00 -0.075484 -0.191006 -0.008205 -0.1665 -0.09513 -0.10368 0.004023 -0.05331 0.000947 56 2003:01:00 0.0020946 0.1566967 -0.031288 0.072961 -0.04969 -0.08201 -0.02261 -0.02343 0.000 57 2003:02:00 0.045264 0.0073227 -0.003571 -0.02514 0.047537 0.002107 0.002928 -0.01541 0.000996 58 2003:03:00 -0.057962 0.1826443 0.0074802 -0.00235 0.060291 0.021519 0.027337 0.010333 0.000951 59 2003:04:00 0.0056594 0.1021898 -0.028461 0.096357 0.154902 0.055762 0.007153 0.082797 0.000911 60 2003:05:00 0.2623056 0.2509584 0.129438 0.053055 0.02547-0.03717 0.041193 0.063507 0.000934 61 2003:06:00 0.061837 0.0119811 0.0177614 0.0050890.005923 0.041853 0.01346 0.016332 0.000662 62 2003:07:00 0.1059828 0.1464757 -0.001246 0.109873 -0.00837 0.030031 -0.00919 0.02313 0.000733 63 2003:08:00 0.0725794 0.112392 0.0105395 -0.06478 0.039733 0.004165 0.06661 0.024908 0.000809 64 2003:09:00 -0.083591 0.0455527 -0.019487 -0.0161 0.014542 0.048265 -0.02918 -0.0091 0.00071 65 2003:10:00 0.1047297 0.1238902 0.0398881 0.122459 -0.02684 -0.05396 0.00055 0.060331 0.000763 66 2003:11:00 -0.0865 -0.008451 0.0107671 0.019876 -0.01172 -0.01645 -0.00355 0.016607 0.00075 67 2003:12:00 0.0219983 -0.025014 0.1503329 0.019489 0.087548 0.064566 0.132597 0.045532 0.000689 68 2004:01:00 0.0556856 -0.042189 -0.000463 0.028718 0.085539 0.01023 -0.00512 0.023064 0.000689 69 2004:02:00 0.0602844 -0.146627 0.0231616 0.105417 -0.02706 -0.04051 0.039961 0.015467 0.000778 70 2004:03:00 0.1304341 0.0062776 -0.006452 -0.05805 -0.0615 -0.06031 -0.01975 -0.01069 0.000769 71 2004:04:00 -0.046598 0.0073937 0.0423787 -0.07843 -0.01868 0.048135 0.023082 0.02423 0.000674 72 2004:05:00 0.0884401 0.1123854 -0.0120220.019105 0.039065 0.003827 0.022797 0.014127 0.000757 73 2004:06:00 0.159658 0.1216495 0.0410398 0.086067 0.047558 0.08883 0.026821 0.021563 0.000941 74 2004:07:00 -0.006146 -0.284559 0.0163639 -0.09416 0.026235 -0.00245 0.0425581-0.03768 0.001065 75 2004:08:00 0.0664814 -0.020041 0.0193413 -0.02772 -0.01384 -0.03896 0.001512 0.002714 0.001201 76 2004:09:00 0.1235133 0.0713163 0.1003077 0.004454 0.030192 0.012821 0.048373 0.020555 0.001215 77 2004:10:00 0.3522582 -0.164709 -0.010813 0.118404 0.016081 0.011573 0.018415 0.01781 0.001457 78 2004:11:00 0.2795801 0.1626185 0.0290237 0.065821 0.036342 0.068645 0.046729 0.048243 0.001693 79 2004-12:00 -0.039522 0.1161795-0.038278 0.043155 0.038462 -0.00336 0.000195 0.08518 0,00159 80 2005:01:00 0.1940991 -0.024159 0.0359932 0.029856 -0.01014 -0.01647 0.006633 -0.02656 0.001802 81 2005:02:00 0.1667104 -0,186025 0.1411765 -0.0241 -0.01965 -0.03957 0.232171 0.022695 0.002081 82 2005:03:00 -0.07111 -0.025867 -0.060728 0.028275 0.024432 -0.03935 -0.0586 -0.01694 0.002166 83 2005:04:00 0.134629 -0.055734-0.108215 -0.0811 0.003882 0.046752 -0.04312 -0.02518 0.002259 84 2005:05:00 0.1026069 0.0973423 0.0342307 0.039394 0.007785 0.022925 0.00947 0.037916 0.002293 85 2005:06:00 -0.074195 -0.06815 0.0397917 -0.08236 -0.04413 -0.03721 0.022598 0.011531 0.002488 86 2005:07:00 0.1586522 0.3644606 0.0373748 0.018268 0.00433 0.030998 0.022272 0.043331 0.002691 87 2005:08:00 0.0994141 -0.054264 0.0584383 -0.01755 -0.0258 0.072237 0.024511 -0.00594 0.002784 88. 2005:09:00 0.1433141 0.0608899 0.0542345 -0.04208 0.008331 +0.06026 0.060768 0.010609 0.002655 89 2005:10:00 0.0742399 -0.120088 -0.118338 0.009946 0.007128 -0.00117 -0.11646 -0.02078 0.00308 90 2005:11:00 0.1776349 0.2157551 0.0042054 0.022979 0.053377 0.080156 0.038831 0.040406 0.003309 91 2005:12:00 0.0600117 -0.027033 -0.009422) -0.02768 -0.01176 -0.05528 -0.03205 0.003476 0.003288 92 2006:01:00 0.0503548 -0.049417 0.045975 0.055903 -0.06562 0.076482 0.117144 0.040112 0.003606 93 2006:02:00 -0.092968 -0.164659 -0.048838 0.105887 0.011298 -0.04227 -0.04877 -0.00164 0.003687 94 2006:03:00 -0.084246 -0.024306 0.026381 -0.00357 0.058108 0.012653 0.025097 0.01906 0.003828 95 2006:04:00 0.1222897 -0.036135 0.0526134 0.00251 -0.00546 -0.11246 0.036477 0.012968 0.003844 96 2006:05:00 -0.150874 -0.017041 -0.020157 0.090844 -0.00954 0.05839 -0.02933 -0.03104 0.003913 97 2006:06:00 -0.041827 0.117596 0.0379662 -0.01639 -0.03065 0.028698 0.007224 -0.0004 0.003903 98 2006:07:00 0.1866598 -0.304809 0.059942 -0.01033 -0.00819 0.032618 0.104156 -0.0019 0.0042 99 2006:08:00 -0.001619 0.1465229 -0.020979 -0.00135 0.041909 0.071904 0.003691 0.025085 0.004138 1002006:09:00 0.1345618 0.0418423 0.0071428 0.042496 0.043746 0.064202 -0.00842 0.019452 0.003874 101 2006:10:00 0.0532604 0.1858655 0.0360776 0.017794 -0.00538 0.049726 0.064382 0.037086 0.004293 102 2006:11:00 0.1304884 0.0590706 0.0761905 0.05054 0.004842 0.026123 0.07995 0.023716 0.00415 103 2006:12:00 -0.074405 -0.021815 0.0167312 0.046294 0.062642 0.01703 -0.00234 0.010823 0.003973 104 2007:01:00 0.0104904 -0.045362 -0.00884 0.026262 -0.03117 0.03349 -0.03302 0.019438 0.004168 105 2007:02:00 -0.013064 0.0390231 -0.059824 -0.02616 -0.02386 -0.08393 -0.02834 -0.014 0.004286 106 2007:03:00 0.098097 0.0166071 0.0793929 0.005255 0.01289 -0.01065 0.052595 0.012949 0.004209 107 2007:04:00 0.074158 0.5413421 0.0517848 0.015974 0.042421 0.074273 0.052087 0.039893 0.003963 108 2007:05:00 0.2143285 0.1273438 0.0475639 0.01315 0.019533 0.028393 0.052154 0.038894 0.003913 109 2007:06:00 0.007014 0.010558 0.0337465 -0.02308 0.026078 -0.03976 0.008537 -0.01476 0.003776 110) 2007:07:00 0.0796458 0.1480777 0.0121083 -0.03339 0.012539 -0.01629 0.014902 -0.03175 0.004254 111 0026 110 2007:07:00 0.0796458 0.1480777 0.0121083 -0.03339 0.012539 -0.01629 0.014902 -0.03175 0.004254 111 2007:08:00 0.0510018 0.0174434 0.0293221 0.018182 0.002838 -0.00552 0.011159 0.011623 0.00346 112 2007:09:00 0.1082467 0.1656864 0.0663172 0.023512 0.072292 0.025409 0.079669 0.040903 0.002869 113 2007:10:00 0.2377012 -0.042941 -0.02212 0.006979 -0.0058 0.249491-0.00616 0.025842 0.003318 114 2007:11:00 -0.040695 0.015816 -0.04087 0.04274 -0.06973 -0.08422 -0.02696 -0.04928 0.002683 115 2007:12:00 0.0870377 0.0229682 0.0633474 -0.01569 -0.02377 0.059524 0.050808 -0.00434 0.002382 116 2008:01:00 -0.31664 -0.161269 -0.108004 -0.075590.04613 -0.08427 -0.07781 0.06231 0.001387 117 2008:02:00 -0.076389 -0.17027 0.040961 0.086126 -0.05402 0.16227 0.011111 -0.02204 0.001725 118 2008:03:00 0.1478163 0.1059408 -0.015001 -0.03178 0.116777 0.043386 -0.02793 -0.01047 0.001032 119 2008:04:00 0.2121951 0.102805 0.1264058 0.033461 -0.11646 0.004933 0.100378 0.051144 0.001048 120 2008:05:00 0.0850819 0.0380263 0.0312012 0.036078 -0.06055 -0.00316 -0.04201 0.023825 0.001623 121 2008:06:00 -0.112901 -0.101568 -0.000202 -0.07143 -0.12109 0.0286 -0.0071 -0.07863 0.001412 Questions 1. Explain why the econometric model in equation 0.2 is a simple regression model 2. In the data file Casel-data.xlsx are data on the monthly returns of seven firms (Apple, Amazon, Chevron Disney. GE, Microsoft and Mobil-Exxon), the rate of return on the market portfolid (MET) and the rate of return on the risk free net (RISKFREE). The 120 observations cover July 1998 to June 2008. Estimate the CAPM model for each firm, and comment on their estimated het vlees Which firm appears that aggressive Which firm appears most defensive? 3 Finance theory that the intercept parameters should be zero. Donk tha seeincarictive your estimates ? For the Microsoft stock plot the fitted recreio on with the data witter 4. Estimate the model for each firm imder the sumption that Do the estimates of the bete beschringe much D B 1 2 3 4 5 6 7 8 9 Variable Name Descriptive Label date year/month/day aapl Apple monthly rate of return amzn Amazon monthly rate of return Chevron monthly rate of return dis Disney monthly rate of return ge General Electric monthly rate of retum msft Microsoft monthly rate of return Exxon-Mobil monthly rate of return mkt Market Portfolio monthly rate of return riskfree* Risk free rate, monthly rate based on 30 day T-bill 10 11 Xom 12 13 14 15 16 17 18 19 20 21 22 23 Data Description Raw Data + 1 Jobs aap! amzn CVX dis ge msft xom mkt riskfree 2 1998:07:00 0.2069744 0.1115289 0.013433 -0.01516 0.01252 0.014418 -0.01576 -0.02326 0.003954 3 1998:08:00 -0.099278 -0.244615 -0.103631 -0.20327 -0.10552 -0.12735 -0.06267 -0.15767 0.003909 4 1998:09:00 0.2224449 0.3328359 0.1350211 -0.07517 -0.00172 0.147231 0.079274 0.063836 0.003357 5 1998:10:00 -0.026231 0.1326988 -0.030483 0.063645 0.099764 -0.03805 0.014159 0.074357 0.00296 6 1998:11:00 -0.139731 0.5185367 0.0260736 0.194896 0.032857 0.152302 0.052845 0.061986 0.003702 7 1998:12:00 0.2818001 0.6731771 -0.008221 -0.06796 0.132503 0.136783 -0.025 0.063053 0.003662 8 1999:01:00 0.0061092 0.0920233 -0.101733 0.1 0.028186 0.26183 -0.03932 0,038346 0.003674 9 1999:02:00 -0.154781 0.0956708 0.0318792 0.066288 -0.0435 -0.14214 -0.04666 -0.03811 0.003755 10 1999:03:00 0.0323171 0.3439024 0.1544715 0.11545 0.106293 0.194005 0.060094 0.037862 0.003798 11 1999:04:00 0.27999730.000726 0.1239437 0.02008 -0.04746 -0.09275 0.177148 0.049 0.00371 12 1999:05:00 -0.042119 -0.309844 -0.072682 -0.08268 0.03499 -0.00769 -0.03344 -0.02072 0.003683 13 1999:06:00 0.0510631 0.0536842 0,0277027 0.05794 0.111248 0.117738 -0.03443 0.05102 0.003698 14 1999:07:00 0.2024309 -0.2003 -0.040105 -0.10548 -0.0323 0.04851 0.029173 -0.03064 0.003708 15 1999:08:00 0.1717162 0.2429731 0.0116438 0.006803 0.03039 0.07866 -0.00113 -0.00998 0.00375 16 1999:09:00 -0.029693 0.2854271 -0.038592 -0.06306 0.058765 -0.02161 -0.03645 -0.02287 0.003751 17 1999:10:00 0.2655487 -0.116497 0.0288732 0.019231 0.142857 0.022084 0.02549 0.062048 0.003638 18 1999:11:00 0.2215286 0.2044248 -0.030116 0.059811 -0.03967 -0.01637 0.076827 0.036856 0.003809 19 1999:12:00 0.0504472 -0.10507 -0.021877 0.049327 0.192392 0.282306 0.01576 0.083925 0.004252 20 2000:01:00 0.009118 -0.151888 -0.034632 0.241453 -0.13651 -0.16167 0.035687 -0.03975 0.004488 21 2000:02:00 0.1048202 0.0667957 -0.106876 -0.07745 -0.00936 -0.08685 -0.09211 0.03177 0.004428 22 2000:03:00 0.1848417 -0.027223 0.2376569 0.231343 0.178735 0.188811 0.034855 0.053552 0.00488 23 2000:04:00 -0.086517 -0.176306 -0.079108 0.05 0.010442 -0.34353 -0.00321 -0.05947 0.004392 24 2000:05:00 -0.322922 -0.124575 0.0859031 -0.03175 0.005167 -0.10305 0.078069 -0.03905 0.003896 25 2000:06:00 0.247024 -0.248383 -0.082488 -0.07452 0.005931 0.278721 -0.05776 0.051649 0.004691 26 2000:07:00 -0.029833 -0.170396 -0.068718 -0.00322 -0.0269 -0.12734 0.019108 -0.01711 0.004896 27 2000:08:00 0.1992625 0.3775934 0.0700297 0.006462 0.140948 0 0.025812 0.075811 0.005195 28 2000:09:00 -0.577436 -0.073795 0.0086892 -0.01766 -0.01471 -0.13608 0.091884 -0.05114 0.004933 29 2000:10:00 -0.240291 -0.047154 -0.036657 -0.06373 -0.04984 0.141969 0.000701 -0.02456 0.005023 30 2000:11:00 -0.156548 -0.325939 -0.003044 -0.19197 0.09578 -0.16697 -0.00838 -0.10255 0.005099 31 2000:12:00 -0.098485 -0.36962 0.0312977 0.007257 0.02956 -0.24401 -0.01207 0.020346 0.004808 32 2001:01:00 0.4537826 0.1124498 -0.013708 0.052268 0.04083 0.407781 -0.03206 0.039533 0.004023 33 2001:02:00 -0.15607 0.411552 0.0285784 0.01642 0.011309 -0.03378 -0.03161 -0.09927 0.004178 34 2001:03:00 0.2093141 0.0041718 0.0249825 -0.07593 -0.09634 -0.07309 0.00062 -0.07029 0.003693 35 2001:04:00 0.1549630.542522 0.0997721 0.057692 0.159341 0.238857 0.093827 0.083904 0.003118 36 2001:05:00 -0.217341 0.057668 0.005282 0.045289 0.009685 0.021107 0.006659 0.010561 0.002871 37 2001:06:00 0.1654147 -0.152187 -0.057782 -0.08634 -0.0051 0.055218 -0.01555 -0.01748 0.002846 38 2001:07:00 0.191828 -0.117314 0.0098343 -0.08792 -0.10441 -0.09329 0,04385 -0.01832 0.003033 39 2001:08:00 -0.012774 -0.284227 +0.007003 -0.03492 -0.05793 -0.13809 -0.03305 -0.05908 0.002812 40 2001:09:00 -0.163882 -0.332215 -0.066116 -0.26779 0.08834 0.10307 -0.01868 0.09154 0.001982 41 2001:10:00 0.1321724 0.1691792 0.0448378 -0.00161 0.02124 0.136408 0.001269 0.027967 0.001744 42 2001:11:00 0.2129853 0.6217765 -0.039977 0.10113 0.057402 0.104213 0.04613 0.078734 0.00144 43 2001:12:00 0.0281683 -0.04417 0.0541113 0.022472 0.045714 0.031771 0.050802 0.017841 0.001363 44 2002:01:00 0.1287695 0.3114603 -0.064836 0.016409 -0.0731 -0.03834 -0.00636 -0.01606 0.001408 45 2002:02:00 -0.122169 -0.006342 0.0076372 0.092118 0.041184 -0.08429 0,063508 -0.02171 0.001444 46 2002:03:00 0.0907845 0.0141844 0.069043 0.003478 -0.02727 0.033768 0.061259 0.044693 0.001425 47 2002:04:00 0.0253478 0.1671329 -0.039437 0.004333 -0.15754 -0.13348 0.08351 -0.04965 0.001461 48 2002:05:00 -0.039968 0.0922708 0.0062277 0.01165 -0.013 -0.02583 -0.00025 -0.01046 0.001408 49 2002:06:00 -0.239483 -0.108612 0.0143266 -0.17503 -0.06134 0.074445 0.024793 -0.07024 0.001389 50 2002:07:00 -0.138827 -0.110769 -0.152542 -0.06191 0.108434 -0.12285 -0.10166 -0.08114 0.001417 51 2002:08:00 -0.03342 0.03391 0.0217333 -0.11562 -0.06367 0.022926 -0.02938 0.007984 0.00138 52 2002:09:00 -0.016948 0.0662651 -0.096307 -0.03444 -0.17645 -0.1088 -0.10014 -0.09998 0.001308 53 2002:10:00 0.1082729 0.2153171 -0.023394 0.103038 0.024341 0.222451 0.055172 0.074958 0.001183 54 2002:11:00 -0.035468 0.206095 -0.008872 0.186826 0.074059 0.078736 0.040701 0.061276 0.001014 55 2002:12:00 -0.075484 -0.191006 -0.008205 -0.1665 -0.09513 -0.10368 0.004023 -0.05331 0.000947 56 2003:01:00 0.0020946 0.1566967 -0.031288 0.072961 -0.04969 -0.08201 -0.02261 -0.02343 0.000 57 2003:02:00 0.045264 0.0073227 -0.003571 -0.02514 0.047537 0.002107 0.002928 -0.01541 0.000996 58 2003:03:00 -0.057962 0.1826443 0.0074802 -0.00235 0.060291 0.021519 0.027337 0.010333 0.000951 59 2003:04:00 0.0056594 0.1021898 -0.028461 0.096357 0.154902 0.055762 0.007153 0.082797 0.000911 60 2003:05:00 0.2623056 0.2509584 0.129438 0.053055 0.02547-0.03717 0.041193 0.063507 0.000934 61 2003:06:00 0.061837 0.0119811 0.0177614 0.0050890.005923 0.041853 0.01346 0.016332 0.000662 62 2003:07:00 0.1059828 0.1464757 -0.001246 0.109873 -0.00837 0.030031 -0.00919 0.02313 0.000733 63 2003:08:00 0.0725794 0.112392 0.0105395 -0.06478 0.039733 0.004165 0.06661 0.024908 0.000809 64 2003:09:00 -0.083591 0.0455527 -0.019487 -0.0161 0.014542 0.048265 -0.02918 -0.0091 0.00071 65 2003:10:00 0.1047297 0.1238902 0.0398881 0.122459 -0.02684 -0.05396 0.00055 0.060331 0.000763 66 2003:11:00 -0.0865 -0.008451 0.0107671 0.019876 -0.01172 -0.01645 -0.00355 0.016607 0.00075 67 2003:12:00 0.0219983 -0.025014 0.1503329 0.019489 0.087548 0.064566 0.132597 0.045532 0.000689 68 2004:01:00 0.0556856 -0.042189 -0.000463 0.028718 0.085539 0.01023 -0.00512 0.023064 0.000689 69 2004:02:00 0.0602844 -0.146627 0.0231616 0.105417 -0.02706 -0.04051 0.039961 0.015467 0.000778 70 2004:03:00 0.1304341 0.0062776 -0.006452 -0.05805 -0.0615 -0.06031 -0.01975 -0.01069 0.000769 71 2004:04:00 -0.046598 0.0073937 0.0423787 -0.07843 -0.01868 0.048135 0.023082 0.02423 0.000674 72 2004:05:00 0.0884401 0.1123854 -0.0120220.019105 0.039065 0.003827 0.022797 0.014127 0.000757 73 2004:06:00 0.159658 0.1216495 0.0410398 0.086067 0.047558 0.08883 0.026821 0.021563 0.000941 74 2004:07:00 -0.006146 -0.284559 0.0163639 -0.09416 0.026235 -0.00245 0.0425581-0.03768 0.001065 75 2004:08:00 0.0664814 -0.020041 0.0193413 -0.02772 -0.01384 -0.03896 0.001512 0.002714 0.001201 76 2004:09:00 0.1235133 0.0713163 0.1003077 0.004454 0.030192 0.012821 0.048373 0.020555 0.001215 77 2004:10:00 0.3522582 -0.164709 -0.010813 0.118404 0.016081 0.011573 0.018415 0.01781 0.001457 78 2004:11:00 0.2795801 0.1626185 0.0290237 0.065821 0.036342 0.068645 0.046729 0.048243 0.001693 79 2004-12:00 -0.039522 0.1161795-0.038278 0.043155 0.038462 -0.00336 0.000195 0.08518 0,00159 80 2005:01:00 0.1940991 -0.024159 0.0359932 0.029856 -0.01014 -0.01647 0.006633 -0.02656 0.001802 81 2005:02:00 0.1667104 -0,186025 0.1411765 -0.0241 -0.01965 -0.03957 0.232171 0.022695 0.002081 82 2005:03:00 -0.07111 -0.025867 -0.060728 0.028275 0.024432 -0.03935 -0.0586 -0.01694 0.002166 83 2005:04:00 0.134629 -0.055734-0.108215 -0.0811 0.003882 0.046752 -0.04312 -0.02518 0.002259 84 2005:05:00 0.1026069 0.0973423 0.0342307 0.039394 0.007785 0.022925 0.00947 0.037916 0.002293 85 2005:06:00 -0.074195 -0.06815 0.0397917 -0.08236 -0.04413 -0.03721 0.022598 0.011531 0.002488 86 2005:07:00 0.1586522 0.3644606 0.0373748 0.018268 0.00433 0.030998 0.022272 0.043331 0.002691 87 2005:08:00 0.0994141 -0.054264 0.0584383 -0.01755 -0.0258 0.072237 0.024511 -0.00594 0.002784 88. 2005:09:00 0.1433141 0.0608899 0.0542345 -0.04208 0.008331 +0.06026 0.060768 0.010609 0.002655 89 2005:10:00 0.0742399 -0.120088 -0.118338 0.009946 0.007128 -0.00117 -0.11646 -0.02078 0.00308 90 2005:11:00 0.1776349 0.2157551 0.0042054 0.022979 0.053377 0.080156 0.038831 0.040406 0.003309 91 2005:12:00 0.0600117 -0.027033 -0.009422) -0.02768 -0.01176 -0.05528 -0.03205 0.003476 0.003288 92 2006:01:00 0.0503548 -0.049417 0.045975 0.055903 -0.06562 0.076482 0.117144 0.040112 0.003606 93 2006:02:00 -0.092968 -0.164659 -0.048838 0.105887 0.011298 -0.04227 -0.04877 -0.00164 0.003687 94 2006:03:00 -0.084246 -0.024306 0.026381 -0.00357 0.058108 0.012653 0.025097 0.01906 0.003828 95 2006:04:00 0.1222897 -0.036135 0.0526134 0.00251 -0.00546 -0.11246 0.036477 0.012968 0.003844 96 2006:05:00 -0.150874 -0.017041 -0.020157 0.090844 -0.00954 0.05839 -0.02933 -0.03104 0.003913 97 2006:06:00 -0.041827 0.117596 0.0379662 -0.01639 -0.03065 0.028698 0.007224 -0.0004 0.003903 98 2006:07:00 0.1866598 -0.304809 0.059942 -0.01033 -0.00819 0.032618 0.104156 -0.0019 0.0042 99 2006:08:00 -0.001619 0.1465229 -0.020979 -0.00135 0.041909 0.071904 0.003691 0.025085 0.004138 1002006:09:00 0.1345618 0.0418423 0.0071428 0.042496 0.043746 0.064202 -0.00842 0.019452 0.003874 101 2006:10:00 0.0532604 0.1858655 0.0360776 0.017794 -0.00538 0.049726 0.064382 0.037086 0.004293 102 2006:11:00 0.1304884 0.0590706 0.0761905 0.05054 0.004842 0.026123 0.07995 0.023716 0.00415 103 2006:12:00 -0.074405 -0.021815 0.0167312 0.046294 0.062642 0.01703 -0.00234 0.010823 0.003973 104 2007:01:00 0.0104904 -0.045362 -0.00884 0.026262 -0.03117 0.03349 -0.03302 0.019438 0.004168 105 2007:02:00 -0.013064 0.0390231 -0.059824 -0.02616 -0.02386 -0.08393 -0.02834 -0.014 0.004286 106 2007:03:00 0.098097 0.0166071 0.0793929 0.005255 0.01289 -0.01065 0.052595 0.012949 0.004209 107 2007:04:00 0.074158 0.5413421 0.0517848 0.015974 0.042421 0.074273 0.052087 0.039893 0.003963 108 2007:05:00 0.2143285 0.1273438 0.0475639 0.01315 0.019533 0.028393 0.052154 0.038894 0.003913 109 2007:06:00 0.007014 0.010558 0.0337465 -0.02308 0.026078 -0.03976 0.008537 -0.01476 0.003776 110) 2007:07:00 0.0796458 0.1480777 0.0121083 -0.03339 0.012539 -0.01629 0.014902 -0.03175 0.004254 111 0026 110 2007:07:00 0.0796458 0.1480777 0.0121083 -0.03339 0.012539 -0.01629 0.014902 -0.03175 0.004254 111 2007:08:00 0.0510018 0.0174434 0.0293221 0.018182 0.002838 -0.00552 0.011159 0.011623 0.00346 112 2007:09:00 0.1082467 0.1656864 0.0663172 0.023512 0.072292 0.025409 0.079669 0.040903 0.002869 113 2007:10:00 0.2377012 -0.042941 -0.02212 0.006979 -0.0058 0.249491-0.00616 0.025842 0.003318 114 2007:11:00 -0.040695 0.015816 -0.04087 0.04274 -0.06973 -0.08422 -0.02696 -0.04928 0.002683 115 2007:12:00 0.0870377 0.0229682 0.0633474 -0.01569 -0.02377 0.059524 0.050808 -0.00434 0.002382 116 2008:01:00 -0.31664 -0.161269 -0.108004 -0.075590.04613 -0.08427 -0.07781 0.06231 0.001387 117 2008:02:00 -0.076389 -0.17027 0.040961 0.086126 -0.05402 0.16227 0.011111 -0.02204 0.001725 118 2008:03:00 0.1478163 0.1059408 -0.015001 -0.03178 0.116777 0.043386 -0.02793 -0.01047 0.001032 119 2008:04:00 0.2121951 0.102805 0.1264058 0.033461 -0.11646 0.004933 0.100378 0.051144 0.001048 120 2008:05:00 0.0850819 0.0380263 0.0312012 0.036078 -0.06055 -0.00316 -0.04201 0.023825 0.001623 121 2008:06:00 -0.112901 -0.101568 -0.000202 -0.07143 -0.12109 0.0286 -0.0071 -0.07863 0.001412 Questions 1. Explain why the econometric model in equation 0.2 is a simple regression model 2. In the data file Casel-data.xlsx are data on the monthly returns of seven firms (Apple, Amazon, Chevron Disney. GE, Microsoft and Mobil-Exxon), the rate of return on the market portfolid (MET) and the rate of return on the risk free net (RISKFREE). The 120 observations cover July 1998 to June 2008. Estimate the CAPM model for each firm, and comment on their estimated het vlees Which firm appears that aggressive Which firm appears most defensive? 3 Finance theory that the intercept parameters should be zero. Donk tha seeincarictive your estimates ? For the Microsoft stock plot the fitted recreio on with the data witter 4. Estimate the model for each firm imder the sumption that Do the estimates of the bete beschringe much