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Determine a sample period of 60 monthly holding periods (5 years). For each of the 60 holding periods, collect the rates of return on 100
Determine a sample period of 60 monthly holding periods (5 years). For each of the 60 holding periods, collect the rates of return on 100 stocks, a market portfolio proxy, and 1-month (risk-free) T-bills. a. How many regression estimates of the SCL do we have from the sample? b. How many observations are there in each of the regressions?
c. According to the CAPM, what should be the intercept in each of these regressions?
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