Question
Grab the last 5 years of stock price data (at monthly frequency) for 5 stocks. Compute monthly returns. Now grab the last 5 years of
Grab the last 5 years of stock price data (at monthly frequency) for 5 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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Fundamentals of Financial Management
Authors: Eugene F. Brigham, Joel F. Houston
13th edition
978-1285027371, 128502737X, 978-1133541141
