Consider the problem of measuring the comovement of a particular stock's excess return (Qantas) with the excess return of a market portfolio (AllOrds). Excess return is the return minus risk free rate of return {say the 3 month term deposit rate). We denote the stock's excess return by y and the market portfolic's excess return by r. We use data on the previous 11 months on y and :1: and we use the linear model: 3": =+1$t+ut 3= 1,...,n which in matrix notation is y=X+u. We use the index 3 because we are using time series observations. We assume that E {u I X) = I] [this means that the part of the movement in Qantas shares not related to the current month's market events are completer related to events specic to Qantas, i.e. it. is also not predictable using previous months or future months market events. Five estimators for the slope parameter .81 have been proposed (in our sample, at\" 7% CI, :7; 7% 0, r2 75 r1 , 1'", 3E :73, and % g :3\3 12-V1 the slope of the line connecting the first two observations [4] B = In the slope of the line connecting the last observation (Cn, Un) to the sample average point (a, y)