This question has to be answered using this eViews data file. Follow the link below, type in your email address and you will get an email of the eViews file. It must be done this way as it won't let me attach the file directly with chegg (chegg only allows me to attach images). http://www.filehosting.org/file/details/729317/a1.wf1

The mean excess return (in % per month) of the market portfolio is:

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(context below if needed)

The Capital Asset Pricing Model (CAPM) is a model commonly studied in finance. It expresses the excess expected return on an industry portfolio as a linear function of the excess return of a market index (note that excess return refers to a return in excess of a riskless rate). The CAPM can be expressed as follows:

ExReti = beta*ExRetm + e (1)

Where ExReti is the excess return on an industry portfolio, ExRetm is the excess return of a market index and e is an error term. The beta parameter indicates how sensitive a portfolio is to general market conditions. If beta is less than 1 the portfolio is described as defensive, and if beta is greater than 1 the portfolio is described as aggressive.

One important implication of the CAPM is that no other variable is relevant to the relationship. This includes the intercept (note that there is no intercept term in the expression above). The assignment workfile includes 610 months of excess returns for three industry portfolios (ExReti_food for food, ExReti_durbl for durables and ExReti_const for construction) and on a market portfolio (ExRetm). All excess returns are measured in % per month.