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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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