1) Calculate average excess (in excess of the risk free rate) returns of each stock (McDonalds, Starbucks, Amazon, Game Stop and Tesla) using the simple average of returns. Estimate the expected return of each factor (Mrkt-rf, SMB and HML) by using the average of observed monthly returns. Report values and rank the stocks based on their average excess returns alone. 2) Which stock has the highest total risk (defined as standard deviation of returns over the sample period)? Report values and rank all four stocks. 3) Report values and rank the stocks from best to worst based upon their Sharpe ratios (expected excess returns divided by standard deviation of returns). 4) Run CAPM and Fama French regressions for each stock. For which stocks does the CAPM hold? For which stocks does the Fama French model hold? 5) Calculate risk adjusted returns for each stock according to the Fama-French model. Which stock has the highest risk adjusted. 6) Calculate the predicted Expected returns for each stock according to the CAPM model. 7) According to the CAPM, calculate the systematic risk of each stock. Rank the stocks from highest to lowest CAPM systematic risk. \begin{tabular}{|c|c|c|c|c|c|c|c|c|c|c|} \hline A & B & C & D & E & F & G & H & 1 & J & \\ \hline date & MCD & sBUx & AMZN & GME & TSLA & Mrkt-rt & SME & HML & RF & \\ \hline 20110131 & -0.040255 & -0.018674 & -0.057556 & -0.079108 & -0.095006 & 0.0199 & -0.0243 & 0.0082 & 0.0001 & \\ \hline 20110228 & 0.035564 & 0.050111 & 0.021516 & -0.053156 & -0.008714 & 0.0349 & 0.0163 & 0.0129 & 0.0001 & \\ \hline 20110331 & 0.005417 & 0.120376 & 0.039471 & 0.128822 & 0.161574 & 0.0046 & 0.0266 & -0.0176 & 0.0001 & \\ \hline 20110429 & 0.029176 & 0.020298 & 0.087048 & 0.14032 & -0.005405 & 0.029 & -0.0056 & -0.0243 & 0 & \\ \hline 20110531 & 0.049036 & 0.01989 & 0.004494 & 0.089564 & 0.092029 & -0.0127 & -0.006 & -0.0205 & 0 & \\ \hline 20110630 & 0.034094 & 0.07339 & 0.039656 & -0.046819 & -0.03351 & -0.0175 & 0.0015 & -0.0042 & 0 & \\ \hline 20110729 & 0.025617 & 0.015194 & 0.088171 & -0.115861 & -0.032956 & -0.0235 & -0.0131 & -0.0038 & 0 & \\ \hline 20110831 & 0.052498 & -0.033425 & -0.032761 & 0.014843 & -0.121761 & -0.0599 & -0.0316 & -0.0256 & 0.0001 & \\ \hline 20110930 & -0.028647 & -0.034438 & 0.004645 & -0.034684 & -0.014147 & -0.0759 & -0.0368 & -0.0171 & 0 & \\ \hline 20111031 & 0.057276 & 0.135961 & -0.012579 & 0.106926 & 0.204182 & 0.1135 & 0.0347 & 0.0013 & 0 & \\ \hline 20111130 & 0.036295 & 0.030453 & -0.099386 & -0.095815 & 0.114743 & -0.0028 & -0.0025 & -0.0048 & 0 & \\ \hline 20111230 & 0.050356 & 0.058188 & -0.099797 & 0.043685 & -0.127673 & 0.0074 & -0.0039 & 0.0168 & 0 & \\ \hline 20120131 & -0.012758 & 0.041513 & 0.123281 & -0.03191 & 0.017857 & 0.0505 & 0.0211 & -0.009 & 0 & \\ \hline 20120229 & 0.009389 & 0.016903 & -0.075859 & -0.018408 & 0.149295 & 0.0442 & -0.0169 & 0.0046 & 0 & \\ \hline 20120330 & -0.011886 & 0.150947 & 0.126996 & -0.041264 & 0.114636 & 0.0311 & -0.005 & 0.0121 & 0 & \\ \hline 20120430 & -0.006626 & 0.026481 & 0.145139 & 0.042125 & -0.110365 & -0.0085 & -0.0052 & -0.0077 & 0 & \\ \hline 20120531 & -0.076039 & -0.040265 & -0.081519 & -0.150703 & -0.109568 & -0.0619 & 0 & -0.0104 & 0.0001 & \\ \hline 20120629 & -0.009066 & -0.028603 & 0.072519 & -0.042753 & 0.060678 & 0.0389 & 0.0094 & 0.0058 & 0 & \\ \hline 20120731 & 0.009375 & -0.150788 & 0.021677 & -0.127451 & -0.123682 & 0.0079 & -0.0269 & 0.0005 & 0 & \\ \hline 20120831 & 0.009288 & 0.099382 & 0.064166 & 0.206617 & 0.040117 & 0.0255 & 0.0044 & 0.0112 & 0.0001 & \\ \hline 20120928 & 0.025254 & 0.022173 & 0.024369 & 0.100629 & 0.026648 & 0.0273 & 0.0065 & 0.0156 & 0.0001 & \\ \hline 20121031 & -0.053951 & -0.094853 & -0.084252 & 0.087143 & -0.039228 & -0.0176 & -0.005 & 0.0361 & 0.0001 & \\ \hline 20121130 & 0.011636 & 0.13464 & 0.082256 & 0.160753 & 0.202215 & 0.0078 & 0.0031 & -0.0083 & 0.0001 & \\ \hline 20121231 & 0.013442 & 0.033931 & -0.004682 & -0.04419 & 0.001478 & 0.0118 & 0.0188 & 0.0353 & 0.0001 & \\ \hline 20130131 & 0.080263 & 0.046429 & 0.058317 & -0.075329 & 0.10747 & 0.0557 & 0.0055 & 0.0098 & 0 & \\ \hline 20130228 & 0.014482 & -0.018888 & -0.004633 & 0.080172 & -0.071448 & 0.0129 & -0.0036 & 0.0013 & 0 & \\ \hline 20130328 & 0.03952 & 0.038286 & 0.008401 & 0.127095 & 0.087855 & 0.0403 & 0.0085 & -0.0023 & 0 & \\ \hline 20130430 & 0.024576 & 0.068306 & -0.047581 & 0.247766 & 0.424914 & 0.0155 & -0.0228 & 0.0053 & 0 & \\ \hline 20130531 & -0.046994 & 0.041256 & 0.060636 & -0.041977 & 0.810706 & 0.028 & 0.02 & 0.0261 & 0 & \\ \hline 20130628 & 0.025163 & 0.037536 & 0.031538 & 0.267491 & 0.0982 & -0.012 & 0.0135 & -0.0009 & 0 & \\ \hline 20130731 & -0.009293 & 0.088216 & 0.084735 & 0.167262 & 0.250745 & 0.0565 & 0.0181 & 0.0056 & 0 & \\ \hline 20130830 & -0.030078 & -0.007841 & -0.067193 & 0.029046 & 0.258564 & -0.0271 & -0.0003 & -0.0266 & 0 & \\ \hline 20130930 & 0.019606 & 0.091463 & 0.112677 & -0.011153 & 0.144201 & 0.0377 & 0.0265 & -0.0115 & 0 & \\ \hline 20131031 & 0.003222 & 0.053008 & 0.164374 & 0.104129 & -0.172881 & 0.0418 & -0.0149 & 0.0121 & 0 & \\ \hline 20131129 & 0.017199 & 0.008266 & 0.081285 & -0.119847 & -0.204202 & 0.0313 & 0.0133 & 0.0029 & 0 & \\ \hline 20131231 & -0.003492 & -0.037687 & 0.013135 & 0.026632 & 0.181875 & 0.0281 & -0.0058 & -0.0005 & 0 & \\ \hline 20140131 & -0.029475 & -0.092741 & -0.100554 & -0.288063 & 0.205951 & -0.0332 & 0.0058 & -0.0202 & 0 & \\ \hline 20140228 & 0.019008 & 0.001406 & 0.009507 & 0.063872 & 0.349485 & 0.0465 & 0.0011 & -0.0036 & 0 & \\ \hline 20140331 & 0.030268 & 0.034104 & -0.071072 & 0.110426 & 0.148523 & 0.0043 & -0.0112 & 0.049 & 0 & \\ \hline 20140430 & 0.034173 & -0.037612 & -0.095833 & -0.03455 & -0.002686 & -0.0019 & -0.0413 & 0.0112 & 0 & \\ \hline 20140530 & 0.008483 & 0.040782 & 0.027685 & -0.046119 & -0.000577 & 0.0206 & -0.0191 & -0.0012 & 0 & \\ \hline 20140630 & -0.006803 & 0.056526 & 0.03913 & 0.077939 & 0.155412 & 0.0261 & 0.0309 & -0.0067 & 0 & \\ \hline 20140731 & -0.061346 & 0.003877 & -0.036302 & 0.037064 & -0.069816 & -0.0204 & .0 .0427 & 0.0002 & 0 & \\ \hline 20140829 & -0.000317 & 0.005021 & 0.08323 & 0.013343 & 0.207792 & 0.0424 & 0.0029 & -0.0042 & 0 & \\ \hline 20140930 & 0.01163 & -0.030202 & -0.048962 & -0.023697 & -0.100185 & -0.0197 & -0.0374 & -0.0138 & 0 & \\ \hline 20141031 & -0.011391 & 0.001325 & -0.052661 & 0.037864 & -0.004038 & 0.0252 & 0.038 & -0.018 & 0 & \\ \hline \end{tabular} \begin{tabular}{|c|c|c|c|c|c|c|c|c|c|c|c|} \hline & A & B & C & D & E & F & G & H & 1 & J & \\ \hline 48 & 20141128 & 0.041929 & 0.07901 & 0.108623 & -0.105045 & 0.011667 & 0.0255 & -0.0227 & -0.0307 & 0 & \\ \hline 49 & 20141231 & -0.032125 & 0.010344 & -0.03354 & -0.106057 & -0.090422 & -0.0006 & 0.0285 & 0.0223 & 0 & \\ \hline 50 & 20150130 & -0.013447 & 0.066788 & 0.142355 & 0.042899 & -0.084574 & -0.0311 & -0.0086 & -0.0356 & 0 & \\ \hline 51 & 20150227 & 0.079078 & 0.07169 & 0.072293 & 0.048794 & -0.001277 & 0.0514 & 0.0023 & -0.0181 & 0 & \\ \hline 52 & 20150331 & -0.014762 & 0.012997 & -0.021202 & 0.036516 & -0.071653 & -0.0112 & 0.0304 & -0.0041 & 0 & \\ \hline 53 & 20150430 & -0.009134 & 0.047096 & 0.133512 & 0.015279 & 0.197489 & 0.0059 & -0.0306 & 0.0188 & 0 & \\ \hline 54 & 20150529 & 0.002382 & 0.05123 & 0.017663 & 0.126362 & 0.109489 & 0.0136 & 0.008 & -0.011 & 0 & \\ \hline 55 & 20150630 & -0.005965 & 0.031851 & 0.011323 & -0.002073 & 0.069617 & -0.0153 & 0.0286 & -0.0074 & 0 & \\ \hline 56 & 20150731 & 0.050384 & 0.080481 & 0.235113 & 0.067272 & -0.007866 & 0.0154 & -0.0451 & -0.0421 & 0 & \\ \hline 57 & 20150831 & -0.039956 & -0.052822 & -0.043383 & -0.073501 & -0.064212 & -0.0604 & 0.0038 & 0.0273 & 0 & \\ \hline 58 & 20150930 & 0.03694 & 0.038933 & -0.00195 & -0.021422 & -0.00265 & -0.0307 & -0.0277 & 0.0039 & 0 & \\ \hline 59 & 20151030 & 0.139247 & 0.100809 & 0.222724 & 0.117933 & -0.166948 & 0.0775 & -0.0218 & -0.0025 & 0 & \\ \hline 60 & 20151130 & 0.024944 & -0.015662 & 0.06215 & -0.239535 & 0.112743 & 0.0056 & 0.0337 & -0.0049 & 0 & \\ \hline 61 & 20151231 & 0.034863 & -0.022153 & 0.016682 & -0.189266 & 0.042343 & -0.0217 & -0.0301 & -0.0245 & 0.0001 & \\ \hline 62 & 20160129 & 0.04774 & 0.012327 & -0.131516 & -0.065264 & -0.203367 & -0.0577 & -0.0341 & 0.0201 & 0.0001 & \\ \hline 63 & 20160229 & -0.046049 & 0,038835 & -0.058739 & 0.175887 & 0.003818 & -0.0008 & 0.0098 & -0.0059 & 0.0002 & \\ \hline 64 & 20160331 & 0.072446 & 0.025597 & 0.074423 & 0.041531 & 0.197155 & 0.0696 & 0.0107 & 0.0111 & 0.0002 & \\ \hline 65 & 20160429 & 0.005445 & -0.058124 & 0.111094 & 0.033722 & 0.04783 & 0.0092 & 0.0118 & 0.0328 & 0.0001 & \\ \hline 65 & 20160531 & -0.035023 & -0.020274 & 0.095817 & -0.112805 & -0.072811 & 0.0178 & -0.0072 & -0.016 & 0.0001 & \\ \hline 67 & 20160630 & -0.0068 & 0.040627 & -0.00992 & -0.073883 & -0.049053 & -0.0005 & 0.005 & -0.014 & 0.0002 & \\ \hline 68 & 20160729 & -0.022353 & 0.016282 & 0.060353 & 0.164409 & 0.106039 & 0.0395 & 0.026 & -0.0123 & 0.0002 & \\ \hline 69 & 20160831 & -0.00935 & -0.027907 & 0.01364 & -0.082714 & -0.097023 & 0.005 & 0.0165 & 0.0331 & 0.0002 & \\ \hline 70 & 20160930 & -0.002594 & -0.037169 & 0.088603 & 0,015146 & -0.03764 & 0.0025 & 0.0179 & -0.0121 & 0.0002 & \\ \hline 71 & 20161031 & -0.024185 & -0.019764 & -0.056717 & -0.128307 & -0.030878 & -0.0202 & -0.0408 & 0.0407 & 0.0002 & \\ \hline 72 & 20161130 & 0.067869 & 0.097042 & -0.049595 & 0.041996 & -0.042128 & 0.0486 & 0.068 & 0.0822 & 0.0001 & \\ \hline 73 & 20161230 & 0.020542 & -0.042263 & -0.000933 & 0.023085 & 0.128247 & 0.0182 & 0.0041 & 0.0351 & 0.0003 & \\ \hline 74 & 20170131 & 0.006983 & -0.005403 & 0.098164 & -0.030483 & 0.175951 & 0.0194 & -0.0135 & -0.0281 & 0.0004 & \\ \hline 75 & 20170228 & 0.049115 & 0.034408 & 0.026182 & -0.002042 & -0.007701 & 0.0357 & -0.0218 & -0.0179 & 0.0004 & \\ \hline 76 & 20170331 & 0.015354 & 0.026728 & 0.04911 & -0.051784 & 0.113244 & 0.0017 & 0.008 & -0.0333 & 0.0003 & \\ \hline 77 & 20170428 & 0.079623 & 0.028601 & 0.043371 & 0.005208 & 0.12853 & 0.0109 & 0.0048 & -0.0211 & 0.0005 & \\ \hline 78 & 20170531 & 0.078325 & 0.06327 & 0.075276 & -0.02424 & 0.08577 & 0.0106 & -0.0311 & -0.0367 & 0.0006 & \\ \hline 79 & 20170630 & 0.021274 & -0.08332 & -0.026764 & -0.005775 & 0.060409 & 0.0078 & 0.0246 & 0.0145 & 0.0006 & \\ \hline 80 & 20170731 & 0.012928 & -0.074258 & 0.020434 & 0.003702 & -0.105473 & 0.0187 & -0.0165 & -0.0036 & 0.0007 & \\ \hline 81 & 20170831 & 0.037192 & 0.020934 & -0.007269 & -0.147072 & 0.100257 & 0.0016 & -0.0181 & -0.0219 & 0.0009 & \\ \hline 82 & 20170929 & -0.020566 & -0.020962 & -0.019631 & 0.137297 & -0.041585 & 0.0251 & 0.0478 & 0.0314 & 0.0009 & \\ \hline 83 & 20171031 & 0.065292 & 0.021039 & 0.149717 & -0.095353 & -0.028056 & 0.0225 & -0.0196 & 0.0012 & 0.0009 & \\ \hline 84 & 20171130 & 0.036367 & 0.05981 & 0.064662 & 0.023542 & -0.06841 & 0.0312 & -0.0033 & -0.0009 & 0.0008 & \\ \hline 85 & 20171229 & 0.000872 & -0.006745 & -0.005187 & -0.042667 & 0.008095 & 0.0105 & -0.0102 & 0.0017 & 0.0009 & \\ \hline 86 & 20180131 & -0.005694 & -0.010796 & 0.240639 & -0.05351 & 0.13798 & 0.0558 & -0.0319 & -0.0132 & 0.0011 & \\ \hline 87 & 20180228 & -0.072397 & 0.010385 & 0.042429 & -0.066627 & -0.031752 & -0.0365 & 0.0037 & -0.0101 & 0.0011 & \\ \hline 88 & 20180329 & -0.008622 & 0.013835 & -0.043049 & -0.171447 & -0.224246 & -0.0235 & 0.036 & -0.0012 & 0.0012 & \\ \hline 89 & 20180430 & 0.070725 & -0.005528 & 0.082075 & 0,081616 & 0.104347 & 0.0029 & 0.0096 & 0.005 & 0.0014 & \\ \hline 90 & 20180531 & -0.044374 & -0.010422 & 0.040539 & -0.032967 & -0.031201 & 0.0265 & 0.0474 & -0.0315 & 0.0014 & \\ \hline 91 & 20180629 & -0.014437 & -0.137992 & 0.043065 & 0.132576 & 0.204474 & 0.0048 & 0.0089 & -0.0231 & 0.0014 & \\ \hline 92 & 20180731 & 0.005425 & 0.072467 & 0.045676 & -0.010981 & -0.13066 & 0.0319 & -0.0195 & 0.0057 & 0.0016 & \\ \hline 93 & 20180831 & 0.036181 & 0.027104 & 0.132365 & -0.079112 & 0.011806 & 0.0344 & 0.0064 & -0.0392 & 0.0016 & \\ \hline 94 & 20180928 & 0.03119 & 0.063424 & -0.004824 & 0.179352 & -0.12229 & 0.0005 & .0 .0249 & -0.0163 & 0.0015 & \\ \hline \end{tabular}