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DATA TO COPY AAPL MKT SMB HML UMD RF 200203 9.124424 4.47 4.35 1.09 -1.7 0.13 200204 2.533784 -4.96 5.78 4.23 7.92 0.15 200205 -4.03624

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DATA TO COPY

AAPL

MKT

SMB

HML

UMD

RF

200203

9.124424

4.47

4.35

1.09

-1.7

0.13

200204

2.533784

-4.96

5.78

4.23

7.92

0.15

200205

-4.03624

-1.05

-3.69

2.37

3.05

0.14

200206

-23.9485

-7.02

3.5

1.55

6.17

0.13

200207

-13.8826

-8.11

-5.11

-3.7

3.41

0.15

200208

-3.27654

0.8

-2.17

2.15

1.68

0.14

200209

-1.76152

-10

2.73

1.13

9.09

0.14

200210

10.75862

7.5

-2.99

-6.57

-5.17

0.14

200211

-3.48692

6.13

3.16

-1.52

16.26

0.12

200212

-7.6129

-5.33

-0.54

3.85

9.63

0.11

200301

0.27933

-2.34

1.37

-0.84

1.53

0.1

200302

4.5961

-1.54

-0.35

-1.54

1.29

0.09

200303

-5.85885

1.03

0.88

-1.71

1.5

0.1

200304

0.565771

8.28

1.21

-0.08

-9.48

0.1

200305

26.30098

6.35

4.71

0.27

10.79

0.09

200306

6.124722

1.63

1.47

0.64

-1.06

0.1

200307

10.59811

2.31

5.64

-2.11

-0.35

0.07

200308

7.305503

2.49

2.64

1.78

-0.55

0.07

200309

-8.39965

-0.91

0.56

0.99

-0.07

0.08

200310

10.42471

6.03

2.91

1.75

3.7

0.07

200311

-8.65385

1.66

2.23

1.39

1.63

0.07

200312

2.296651

4.55

-2.87

2.76

-5.67

0.08

200401

5.519177

2.31

2.6

1.66

2.58

0.07

200402

6.028369

1.55

-1.2

0.37

-1.14

0.06

200403

13.04348

-1.07

1.85

-0.01

0.2

0.09

200404

-4.65976

-2.42

-2.53

-1.69

-5.33

0.08

200405

8.844065

1.41

-0.12

-0.31

1.64

0.06

200406

15.96579

2.16

2.25

1.72

2.08

0.08

200407

-0.61463

-3.77

-3.82

4.42

-2.32

0.1

200408

6.679035

0.27

-1.56

1.13

-1.54

0.11

200409

12.34783

2.06

2.82

0.4

5.28

0.11

200410

35.19092

1.78

0.49

-0.95

-1.54

0.11

200411

27.9771

4.82

4.11

1.96

3.24

0.15

200412

-3.9666

3.52

0.18

-0.35

-2.82

0.16

200501

19.40994

-2.66

-1.67

2.52

3.12

0.16

200502

16.671

2.27

-0.76

2.85

3.19

0.16

200503

-7.11101

-1.69

-1.37

1.71

0.93

0.21

200504

-13.4629

-2.52

-3.95

-0.49

-0.84

0.21

200505

10.26068

3.79

3.01

-1.16

0.46

0.24

200506

-7.41952

1.15

2.58

2.84

2.1

0.23

200507

15.86525

4.33

2.77

-0.47

0.05

0.24

200508

9.941383

-0.59

-0.88

1.44

2.24

0.3

200509

14.33141

1.06

-0.64

1.22

3.5

0.29

200510

7.423988

-2.08

-1.05

-0.74

-1.37

0.27

200511

17.7635

4.04

0.98

-1.75

0.39

0.31

200512

6.00118

0.35

-0.47

0.51

0.77

0.32

200601

5.035471

4.01

5.32

1.18

2.77

0.35

200602

-9.29678

-0.16

-0.31

-0.76

-1.8

0.34

200603

-8.42459

1.91

3.51

0.04

1.22

0.37

200604

12.22895

1.3

-1.22

3.07

0.65

0.36

200605

-15.0874

-3.1

-3

2.75

-3.66

0.43

200606

-4.1827

-0.04

-0.47

1.51

1.52

0.4

200607

18.66597

-0.19

-3.9

3.25

-2.24

0.4

200608

-0.16186

2.51

0.8

-1.66

-3.48

0.42

200609

13.45615

1.95

-1.21

-0.49

-0.98

0.41

200610

5.326059

3.71

1.68

0.49

-0.18

0.41

200611

13.04884

2.37

0.7

0.39

-1

0.42

200612

-7.44054

1.08

-0.93

2.56

0.81

0.4

200701

1.049033

1.94

0.02

0

0.22

0.44

200702

-1.30643

-1.4

1.38

0.32

-1.32

0.38

Question 1) Carhart (1997) extends the Fama French three factor model to a four factor model. That is, there are four factors in the markets, which are MKT, SMB, HML and UMD. The risk free rate is RF. MI You are given returns data for a stock, AAPL, from March 2002 to Feburary 2007, with a monthly frequency. a) Test whether CAPM holds for AAPL. b) Does this stock offer a positive alpha, how large is it? c) Please calculate the betas (exposures) of AAPL corresponding to these four factors. d) How is the performance of the fourth factor UMD in explaining returns of AAPL. The data below have already been converted to monthly percentage. AAPL MKT SMBHMLUMDRF 200203 9.124424 4.471 4.35| 1.09 -1.70.13 2002042.533784) -4.96 5.78 4.23 7.92 0.15 200205 -4.03624 -1.05 -3.69 2.37 3.050.14 200206 -23.9485 -7.02 3.5 1.55 6.170.13 200207-13.8826 -8.11 -5.11 -3.71 3.410.15 200208)-3.27654 0.8-2.17 2.15 1.680.14 2002091-1.76152 -10 2.73 1.13 9.09 0.14 200210 10.75862 7.5 -2.99 -6.57 -5.17|0.14 200211 -3.486921 6.13 3.16-1.52 16.26 0.12 200212 -7.61291-5.33 -0.54 3.85 9.63 0.11 200301 0.27933 -2.341 1.371 -0.84 1.53 0.1 200302 4.5961] -1.54 -0.35 -1.54 1.290.09 200303-5.85885 1.03 0.88 -1.71 1.51 0.1 200304|0.565771 8.28| 1.21 -0.08 -9.48 0.1 ||200305 26.30098 6.35 4.71 0.27 10.790.09 2003066.124722 1.63 1.47 0.64 -1.06 0.1 ||200307 10.59811 2.31 5.641 -2.11 -0.350.07 ||200308 7.305503| 2.49 2.64 1.78 -0.550.07 200309 -8.39965 -0.91 0.56 0.991 -0.0710.08 200310 10.42471 6.03 2.91] 1.75 3.710.07 200311-8.65385 1.66 2.23 1.39 1.630.07) 200312 2.296651 4.55 -2.87 2.76 -5.6710.08 200401 5.519177 2.31 2.6 1.66 2.580.07) 20040216.028369 1.550 -1.2 0.37 -1.14 0.06 200403 13.04348 -1.07) 1.85 -0.01 0.210.09 200404 -4.65976 -2.42 -2.53 -1.69-5.330.08 200405 8.844065 1.41 -0.12 -0.31 1.640.06 20040615.96579 2.16 2.25 1.72] 2.080.08 2004071 -0.61463)-3.77 -3.82 4.42) -2.32 0.1 20040816.679035 0.27 -1.56 1.13) -1.54|0.11 20040912.34783 2.06 2.82 0.4 5.28 0.11 200410 35.19092 1.78 0.491-0.951 -1.54 0.11 200411 27.9771| 4.82 4.11 1.96 3.240.15 200412) -3.9666 3.52 0.18-0.35 -2.8210.16 200501 19.40994) -2.66 -1.67 2.52 3.12 0.16 200502 16.671) 2.27 -0.76 2.85 3.19 0.16 200503) -7.11101 -1.69 -1.37 1.71 0.93|0.21 200504|-13.4629 -2.52-3.95 -0.491 -0.840.21 200505 10.26068 3.79 3.01 -1.16 0.46 0.24 200506 -7.41952 1.15 2.58 2.84 2.10.23 200507 15.86525] 4.33 2.77 -0.47] 0.050.24 2005089.941383/-0.59 -0.88 1.44 2.24 0.3 20050914.33141] 1.06 -0.64 1.22 3.510.291 20051017.423988)-2.08 -1.05 -0.74 -1.370.27| 200511] 17.7635| 4.04 0.98 -1.75 0.39 0.31 200512 6.00118 0.35 -0.47 0.51 0.77 0.32 200601 5.035471 4.01 5.321 1.18 2.77 0.35 200602 -9.29678) -0.16 -0.31 -0.76 -1.8|0.34 200603) -8.42459 1.91 3.51 0.04 1.220.37| 200604 12.22895 1.3 -1.22 3.071 0.650.36 200605 -15.0874 -3.1 -3 2.75 -3.66 0.43 200606 -4.1827 -0.04 -0.47 1.51) 1.52 0.4 200607 18.66597 -0.19 -3.9 3.25 -2.24 0.4 200608-0.16186 2.51 0.8 -1.66 -3.480.42 200609 13.45615 1.95 -1.21 -0.49 -0.980.41 200610 5.326059 3.71 1.68 0.491 -0.18 0.41 200611 13.04884 2.37 0.71 0.39 -110.421 200612 -7.44054 1.08 -0.93 2.56 0.81 0.4 200701 1.049033| 1.94 0.02 0 0.22 0.44 200702 -1.30643 -1.4 1.38 0.32 -1.32 0.38

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