Start by downloading the monthly stock prices and dividends for Archer Daniels and the S&P 500 in
Fantastic news! We've Found the answer you've been seeking!
Question:
- Start by downloading the monthly stock prices and dividends for Archer Daniels and the S&P 500 in the Excel spreadsheet on the course website. Use the price and dividend information to compute monthly rates of return for each series over the entire period for which data are available.
- Using either Excel's Regression Analysis tool or the Excel LINEST() function, estimate a regression with Archer Daniel's monthly excess return as the dependent (Y) variable and the S&P 500 excess return as the independent (X) variable. To compute monthly excess returns, assume the effective annual risk-free rate is 3%.
- Next, compute thebeta andalpha by instead using the analytical formula given in the Example in the textbook.
- Finally, compare the beta you computed from the two methods to the beta for Archer Daniels listed in the upper left-hand corner of Value Line's Stock Report. Do the results match the Value Line beta? What might explain the differences?
Price and dividend data, Archer Daniels (ADM) and S&P 500 | |||
Date | Price: Archer Daniels | dividend amount | S&P500 Adjusted Index Level |
1/31/01 | 14.93 | 0.05 | 1366.01 |
2/1/01 | 15.05 | 0 | 1239.94 |
3/1/01 | 13.15 | 0 | 1160.33 |
4/2/01 | 11.91 | 0 | 1249.46 |
5/1/01 | 13.5 | 0.05 | 1255.82 |
6/1/01 | 13.05 | 0 | 1224.38 |
7/2/01 | 13.39 | 0 | 1211.23 |
8/1/01 | 13.43 | 0.05 | 1133.58 |
9/4/01 | 13.43 | 0 | 1040.94 |
10/1/01 | 12.59 | 0 | 1059.78 |
11/1/01 | 13.93 | 0 | 1139.45 |
12/3/01 | 15.39 | 0.05 | 1148.08 |
1/2/02 | 14.35 | 0 | 1130.2 |
2/1/02 | 13.94 | 0 | 1106.73 |
3/1/02 | 13.85 | 0.05 | 1147.39 |
4/1/02 | 13.93 | 0 | 1076.92 |
5/1/02 | 13.27 | 0 | 1067.14 |
6/3/02 | 14.55 | 0.05 | 989.82 |
7/1/02 | 12.79 | 0 | 911.62 |
8/1/02 | 11.7 | 0 | 916.07 |
9/3/02 | 12.19 | 0.06 | 815.28 |
10/1/02 | 12.51 | 0 | 885.76 |
11/1/02 | 13.62 | 0 | 936.31 |
12/2/02 | 13.33 | 0.06 | 879.82 |
1/2/03 | 12.4 | 0 | 855.7 |
2/3/03 | 12.05 | 0 | 841.15 |
3/3/03 | 10.9 | 0.06 | 848.18 |
4/1/03 | 10.8 | 0 | 916.92 |
5/1/03 | 11.08 | 0 | 963.59 |
6/2/03 | 11.97 | 0.06 | 974.5 |
7/1/03 | 12.87 | 0 | 990.31 |
8/1/03 | 13.14 | 0 | 1008.01 |
9/2/03 | 13.87 | 0.06 | 995.97 |
10/1/03 | 13.11 | 0 | 1050.71 |
11/3/03 | 14.35 | 0 | 1058.2 |
12/1/03 | 14.29 | 0.06 | 1111.92 |
1/2/04 | 15.22 | 0 | 1131.13 |
2/2/04 | 15.66 | 0 | 1144.94 |
3/1/04 | 17.2 | 0.075 | 1126.21 |
4/1/04 | 16.87 | 0 | 1107.3 |
5/3/04 | 17.56 | 0 | 1120.68 |
6/1/04 | 16.63 | 0.075 | 1140.84 |
7/1/04 | 16.78 | 0 | 1101.72 |
8/2/04 | 15.43 | 0 | 1104.24 |
9/1/04 | 15.97 | 0.075 | 1114.58 |
10/1/04 | 16.98 | 0 | 1130.2 |
11/1/04 | 19.37 | 0 | 1173.82 |
12/1/04 | 21.2 | 0.075 | 1211.92 |
1/3/05 | 22.31 | 0 | 1181.27 |
2/1/05 | 24.2 | 0 | 1203.6 |
3/1/05 | 24.1 | 0.085 | 1180.59 |
4/1/05 | 24.58 | 0 | 1156.85 |
5/2/05 | 17.99 | 0 | 1191.5 |
6/1/05 | 19.85 | 0.085 | 1191.33 |
7/1/05 | 21.38 | 0 | 1234.18 |
8/1/05 | 22.94 | 0 | 1220.33 |
9/1/05 | 22.51 | 0.085 | 1228.81 |
10/3/05 | 24.66 | 0 | 1207.01 |
11/1/05 | 24.37 | 0 | 1249.48 |
12/1/05 | 23.57 | 0.085 | 1248.29 |
1/3/06 | 24.66 | 0 | 1280.08 |
2/1/06 | 31.5 | 0 | 1280.66 |
3/1/06 | 31.72 | 0.1 | 1294.87 |
4/3/06 | 33.65 | 0 | 1310.61 |
5/1/06 | 36.34 | 0 | 1270.09 |
6/1/06 | 41.57 | 0.1 | 1270.2 |
7/3/06 | 41.28 | 0 | 1276.66 |
8/1/06 | 44 | 0 | 1303.82 |
9/1/06 | 41.17 | 0.1 | 1335.85 |
10/2/06 | 37.88 | 0 | 1377.94 |
11/1/06 | 38.5 | 0 | 1400.63 |
12/1/06 | 35.1 | 0.1 | 1418.3 |
1/3/07 | 31.96 | 0 | 1438.24 |
2/1/07 | 32 | 0 | 1406.82 |
3/1/07 | 34.35 | 0.115 | 1420.86 |
4/2/07 | 36.7 | 0 | 1482.37 |
5/1/07 | 38.7 | 0 | 1530.62 |
6/1/07 | 35.04 | 0.115 | 1503.35 |
7/2/07 | 33.09 | 0 | 1455.27 |
8/1/07 | 33.6 | 0 | 1473.99 |
9/4/07 | 33.7 | 0.115 | 1526.75 |
10/1/07 | 33.08 | 0 | 1549.38 |
11/1/07 | 35.78 | 0 | 1481.14 |
12/3/07 | 36.35 | 0.115 | 1468.36 |
1/2/08 | 46.43 | 0 | 1378.55 |
2/1/08 | 43.98 | 0 | 1330.63 |
3/3/08 | 45.1 | 0.13 | 1322.7 |
4/1/08 | 41.16 | 0 | 1385.59 |
5/1/08 | 44.06 | 0 | 1400.38 |
6/2/08 | 39.7 | 0.13 | 1280 |
7/1/08 | 33.75 | 0 | 1267.38 |
8/1/08 | 28.63 | 0 | 1282.83 |
9/2/08 | 25.46 | 0.13 | 1166.36 |
10/1/08 | 21.91 | 0 | 968.75 |
11/3/08 | 20.73 | 0 | 896.24 |
12/1/08 | 27.38 | 0.13 | 903.25 |
1/2/09 | 28.83 | 0 | 825.88 |
2/2/09 | 27.38 | 0 | 735.09 |
3/2/09 | 26.66 | 0.14 | 797.87 |
4/1/09 | 27.78 | 0 | 872.81 |
5/1/09 | 24.62 | 0 | 919.14 |
6/1/09 | 27.52 | 0.14 | 919.32 |
7/1/09 | 26.77 | 0 | 987.48 |
8/3/09 | 30.12 | 0 | 1020.62 |
9/1/09 | 28.83 | 0.14 | 1057.08 |
10/1/09 | 29.22 | 0 | 1036.19 |
11/2/09 | 30.12 | 0 | 1095.63 |
12/1/09 | 30.81 | 0.14 | 1115.1 |
1/4/10 | 31.31 | 0 | 1073.87 |
2/1/10 | 29.97 | 0 | 1104.49 |
3/1/10 | 29.36 | 0.15 | 1169.43 |
4/1/10 | 28.9 | 0 | 1186.69 |
5/3/10 | 27.94 | 0 | 1089.41 |
6/1/10 | 25.27 | 0.15 | 1030.71 |
7/1/10 | 25.82 | 0 | 1101.6 |
8/2/10 | 27.36 | 0 | 1049.33 |
9/1/10 | 30.81 | 0.15 | 1141.2 |
10/1/10 | 31.92 | 0 | 1183.26 |
11/1/10 | 33.32 | 0 | 1180.55 |
12/1/10 | 28.99 | 0.15 | 1257.64 |
1/3/11 | 30.08 | 0 | 1286.12 |
2/1/11 | 32.67 | 0 | 1327.22 |
3/1/11 | 37.18 | 0.16 | 1325.83 |
4/1/11 | 36.01 | 0 | 1363.61 |
5/2/11 | 37.02 | 0 | 1345.2 |
6/1/11 | 32.41 | 0.16 | 1320.64 |
7/1/11 | 30.15 | 0 | 1292.28 |
8/1/11 | 30.38 | 0 | 1218.89 |
9/1/11 | 28.48 | 0.16 | 1131.42 |
10/3/11 | 24.81 | 0 | 1253.3 |
11/1/11 | 28.94 | 0 | 1246.96 |
12/1/11 | 30.12 | 0.175 | 1257.6 |
12/31/11 | 28.6 | 0 | 1268.3 |
Related Book For
Fundamentals Of Corporate Finance
ISBN: 9780135811603
5th Edition
Authors: Jonathan Berk, Peter DeMarzo, Jarrad Harford
Posted Date: