Consider the following data of monthly returns based on the closing prices on the last trading day of each month: Month Share A Market January -0.088 -0.032 February 0.064 0.003 March 0.029 -0.033 April 0.192 0.027 May 0.015 -0.017 June 0.095 0.017 July -0.046 -0.020 August -0.043 0.000 Assume the risk free monthly return is 0.001 throughout this period. (a) Calculate and interpret the correlation between Share A returns less the risk free monthly return and Market returns less the risk free monthly returns. [9 marks] (b) Use the Capital Asset Pricing Model: (RA,t RF,t) = A + A (RM,t RF,t) + eA,t and the method of least squares to estimate the values of A and A. (c) Write down the equation that links the excess market return to the excess share price. (d) What can you conclude from the correlation coefficient and the estimated values of A and A?