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date Mkt_RF Firm1_RF 198001 5.51 7.0928 198002 -1.22 -1.3106 198003 -12.9 -20.5097 198004 3.97 4.8674 198005 5.26 7.2581 198006 3.06 4.7245 198007 6.49 12.7863 198008
| date | Mkt_RF | Firm1_RF |
| 198001 | 5.51 | 7.0928 |
| 198002 | -1.22 | -1.3106 |
| 198003 | -12.9 | -20.5097 |
| 198004 | 3.97 | 4.8674 |
| 198005 | 5.26 | 7.2581 |
| 198006 | 3.06 | 4.7245 |
| 198007 | 6.49 | 12.7863 |
| 198008 | 1.8 | 7.8419 |
| 198009 | 2.19 | 4.5016 |
| 198010 | 1.06 | 4.8792 |
| 198011 | 9.59 | 11.666 |
| 198012 | -4.52 | -6.6175 |
| 198101 | -5.04 | -4.8172 |
| 198102 | 0.57 | -1.7707 |
| 198103 | 3.56 | 6.4678 |
| 198104 | -2.11 | 1.4743 |
| 198105 | 0.11 | 3.7849 |
| 198106 | -2.36 | -7.0854 |
| 198107 | -1.54 | -4.0009 |
| 198108 | -7.04 | -11.2797 |
| 198109 | -7.17 | -11.5068 |
| 198110 | 4.92 | 9.2385 |
| 198111 | 3.36 | -0.1879 |
| 198112 | -3.65 | -3.2253 |
| 198201 | -3.24 | -5.6746 |
| 198202 | -5.86 | -8.3934 |
| 198203 | -1.87 | -3.1689 |
| 198204 | 3.27 | 5.4008 |
| 198205 | -3.99 | -4.625 |
| 198206 | -3.09 | -4.5459 |
| 198207 | -3.19 | -3.4582 |
| 198208 | 11.14 | 7.3778 |
| 198209 | 1.29 | 2.1313 |
| 198210 | 11.3 | 15.3028 |
| 198211 | 4.67 | 9.3872 |
| 198212 | 0.55 | 0.6265 |
| 198301 | 3.6 | 9.0237 |
| 198302 | 2.59 | 3.6684 |
| 198303 | 2.82 | 2.0231 |
| 198304 | 6.67 | 7.1305 |
| 198305 | 0.52 | 7.2519 |
| 198306 | 3.07 | 4.9645 |
| 198307 | -4.07 | -6.5792 |
| 198308 | -0.5 | -5.5693 |
| 198309 | 0.91 | -0.6733 |
| 198310 | -3.44 | -9.7934 |
| 198311 | 2.16 | 4.0124 |
| 198312 | -1.78 | -3.881 |
| 198401 | -1.92 | -4.985 |
| 198402 | -4.82 | -7.6881 |
| 198403 | 0.63 | -0.5671 |
| 198404 | -0.51 | -2.0581 |
| 198405 | -5.97 | -6.7613 |
| 198406 | 1.82 | 3.7825 |
| 198407 | -2.74 | -6.3965 |
| 198408 | 10.28 | 12.5493 |
| 198409 | -0.8 | -3.5742 |
| 198410 | -0.84 | -3.2337 |
| 198411 | -1.76 | -5.2748 |
| 198412 | 1.84 | 1.396 |
| 198501 | 7.99 | 14.3654 |
| 198502 | 1.22 | 2.3472 |
| 198503 | -0.84 | -3.9121 |
| 198504 | -0.96 | -2.7602 |
| 198505 | 5.09 | 3.5819 |
| 198506 | 1.27 | 0.8558 |
| 198507 | -0.74 | 2.0905 |
| 198508 | -1.02 | -2.5878 |
| 198509 | -4.54 | -7.8743 |
| 198510 | 4.02 | 2.5495 |
| 198511 | 6.48 | 7.1431 |
| 198512 | 3.88 | 4.2965 |
| 198601 | 0.65 | 1.7525 |
| 198602 | 7.13 | 6.8252 |
| 198603 | 4.88 | 3.6271 |
| 198604 | -1.31 | 1.7368 |
| 198605 | 4.62 | 2.8699 |
| 198606 | 1.03 | -0.5821 |
| 198607 | -6.45 | -11.213 |
| 198608 | 6.07 | 1.6875 |
| 198609 | -8.6 | -8.6972 |
| 198610 | 4.66 | 3.9211 |
| 198611 | 1.17 | -0.3176 |
| 198612 | -3.27 | -3.6738 |
| 198701 | 12.47 | 12.0947 |
| 198702 | 4.39 | 9.1782 |
| 198703 | 1.64 | 0.8163 |
| 198704 | -2.11 | -3.1053 |
| 198705 | 0.11 | -0.6734 |
| 198706 | 3.94 | 0.953 |
| 198707 | 3.85 | 1.7263 |
| 198708 | 3.52 | 2.4052 |
| 198709 | -2.59 | -3.0155 |
| 198710 | -23.24 | -32.9704 |
| 198711 | -7.77 | -7.0668 |
| 198712 | 6.81 | 8.9056 |
| 198801 | 4.21 | 1.8738 |
| 198802 | 4.75 | 7.9911 |
| 198803 | -2.27 | 3.2818 |
| 198804 | 0.56 | 0.9104 |
| 198805 | -0.29 | -3.4312 |
| 198806 | 4.79 | 7.1262 |
| 198807 | -1.25 | -2.9585 |
| 198808 | -3.31 | -4.7099 |
| 198809 | 3.3 | 2.0671 |
| 198810 | 1.15 | -2.637 |
| 198811 | -2.29 | -4.4315 |
| 198812 | 1.49 | 3.4472 |
| 198901 | 6.1 | 3.8006 |
| 198902 | -2.25 | -0.1064 |
| 198903 | 1.57 | 1.8864 |
| 198904 | 4.33 | 4.1501 |
| 198905 | 3.35 | 3.853 |
| 198906 | -1.35 | -3.8154 |
| 198907 | 7.2 | 3.7731 |
| 198908 | 1.44 | 1.8753 |
| 198909 | -0.76 | 0.6954 |
| 198910 | -3.67 | -5.7224 |
| 198911 | 1.03 | -0.0305 |
| 198912 | 1.16 | -0.4797 |
| 199001 | -7.85 | -9.7444 |
| 199002 | 1.11 | 2.6323 |
| 199003 | 1.83 | 3.8065 |
| 199004 | -3.36 | -3.6209 |
| 199005 | 8.42 | 7.8325 |
| 199006 | -1.09 | 0.5189 |
| 199007 | -1.9 | -5.3268 |
| 199008 | -10.15 | -15.3272 |
| 199009 | -6.12 | -10.8502 |
| 199010 | -1.92 | -6.6427 |
| 199011 | 6.35 | 8.4381 |
| 199012 | 2.46 | 3.4731 |
| 199101 | 4.69 | 8.9401 |
| 199102 | 7.19 | 11.2212 |
| 199103 | 2.65 | 7.3161 |
| 199104 | -0.28 | -1.1449 |
| 199105 | 3.65 | 3.8861 |
| 199106 | -4.94 | -5.6822 |
| 199107 | 4.24 | 3.7232 |
| 199108 | 2.32 | 3.9356 |
| 199109 | -1.59 | 0.7641 |
| 199110 | 1.29 | 2.6648 |
| 199111 | -4.19 | -5.1873 |
| 199112 | 10.84 | 9.78 |
| 199201 | -0.59 | 7.331 |
| 199202 | 1.09 | 0.4775 |
| 199203 | -2.66 | -6.6801 |
| 199204 | 1.07 | -5.8954 |
| 199205 | 0.3 | -0.9565 |
| 199206 | -2.34 | -6.4853 |
| 199207 | 3.77 | 2.2937 |
| 199208 | -2.38 | -4.6201 |
| 199209 | 1.19 | 1.2471 |
| 199210 | 1.02 | 4.1725 |
| 199211 | 4.13 | 9.388 |
| 199212 | 1.53 | 2.33 |
| 199301 | 0.93 | 1.0638 |
| 199302 | 0.12 | -6.6208 |
| 199303 | 2.3 | 1.8641 |
| 199304 | -3.05 | -4.029 |
| 199305 | 2.89 | 6.4572 |
| 199306 | 0.31 | 0.4591 |
| 199307 | -0.34 | -0.6592 |
| 199308 | 3.71 | 3.6154 |
| 199309 | -0.12 | 3.0023 |
| 199310 | 1.41 | 3.6881 |
| 199311 | -1.89 | -3.4448 |
| 199312 | 1.65 | 2.4499 |
| 199401 | 2.87 | 1.6719 |
| 199402 | -2.55 | -1.1304 |
| 199403 | -4.78 | -6.5203 |
| 199404 | 0.68 | -1.2024 |
| 199405 | 0.58 | -2.9175 |
| 199406 | -3.03 | -5.1433 |
| 199407 | 2.82 | 1.2342 |
| 199408 | 4.01 | 6.9887 |
| 199409 | -2.31 | 0.1998 |
| 199410 | 1.34 | 0.0238 |
| 199411 | -4.04 | -4.1906 |
| 199412 | 0.86 | 0.3938 |
| 199501 | 1.8 | -1.5086 |
| 199502 | 3.63 | 3.0821 |
| 199503 | 2.19 | 2.4335 |
| 199504 | 2.11 | 0.5841 |
| 199505 | 2.9 | 0.2565 |
| 199506 | 2.72 | 7.3718 |
| 199507 | 3.72 | 7.7511 |
| 199508 | 0.55 | 1.4973 |
| 199509 | 3.35 | 1.9016 |
| 199510 | -1.52 | -6.1558 |
| 199511 | 3.96 | 3.1208 |
| 199512 | 1.03 | 1.7248 |
| 199601 | 2.26 | -0.1418 |
| 199602 | 1.33 | 4.4504 |
| 199603 | 0.73 | 1.9784 |
| 199604 | 2.06 | 8.2169 |
| 199605 | 2.36 | 5.6089 |
| 199606 | -1.14 | -6.6488 |
| 199607 | -5.97 | -14.3449 |
| 199608 | 2.77 | 6.6589 |
| 199609 | 5.01 | 4.8982 |
| 199610 | 0.86 | -5.5715 |
| 199611 | 6.25 | 1.2273 |
| 199612 | -1.7 | 0.1525 |
| 199701 | 4.98 | 3.7231 |
| 199702 | -0.49 | -6.8806 |
| 199703 | -5.02 | -8.9014 |
| 199704 | 4.04 | -3.5839 |
| 199705 | 6.74 | 15.0682 |
| 199706 | 4.1 | 3.0637 |
| 199707 | 7.33 | 4.5693 |
| 199708 | -4.15 | 3.4918 |
| 199709 | 5.35 | 8.2776 |
| 199710 | -3.8 | -6.9017 |
| 199711 | 2.98 | -3.8534 |
| 199712 | 1.32 | -2.8081 |
| 199801 | 0.15 | -1.0317 |
| 199802 | 7.04 | 7.8731 |
| 199803 | 4.76 | 3.8366 |
| 199804 | 0.73 | 0.2087 |
| 199805 | -3.07 | -7.667 |
| 199806 | 3.18 | 0.092 |
| 199807 | -2.46 | -8.1528 |
| 199808 | -16.08 | -24.8427 |
| 199809 | 6.15 | 8.5007 |
| 199810 | 7.13 | 4.2261 |
| 199811 | 6.1 | 8.7305 |
| 199812 | 6.16 | 6.2082 |
| 199901 | 3.5 | 3.5528 |
| 199902 | -4.08 | -9.2292 |
| 199903 | 3.45 | -0.5728 |
| 199904 | 4.33 | 8.7023 |
| 199905 | -2.46 | 1.5744 |
| 199906 | 4.77 | 6.4507 |
| 199907 | -3.49 | -1.7472 |
| 199908 | -1.38 | -3.3381 |
| 199909 | -2.79 | 0.0835 |
| 199910 | 6.12 | 0.0971 |
| 199911 | 3.37 | 13.0297 |
| 199912 | 7.72 | 17.7032 |
| 200001 | -4.74 | 0.6326 |
| 200002 | 2.45 | 26.6554 |
| 200003 | 5.2 | -12.9133 |
| 200004 | -6.4 | -15.355 |
| 200005 | -4.42 | -8.5985 |
| 200006 | 4.64 | 17.0556 |
| 200007 | -2.51 | -7.644 |
| 200008 | 7.03 | 8.2912 |
| 200009 | -5.45 | -7.8964 |
| 200010 | -2.76 | -8.9292 |
| 200011 | -10.72 | -17.1698 |
| 200012 | 1.19 | 2.2395 |
| 200101 | 3.13 | 12.158 |
| 200102 | -10.05 | -12.9985 |
| 200103 | -7.26 | -8.2418 |
| 200104 | 7.94 | 9.8354 |
| 200105 | 0.72 | 3.5042 |
| 200106 | -1.94 | 6.063 |
| 200107 | -2.13 | -9.4511 |
| 200108 | -6.46 | -7.6914 |
| 200109 | -9.25 | -17.3451 |
| 200110 | 2.46 | 11.0664 |
| 200111 | 7.54 | 8.6757 |
| 200112 | 1.61 | 6.5775 |
| 200201 | -1.44 | -5.131 |
| 200202 | -2.29 | -8.3229 |
| 200203 | 4.24 | 8.7859 |
| 200204 | -5.2 | -4.2665 |
| 200205 | -1.38 | -6.795 |
| 200206 | -7.21 | -7.2251 |
| 200207 | -8.18 | -14.9157 |
| 200208 | 0.5 | -0.578 |
| 200209 | -10.35 | -8.5994 |
| 200210 | 7.84 | 6.7004 |
| 200211 | 5.96 | 13.0866 |
| 200212 | -5.76 | -8.9003 |
| 200301 | -2.57 | -2.5171 |
| 200302 | -1.88 | -4.0318 |
| 200303 | 1.09 | 1.7377 |
| 200304 | 8.22 | 10.9591 |
| 200305 | 6.05 | 13.2203 |
| 200306 | 1.42 | 2.3456 |
| 200307 | 2.35 | 8.0039 |
| 200308 | 2.34 | 4.8509 |
| 200309 | -1.24 | -1.7368 |
| 200310 | 6.08 | 8.3939 |
| 200311 | 1.35 | 2.7888 |
| 200312 | 4.29 | 0.8991 |
| 200401 | 2.15 | 3.7653 |
| 200402 | 1.4 | 0.3667 |
| 200403 | -1.32 | 1.2298 |
| 200404 | -1.83 | -3.5244 |
| 200405 | 1.17 | 0.9302 |
| 200406 | 1.86 | 3.0321 |
| 200407 | -4.06 | -9.8498 |
| 200408 | 0.08 | -2.4111 |
| 200409 | 1.6 | 5.4687 |
| 200410 | 1.43 | 2.7569 |
| 200411 | 4.54 | 8.2361 |
| 200412 | 3.43 | 4.1645 |
| 200501 | -2.76 | -5.62 |
| 200502 | 1.89 | 0.5356 |
| 200503 | -1.97 | -4.4056 |
| 200504 | -2.61 | -6.548 |
| 200505 | 3.65 | 7.0779 |
| 200506 | 0.57 | 2.5099 |
| 200507 | 3.92 | 6.7908 |
| 200508 | -1.22 | -2.4718 |
| 200509 | 0.49 | 0.0414 |
| 200510 | -2.02 | -4.2929 |
| 200511 | 3.61 | 4.9153 |
| 200512 | -0.25 | -0.2594 |
| 200601 | 3.04 | 8.3748 |
| 200602 | -0.3 | -0.8705 |
| 200603 | 1.46 | 3.7587 |
| 200604 | 0.73 | -1.0426 |
| 200605 | -3.57 | -8.2659 |
| 200606 | -0.35 | -1.1326 |
| 200607 | -0.78 | -6.347 |
| 200608 | 2.03 | 2.9572 |
| 200609 | 1.84 | 0.5826 |
| 200610 | 3.23 | 5.6496 |
| 200611 | 1.71 | 2.2702 |
| 200612 | 0.87 | -0.9981 |
| 200701 | 1.4 | 2.167 |
| 200702 | -1.96 | -0.5373 |
| 200703 | 0.68 | 1.2463 |
| 200704 | 3.49 | 2.3072 |
| 200705 | 3.24 | 4.0284 |
| 200706 | -1.96 | -0.9454 |
| 200707 | -3.73 | -5.1645 |
| 200708 | 0.92 | 1.191 |
| 200709 | 3.22 | 2.274 |
| 200710 | 1.8 | 3.347 |
| 200711 | -4.83 | -7.5539 |
| 200712 | -0.87 | 0.0595 |
| 200801 | -6.36 | -8.4257 |
| 200802 | -3.09 | -4.4692 |
| 200803 | -0.93 | -1.94 |
| 200804 | 4.6 | 4.8827 |
| 200805 | 1.86 | 5.3638 |
| 200806 | -8.44 | -7.4024 |
| 200807 | -0.77 | 2.11 |
| 200808 | 1.53 | 3.0546 |
| 200809 | -9.24 | -11.3233 |
| 200810 | -17.23 | -22.0363 |
| 200811 | -7.86 | -11.9717 |
| 200812 | 1.74 | 4.8701 |
| 200901 | -8.12 | -7.706 |
| 200902 | -10.1 | -9.7596 |
| 200903 | 8.95 | 9.1244 |
| 200904 | 10.18 | 16.422 |
| 200905 | 5.21 | 3.639 |
| 200906 | 0.43 | 5.3337 |
| 200907 | 7.72 | 6.8901 |
| 200908 | 3.33 | 1.0546 |
| 200909 | 4.08 | 6.4819 |
| 200910 | -2.59 | -6.9516 |
| 200911 | 5.56 | 1.8211 |
| 200912 | 2.75 | 8.489 |
| 201001 | -3.36 | -3.5953 |
| 201002 | 3.4 | 3.4404 |
| 201003 | 6.31 | 6.9791 |
| 201004 | 2 | 3.8081 |
| 201005 | -7.89 | -6.036 |
| 201006 | -5.57 | -5.9719 |
| 201007 | 6.93 | 6.8118 |
| 201008 | -4.77 | -7.144 |
| 201009 | 9.54 | 14.1533 |
| 201010 | 3.88 | 4.3067 |
| 201011 | 0.6 | 3.6669 |
| 201012 | 6.82 | 7.3052 |
| 201101 | 1.99 | -0.4671 |
| 201102 | 3.49 | 5.0173 |
| 201103 | 0.46 | 3.2704 |
| 201104 | 2.9 | 3.3048 |
| 201105 | -1.27 | -1.3782 |
| 201106 | -1.75 | -1.8339 |
| 201107 | -2.35 | -4.7091 |
| 201108 | -5.99 | -9.1728 |
| 201109 | -7.59 | -11.1711 |
| 201110 | 11.35 | 15.6873 |
| 201111 | -0.28 | -1.847 |
| 201112 | 0.74 | -0.6651 |
| 201201 | 5.05 | 8.2795 |
| 201202 | 4.42 | 3.3736 |
| 201203 | 3.11 | 2.3726 |
| 201204 | -0.85 | -1.3951 |
| 201205 | -6.19 | -6.4429 |
| 201206 | 3.89 | 5.961 |
| 201207 | 0.79 | -3.2817 |
| 201208 | 2.55 | 3.2679 |
| 201209 | 2.73 | 3.3177 |
| 201210 | -1.76 | -4.036 |
| 201211 | 0.78 | 1.0849 |
| 201212 | 1.18 | 2.5905 |
| 201301 | 5.57 | 6.9917 |
| 201302 | 1.29 | 0.9892 |
| 201303 | 4.03 | 5.1506 |
| 201304 | 1.55 | -0.8484 |
| 201305 | 2.8 | 5.0336 |
| 201306 | -1.2 | -0.2841 |
| 201307 | 5.65 | 7.3771 |
| 201308 | -2.71 | -1.0934 |
| 201309 | 3.77 | 6.2933 |
| 201310 | 4.18 | 1.0925 |
| 201311 | 3.13 | 5.0427 |
| 201312 | 2.81 | 1.8493 |
| 201401 | -3.32 | -0.2318 |
| 201402 | 4.65 | 4.0546 |
| 201403 | 0.43 | -3.4553 |
| 201404 | -0.19 | -6.3998 |
| 201405 | 2.06 | -0.798 |
| 201406 | 2.61 | 7.1964 |
| 201407 | -2.04 | -6.3011 |
| 201408 | 4.24 | 4.9715 |
| 201409 | -1.97 | -4.7336 |
| 201410 | 2.52 | 7.5027 |
| 201411 | 2.55 | 1.6721 |
| 201412 | -0.06 | 2.0991 |
| 201501 | -3.11 | -2.8597 |
| 201502 | 6.14 | 7.5158 |
| 201503 | -1.12 | 2.0646 |
| 201504 | 0.59 | -3.2277 |
| 201505 | 1.36 | 2.7661 |
| 201506 | -1.53 | 2.5895 |
| 201507 | 1.54 | -0.1739 |
| 201508 | -6.04 | -9.0113 |
| 201509 | -3.07 | -7.7423 |
| 201510 | 7.75 | 4.6882 |
| 201511 | 0.56 | 5.8553 |
| 201512 | -2.17 | -4.0402 |
| 201601 | -5.77 | -13.8889 |
| 201602 | -0.08 | -0.6137 |
| 201603 | 6.96 | 7.8023 |
| 201604 | 0.92 | 2.5079 |
| 201605 | 1.78 | 2.2623 |
| 201606 | -0.05 | 0.1915 |
| 201607 | 3.95 | 7.1785 |
| 201608 | 0.5 | 1.1252 |
| 201609 | 0.25 | 3.1194 |
| 201610 | -2.02 | -8.1675 |
| 201611 | 4.86 | 9.0198 |
| 201612 | 1.81 | -0.4109 |
| 201701 | 1.94 | 1.9921 |
| 201702 | 3.57 | 3.6548 |
| 201703 | 0.17 | 2.2244 |
| 201704 | 1.09 | 1.8672 |
| 201705 | 1.06 | -1.1102 |
| 201706 | 0.78 | 4.5829 |
| 201707 | 1.87 | 0.6455 |
| 201708 | 0.16 | -0.439 |
| 201709 | 2.51 | 5.4434 |
| 201710 | 2.25 | 0.3619 |
| 201711 | 3.12 | 2.5962 |
| 201712 | 1.06 | 0.5334 |
| 201801 | 5.58 | 2.9169 |
| 201802 | -3.65 | -3.1059 |
| 201803 | -2.35 | 1.2451 |
| 201804 | 0.29 | 1.105 |
| 201805 | 2.65 | 7.8591 |
| 201806 | 0.48 | 2.6616 |
| 201807 | 3.19 | 1.1609 |
| 201808 | 3.44 | 5.6067 |
| 201809 | 0.06 | -1.925 |
| 201810 | -7.68 | -13.6741 |
| 201811 | 1.69 | 0.7957 |
| 201812 | -9.55 | -12.3024 |
| 201901 | 8.41 | 12.7335 |
| 201902 | 3.4 | 6.2363 |
| 201903 | 1.1 | -0.8839 |
| 201904 | 3.96 | 2.1763 |
| 201905 | -6.94 | -7.4685 |
| 201906 | 6.93 | 8.0584 |
| 201907 | 1.19 | -0.8758 |
| 201908 | -2.58 | -4.298 |
| 201909 | 1.43 | -2.7887 |
| 201910 | 2.06 | 4.4407 |
| 201911 | 3.87 | 6.1081 |
| 201912 | 2.77 | 2.4107 |
Estimate a CAPM regression for Firm 1 using all themonthly data provided.
What is Firm1's alpha in the CAPM?
What is Firm 1's beta in the CAPM?
Step by Step Solution
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There are 3 Steps involved in it
Step: 1
Answer To estimate the CAPM regression for Firm 1 we need to regress the excess returns of Firm 1 Firm1RF on the excess returns of the market MktRF Ex...
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A Survey of Mathematics with Applications
Authors: Allen R. Angel, Christine D. Abbott, Dennis Runde
10th edition
134112105, 134112342, 9780134112343, 9780134112268, 134112261, 978-0134112107
