Question: The following stock data have been collected. Use the data to conduct a test of the Capital Asset Pricing Model. Specifically: a. Perform first-pass tests

The following stock data have been collected. Use the data to

The following stock data have been collected. Use the data to conduct a test of the Capital Asset Pricing Model. Specifically: a. Perform first-pass tests for a single-index model and tabulate the summary statistics. b. Specify the hypotheses for second-pass regression used to test the SML of the CAPM c. Perform second pass SML regression of average excess returns against betas d. Summarize regression and hypothesis test results. e. Group the stock into 3 portfolios based on their betas. f. Repeat tests and explain results g. Plot the CML, the 9 stocks, and the 3 portfolios. Compare mean-variance efficiency of the stocks, the portfolios, and the index. What do the comparisons indicate about CAPM

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