In the previous question, you used 60 months of data to calculate the SCL for Alcoa. Now compute it for two consecutive periods. Estimate the index-model regression using the first 30 months of data, and then repeat the process using the second half of the sample. This will give you the alpha (intercept) and beta (slope) estimates for two consecutive time periods. How do the two alphas compare to each other? Select 11 other firms and repeat the regressions to find both alphas and betas for the first period and the second period.

Data from Previous question.

A firm’s beta can be estimated from the slope of the security characteristic line (SCL) The first step is to plot the return on the firm’s stock (y-axis) versus the return on a broad market index (x-axis). Next, a regression line is estimated to find the slope.