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Grab the last 5 years of stock price data (at monthly frequency) for top 5 S&P 500 stocks. Compute monthly returns. Now grab the last

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Grab the last 5 years of stock price data (at monthly frequency) for top 5 S&P 500 stocks. Compute monthly returns. Now grab the last 5 years of the SP500 index, and also construct monthly returns. Assume the risk-free rate is zero. Estimate alpha and betas. Plot the SML. How many stocks have significant deviations from the CAPM expected returns? | Grab the last 5 years of stock price data (at monthly frequency) for top 5 S&P 500 stocks. Compute monthly returns. Now grab the last 5 years of the SP500 index, and also construct monthly returns. Assume the risk-free rate is zero. Estimate alpha and betas. Plot the SML. How many stocks have significant deviations from the CAPM expected returns? |

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