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A. Using Treasury bill rates and the S&P 500 index, run a CAPM regression to estimate the beta of each fund. Constant maturity 3-month T-bill
A. Using Treasury bill rates and the S&P 500 index, run a "CAPM" regression to estimate the beta of each fund. Constant maturity 3-month T-bill rates can be obtained on the web site of The Federal Reserve Bank of Saint Louis, Missouri ("FRED"). These rates are quoted in an annualized format, so adjust them according to your needs. B. Repeat part A using this time the Dow Jones Industrial Average instead of the S&P 500 index. C. Show the T-bill rates and the two index levels in tabular form [TABLE 4]. D. Write a 250-word essay on why your answers from part A and B might be different. E. Conduct a "Runs Test" on the monthly changes in the level of the S&P 500 index. Write a 250-word essay on the interpretation of the results
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