In the earlier data case for this chapter, you relied on the beta estimate for Walt Disney provided by Yahoo! Finance. You decide to dig deeper and estimate Disney's equity beta on your own. 1. Get the monthly adjusted closing prices for Disney and the S&P 500 from Yahoo! Finance (finance.yahoo.com) using the same time period and procedure as in the Chapter 10 Data Case. (The symbol for the S&P 500 in Yahoo! Finance is ^GSPC.) 2. Get the three-month Treasury Bill rate from the Federal Reserve Web site (www.federalreserve .gov/datadownload/Choose.aspx?rel=H15). Click the Build Package button and make the following selections: 1. Series Type-Selected Interest Rates 2. Instrument-U.S. government securities/Treasury bills (secondary market) 3. Maturity-3-month 4. Frequency-Monthly Click Go to Package and then Format Package. Select Dates-From 2013 April to 2018 March, and select File Type-Excel. Click Go to download and Download file. Then open and save these rates to an Excel file. Download Page H.15 Selected Interest Rates for Nov 16, 2023 Series Description 3-month Treasury bill secondary market rate discount basis Unit: Percent: Per Year Multiplier: 1 Currency: Unique Identifier: H15/H15/RIFSGFSM03_N.M Time Period RIFSGFSM03_N.M 2013-04 0.06 2013-05 O 2013-06 2013-07 2 2013-08 B 2013-09 0.04 0.05 0.04 0.04 0.02 2013-10 0.05 5 2013-11 0.07 5 2013-12 0.07 2014-01 0.04 B 2014-02 92014-03 O 2014-04 2014-05 2 2014-06 8 2014-07 2014-08 5 2014-09 5 2014-10 2014-11 B 2014-12 2015-01 0.05 0.05 0.03 0.03 0.04 0.03 0.03 0.02 0.02 0.02 0.03 0.03 O 2015-02 0.02 2015-03 0.03 2 2015-04 0.02 8 2015-05 0.02 2015-06 0.02 5 2015-07 5 2015-08 2015-09 0.03 0.07 0.02 8 2015-10 0.02 9 2015-11 O 2015-12 0.12 0.23 2016-01 0.26 2 2016-02 0.31 8 2016-03 0.29 2016-04 5 2016-05 5 2016-06 2016-07 0.27 0.3 0.23 0.27 8 2016-08 0.3 2016-09 0.29 2016-10 0.33 2016-11 0.45 2 2016-12 0.51 B 2017-01 0.51 0.52 2017-02 5 2017-03 6 2017-04 2017-05 8 2017-06 9 2017-07 0.74 0.8 0.89 0.98 1.07 O 2017-08 1.01 2017-09 1.03 2 2017-10 1.07 B 2017-11 1.23 1.32 2017-12 2018-01 5 2018-02 2018-03 1.41 1.57 1.7 3. To convert the Treasury Bill rate to a monthly rate, take the yield and divide it by 100 to convert it to a decimal. Then divide the decimal by 12. The resulting rate will be the monthly risk-free return in the CAPM (you may need to re-sort the dates to match the Yahoo! data). 4. Create separate return columns that compute the excess returns for Walt Disney and the S&P 500. Recall that the excess return is the actual monthly return minus the risk-free rate. 5. Compute the beta of Disney stock based on Eq. 12.5 from this chapter, using the SLOPE func- tion in Excel. How does it compare with the beta currently reported by Yahoo! Finance? Why might the results differ? 6. Compute Disney's alpha over this period using the INTERCEPT function in Excel. How might you interpret this alpha? Note: Updates to this data case may be found at www.berkdemarzo.com.