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Consider monthly returns of Cisco Systems stock (CSCO), S&P 500 index, and T-Bill from Jan 1994 until Nov 2005 (provided in CSCO_returns.xls). Calculate the CAPM

Consider monthly returns of Cisco Systems stock (CSCO), S&P 500 index, and T-Bill from Jan 1994 until Nov 2005 (provided in CSCO_returns.xls). Calculate the CAPM beta for Cisco Systems (provide 4 digits after the decimal point).

Date CSCO S&P500 T-Bill
Nov-05 0.17% -0.35% 0.32%
Oct-05 -2.62% -1.77% 0.32%
Sep-05 1.70% 0.69% 0.29%
Aug-05 -7.99% -1.12% 0.29%
Jul-05 0.37% 3.60% 0.28%
Jun-05 -1.65% -0.01% 0.26%
May-05 12.33% 3.00% 0.24%
Apr-05 -3.47% -2.01% 0.24%
Mar-05 2.70% -1.91% 0.23%
Feb-05 -3.44% 1.89% 0.22%
Jan-05 -6.63% -2.53% 0.20%
Dec-04 3.04% 3.25% 0.18%
Nov-04 -2.39% 3.86% 0.18%
Oct-04 6.13% 1.40% 0.16%
Sep-04 -3.52% 0.94% 0.14%
Aug-04 -10.33% 0.23% 0.13%
Jul-04 -11.73% -3.43% 0.12%
Jun-04 5.95% 1.80% 0.11%
May-04 6.98% 1.21% 0.09%
Apr-04 -11.29% -1.68% 0.08%
Mar-04 1.77% -1.64% 0.08%
Feb-04 -9.92% 1.22% 0.08%
Jan-04 6.11% 1.73% 0.08%
Dec-03 6.74% 5.08% 0.08%
Nov-03 8.46% 0.71% 0.08%
Oct-03 6.84% 5.50% 0.08%
Sep-03 2.35% -1.19% 0.08%
Aug-03 -1.80% 1.79% 0.08%
Jul-03 16.08% 1.62% 0.08%
Jun-03 2.32% 1.13% 0.07%
May-03 9.40% 5.09% 0.09%
Apr-03 15.56% 8.10% 0.09%
Mar-03 -7.15% 0.84% 0.09%
Feb-03 4.56% -1.70% 0.10%
Jan-03 2.06% -2.74% 0.10%
Dec-02 -12.20% -6.03% 0.10%
Nov-02 33.45% 5.71% 0.10%
Oct-02 6.68% 8.64% 0.12%
Sep-02 -24.17% -11.00% 0.13%
Aug-02 4.78% 0.49% 0.14%
Jul-02 -5.45% -7.90% 0.14%
Jun-02 -11.60% -7.25% 0.14%
May-02 7.71% -0.91% 0.14%
Apr-02 -13.47% -6.14% 0.14%
Mar-02 18.64% 3.67% 0.15%
Feb-02 -27.93% -2.08% 0.14%
Jan-02 9.33% -1.56% 0.14%
Dec-01 -11.40% 0.76% 0.14%
Nov-01 20.80% 7.52% 0.14%
Oct-01 38.92% 1.81% 0.17%
Sep-01 -25.41% -8.17% 0.19%
Aug-01 -15.04% -6.41% 0.27%
Jul-01 5.60% -1.07% 0.29%
Jun-01 -5.50% -2.50% 0.30%
May-01 13.43% 0.51% 0.30%
Apr-01 7.40% 7.68% 0.32%
Mar-01 -33.26% -6.42% 0.35%
Feb-01 -36.73% -9.23% 0.39%
Jan-01 -2.12% 3.46% 0.40%
Dec-00 -20.11% 0.41% 0.48%
Nov-00 -11.14% -8.01% 0.50%
Oct-00 -2.48% -0.49% 0.51%
Sep-00 -19.48% -5.35% 0.50%
Aug-00 4.86% 6.07% 0.51%
Jul-00 2.96% -1.63% 0.50%
Jun-00 11.63% 2.39% 0.48%
May-00 -17.87% -2.19% 0.46%
Apr-00 -10.32% -3.08% 0.47%
Mar-00 16.96% 9.67% 0.48%
Feb-00 20.73% -2.01% 0.47%
Jan-00 2.22% -5.09% 0.46%
Dec-99 20.09% 5.78% 0.43%
Nov-99 20.54% 1.91% 0.43%
Oct-99 7.93% 6.25% 0.41%
Sep-99 1.12% -2.86% 0.39%
Aug-99 9.11% -0.63% 0.40%
Jul-99 -3.57% -3.20% 0.39%
Jun-99 18.24% 5.44% 0.39%
May-99 -4.42% -2.50% 0.38%
Apr-99 4.09% 3.79% 0.37%
Mar-99 12.02% 3.88% 0.36%
Feb-99 -12.33% -3.23% 0.38%
Jan-99 20.22% 4.10% 0.36%
Dec-98 23.14% 5.64% 0.36%
Nov-98 19.62% 5.91% 0.37%
Oct-98 1.94% 8.03% 0.35%
Sep-98 13.19% 6.24% 0.35%
Aug-98 -14.47% -14.58% 0.40%
Jul-98 4.04% -1.16% 0.41%
Jun-98 21.75% 3.94% 0.41%
May-98 3.19% -1.88% 0.41%
Apr-98 7.11% 0.91% 0.40%
Mar-98 3.83% 4.99% 0.42%
Feb-98 4.47% 7.04% 0.43%
Jan-98 13.13% 1.02% 0.42%
Dec-97 -3.03% 1.57% 0.43%
Nov-97 5.16% 4.46% 0.42%
Oct-97 12.19% -3.45% 0.42%
Sep-97 -2.99% 5.32% 0.41%
Aug-97 -5.32% -5.75% 0.42%
Jul-97 18.50% 7.81% 0.43%
Jun-97 -0.93% 4.35% 0.42%
May-97 30.96% 5.86% 0.40%
Apr-97 7.48% 5.84% 0.43%
Mar-97 -13.43% -4.26% 0.43%
Feb-97 -20.26% 0.59% 0.42%
Jan-97 9.62% 6.13% 0.42%
Dec-96 -6.23% -2.15% 0.42%
Nov-96 9.59% 7.34% 0.42%
Oct-96 -0.29% 2.61% 0.42%
Sep-96 17.75% 5.42% 0.41%
Aug-96 1.91% 1.88% 0.43%
Jul-96 -8.59% -4.57% 0.43%
Jun-96 3.45% 0.23% 0.42%
May-96 5.56% 2.29% 0.42%
Apr-96 11.84% 1.34% 0.42%
Mar-96 -2.46% 0.79% 0.42%
Feb-96 14.29% 0.69% 0.41%
Jan-96 11.33% 3.26% 0.41%
Dec-95 -11.13% 1.74% 0.41%
Nov-95 8.35% 4.10% 0.44%
Oct-95 12.53% -0.50% 0.44%
Sep-95 4.93% 4.01% 0.44%
Aug-95 17.74% -0.03% 0.44%
Jul-95 10.32% 3.18% 0.45%
Jun-95 15.64% 2.13% 0.45%
May-95 9.46% 3.63% 0.47%
Apr-95 4.72% 2.80% 0.47%
Mar-95 12.77% 2.73% 0.48%
Feb-95 1.62% 3.61% 0.48%
Jan-95 -5.13% 2.43% 0.49%
Dec-94 8.94% 1.23% 0.46%
Nov-94 7.19% -3.95% 0.46%
Oct-94 9.87% 2.08% 0.42%
Sep-94 10.14% -2.69% 0.39%
Aug-94 17.95% 3.76% 0.38%
Jul-94 -10.00% 3.15% 0.36%
Jun-94 -5.80% -2.68% 0.35%
May-94 -17.86% 1.24% 0.35%
Apr-94 -11.58% 1.15% 0.32%
Mar-94 -7.32% -4.57% 0.29%
Feb-94 1.99% -3.00% 0.28%
Jan-94 12.29% 3.25% 0.25%

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