A B F K M Estimate the index model for each firm over the full five-year period. Compare the betas for each firm. Estimate the betas for each firm using only the first two years of the sample and then using only the last two years. Ford GM Toyota Beta 5 Years 1.813428794 0.855447601 0.70716858 Beta First 2 years 2.012997172 1.045945284 0.473749154 Beta Last 2 years 1.970063 0.69339426 0.486945779 How stable are the beta estimates obtained from these shorter subperiods? Answer: 111 Month Ford Dec-99 -5.44 Jan-00 -1.28 Feb-00 13.92 Mar.00 -3.34 Apr-00 5.36 May-00 -5.30 Jun-00 -4.12 Jul-00 -0.46 Aug-00 -6.48 Sep-00 8.75 Oct-00 3.26 Nov.00 -9.33 Dec-00 -3.97 Jan-01 -10.38 Feb-01 -18.74 Mar 01 9.50 Apr-01 2.65 May-01 5.77 Jun-01 -7.12 Jul-01 -1.15 Aug-01-14.54 Sep-01 -2.24 Oct-01 -5.08 Nov.01 12.45 Dec-01 -7.14 Jan-02 0.13 Feb-02 -11.42 Mar-02 3.04 Apr-02 -3.23 May 02 -3.05 Jun-021 25.49 Jul-02 -3.35 Aug-02 2.35 D E -Rates of Retur GM Toyota S&P 0.56 4.11 1.28 0.00 8.34 -1.38 -3.19 -1.74 -1.98 0.00 -1.17 1.62 -0.25 12.81 1.79 2.39 -1.99 -3.30 1.69 -1.01 0.15 1.51 -2.97 0.89 0.08 1.59 1.18 -1.17 -3.71 4.35 1.97 9.59 2.86 -3.02 -4.50 -2.40 -0.24 -0.53 1.93 -15.28 -3.74 -1.99 -7.84 -2.25 -2.08 2.25 -1.37 3.01 4.91 -0.31 -0.09 5.44 6.12 3.59 -8.88 8.07 -1.17 -5.37 13.59 0.50 -7.72 0.48 -2.65 -7.52 4.25 4.12 -4.31 8.13 -0.50 12.61 -0.87 2.09 -3.43 3.05 0.22 6.04 1.90 1.31 1.23 7.56 0.89 6.39 -8.32 -3.37 5.18 -2.60 -0.17 4.63 0.60 0.05 -1.41 2.97 1.78 6.11 0.52 2.28 3.60 8.36 2.75 T-bills 0.07 0.06 0.09 0.08 0.06 0.08 0.1 0.11 0.11 0.11 0.15 0.16 0.16 0.16 0.21 0.21 0.24 0.23 0.24 0.3 0.29 0.27 0.31 0.32 0.35 0.34 0.37 0.36 0.43 0.4 0.4 0.42 0.41 G H -----Excess rates of return Ford GM Toyota S&P -5.51 0.49 4.04 1.21 -1.34 -0.06 8.28 -1.44 13.83 -3.28 -1.83 -2.07 -3.42 -0.08 -1.25 1.54 5.30 -0.31 12.75 1.73 -5.38 2.31 -2.07 -3.38 -4.22 1.59 0.05 -0.57 1.40 -3.08 0.78 -6.59 -0.03 1.48 1.07 8.64 -1.28 -3.82 4.24 3.11 1.82 9.44 2.71 -9.49 -3.18 -4.66 -2456 -4.13 -0.40 -0.69 1.77 -10.54 -15.44 -3.90 -2.15 -18.95 -8.05 -2.46 -2.29 9.29 2.04 -1.58 2.80 2.41 -0.55 -0.33 5.54 5.21 5.89 3.36 -7.36 -9.12 7.83 -1.41 -1.45 -5.67 13.29 0.20 -14.83 -8.06 0.19 -2.94 -2.51 -7.79 3.98 3.85 -5.39 -4.62 7.82 -0.81 12.13 12.29 -1.19 1.72 -7.49 -3.78 2.70 -0.13 -0.47 1.56 -11.79 0.86 7.19 0.52 2.68 6.03 -8.68 -3.73 -3.66 4.75 -3.03 -0.60 -3.45 4.23 0.20 -0.35 25.09 -1.81 2.57 -3.77 5.69 0.10 1.86 1.94 3.19 7.95 2.34 1 5.70 0.97 HHHHH