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In the data file Case2.xlsx are data on the monthly returns of six firms (Microsoft, GE, GM, IBM, Disney, and Mobil-Exxon), the rate of return
In the data file Case2.xlsx are data on the monthly returns of six firms (Microsoft, GE, GM, IBM, Disney, and Mobil-Exxon), the rate of return on the market portfolio (MKT), and the rate of return on the risk free asset (RISKFREE). The 132 observations cover January 1998 to December 2008. Estimate the CAPM model for each firm, and comment on their estimated beta values. Which firm appears most aggressive ? Which firm appears most defensive ?
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