Question: Problem 12-11 Use the data below to estimate the beta of Nike and Dell stock based on their monthly returns from 2007-2011. Nike beta Dell
| Problem 12-11 | ||||||||
| Use the data below to estimate the beta of Nike and Dell stock based on their monthly returns from 2007-2011. | ||||||||
| Nike beta | ||||||||
| Dell beta | ||||||||
| Excess Returns | ||||||||
| Date | Risk-free Rate | NKE | DELL | S&P 500 | NKE | DELL | S&P 500 | |
| Jan-07 | 0.00433 | -0.00243 | -0.03455 | 0.01512 | -0.00675 | -0.03888 | 0.01079 | |
| Feb-07 | 0.00384 | 0.05750 | -0.05660 | -0.01956 | 0.05366 | -0.06043 | -0.02340 | |
| Mar-07 | 0.00426 | 0.02070 | 0.01544 | 0.01119 | 0.01645 | 0.01118 | 0.00693 | |
| Apr-07 | 0.00435 | 0.01373 | 0.08645 | 0.04429 | 0.00938 | 0.08210 | 0.03995 | |
| May-07 | 0.00405 | 0.05356 | 0.06717 | 0.03490 | 0.04951 | 0.06313 | 0.03085 | |
| Jun-07 | 0.00392 | 0.03069 | 0.06107 | -0.01661 | 0.02677 | 0.05715 | -0.02053 | |
| Jul-07 | 0.00396 | -0.03164 | -0.02013 | -0.03101 | -0.03560 | -0.02409 | -0.03497 | |
| Aug-07 | 0.00421 | -0.00192 | 0.00973 | 0.01499 | -0.00613 | 0.00552 | 0.01078 | |
| Sep-07 | 0.00335 | 0.04468 | -0.02284 | 0.03740 | 0.04133 | -0.02619 | 0.03405 | |
| Oct-07 | 0.00321 | 0.12959 | 0.10884 | 0.01591 | 0.12637 | 0.10563 | 0.01270 | |
| Nov-07 | 0.00340 | -0.00930 | -0.19829 | -0.04181 | -0.01270 | -0.20168 | -0.04520 | |
| Dec-07 | 0.00292 | -0.01795 | -0.00123 | -0.00694 | -0.02088 | -0.00415 | -0.00986 | |
| Jan-08 | 0.00243 | -0.04898 | -0.18223 | -0.05998 | -0.05141 | -0.18466 | -0.06241 | |
| Feb-08 | 0.00133 | -0.01464 | -0.00704 | -0.03248 | -0.01596 | -0.00837 | -0.03381 | |
| Mar-08 | 0.00187 | 0.13370 | 0.00101 | -0.00432 | 0.13183 | -0.00086 | -0.00619 | |
| Apr-08 | 0.00103 | -0.01752 | -0.06478 | 0.04870 | -0.01855 | -0.06580 | 0.04768 | |
| May-08 | 0.00095 | 0.02346 | 0.23810 | 0.01295 | 0.02252 | 0.23715 | 0.01201 | |
| Jun-08 | 0.00175 | -0.12514 | -0.05114 | -0.08430 | -0.12689 | -0.05289 | -0.08605 | |
| Jul-08 | 0.00144 | -0.01561 | 0.12252 | -0.00841 | -0.01705 | 0.12108 | -0.00985 | |
| Aug-08 | 0.00128 | 0.03282 | -0.11531 | 0.01447 | 0.03153 | -0.11659 | 0.01318 | |
| Sep-08 | 0.00153 | 0.10786 | -0.24165 | -0.08911 | 0.10633 | -0.24318 | -0.09064 | |
| Oct-08 | 0.00079 | -0.13846 | -0.25994 | -0.16795 | -0.13926 | -0.26073 | -0.16874 | |
| Nov-08 | 0.00023 | -0.07601 | -0.08430 | -0.07175 | -0.07624 | -0.08453 | -0.07198 | |
| Dec-08 | 0.00003 | -0.03763 | -0.08303 | 0.01064 | -0.03766 | -0.08306 | 0.01061 | |
| Jan-09 | 0.00002 | -0.11273 | -0.07283 | -0.08429 | -0.11275 | -0.07286 | -0.08431 | |
| Feb-09 | 0.00015 | -0.08228 | -0.10191 | -0.10648 | -0.08243 | -0.10206 | -0.10662 | |
| Mar-09 | 0.00016 | 0.13589 | 0.11111 | 0.08760 | 0.13573 | 0.11095 | 0.08744 | |
| Apr-09 | 0.00013 | 0.11896 | 0.22660 | 0.09571 | 0.11883 | 0.22647 | 0.09558 | |
| May-09 | 0.00002 | 0.08722 | -0.00434 | 0.05593 | 0.08720 | -0.00435 | 0.05591 | |
| Jun-09 | 0.00008 | -0.08854 | 0.18641 | 0.00199 | -0.08861 | 0.18634 | 0.00191 | |
| Jul-09 | 0.00012 | 0.09390 | -0.02570 | 0.07563 | 0.09378 | -0.02582 | 0.07551 | |
| Aug-09 | 0.00012 | -0.02206 | 0.18312 | 0.03610 | -0.02218 | 0.18300 | 0.03599 | |
| Sep-09 | 0.00008 | 0.17365 | -0.03567 | 0.03732 | 0.17357 | -0.03575 | 0.03724 | |
| Oct-09 | 0.00004 | -0.03893 | -0.05350 | -0.01858 | -0.03897 | -0.05354 | -0.01862 | |
| Nov-09 | 0.00000 | 0.04353 | -0.02233 | 0.05998 | 0.04353 | -0.02233 | 0.05998 | |
| Dec-09 | 0.00006 | 0.02239 | 0.01713 | 0.01931 | 0.02232 | 0.01707 | 0.01925 | |
| Jan-10 | 0.00003 | -0.03513 | -0.10175 | -0.03597 | -0.03516 | -0.10178 | -0.03600 | |
| Feb-10 | 0.00001 | 0.06041 | 0.02578 | 0.03098 | 0.06040 | 0.02577 | 0.03097 | |
| Mar-10 | 0.00007 | 0.09161 | 0.13481 | 0.06035 | 0.09154 | 0.13474 | 0.06028 | |
| Apr-10 | 0.00011 | 0.03286 | 0.07852 | 0.01579 | 0.03275 | 0.07841 | 0.01568 | |
| May-10 | 0.00011 | -0.04657 | -0.17735 | -0.07985 | -0.04668 | -0.17746 | -0.07996 | |
| Jun-10 | 0.00013 | -0.06316 | -0.09531 | -0.05235 | -0.06329 | -0.09544 | -0.05248 | |
| Jul-10 | 0.00014 | 0.09005 | 0.09783 | 0.07006 | 0.08991 | 0.09768 | 0.06992 | |
| Aug-10 | 0.00013 | -0.04937 | -0.11043 | -0.04514 | -0.04949 | -0.11056 | -0.04527 | |
| Sep-10 | 0.00013 | 0.14916 | 0.10188 | 0.08924 | 0.14903 | 0.10176 | 0.08912 | |
| Oct-10 | 0.00011 | 0.01618 | 0.10956 | 0.03805 | 0.01606 | 0.10945 | 0.03794 | |
| Nov-10 | 0.00011 | 0.05761 | -0.08193 | 0.00013 | 0.05750 | -0.08205 | 0.00001 | |
| Dec-10 | 0.00014 | -0.00466 | 0.02517 | 0.06683 | -0.00480 | 0.02503 | 0.06669 | |
| Jan-11 | 0.00007 | -0.03445 | -0.02902 | 0.02370 | -0.03451 | -0.02908 | 0.02363 | |
| Feb-11 | 0.00012 | 0.07943 | 0.20307 | 0.03426 | 0.07931 | 0.20294 | 0.03414 | |
| Mar-11 | 0.00007 | -0.14682 | -0.08344 | 0.00040 | -0.14689 | -0.08351 | 0.00033 | |
| Apr-11 | 0.00005 | 0.08746 | 0.06671 | 0.02961 | 0.08741 | 0.06666 | 0.02956 | |
| May-11 | 0.00001 | 0.02594 | 0.03909 | -0.01132 | 0.02593 | 0.03907 | -0.01133 | |
| Jun-11 | 0.00004 | 0.06956 | 0.03699 | -0.01667 | 0.06953 | 0.03696 | -0.01670 | |
| Jul-11 | -0.00003 | 0.00181 | -0.02600 | -0.02033 | 0.00184 | -0.02597 | -0.02031 | |
| Aug-11 | 0.00008 | -0.03884 | -0.08442 | -0.05432 | -0.03892 | -0.08450 | -0.05441 | |
| Sep-11 | 0.00000 | -0.00951 | -0.04881 | -0.07030 | -0.00951 | -0.04881 | -0.07030 | |
| Oct-11 | 0.00001 | 0.12666 | 0.11761 | 0.10929 | 0.12665 | 0.11759 | 0.10928 | |
| Nov-11 | 0.00000 | -0.00168 | -0.00319 | -0.00221 | -0.00169 | -0.00319 | -0.00221 | |
| Dec-11 | 0.00000 | 0.00569 | -0.05438 | 0.01023 | 0.00569 | -0.05438 | 0.01023 | |
| Requirements | ||||||||
| 1. | You will calculate the beta of the Nike stock by using the function SLOPE. In cell D6, by using the function SLOPE and cell references, calculate the beta of the Nike stock (1 pt.). | |||||||
| 2. | You will calculate the beta of the Dell stock by using the function SLOPE. In cell D7, by using the function SLOPE and cell references, calculate the beta of the Dell stock (1 pt.). please show the formula format in excel, Im having trouble with this. | |||||||
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