Answered step by step
Verified Expert Solution
Question
1 Approved Answer
Problem 12-11 Use the data below to estimate the beta of Nike and Dell stock based on their monthly returns from 2007-2011. Nike beta Dell
Problem 12-11 | ||||||||
Use the data below to estimate the beta of Nike and Dell stock based on their monthly returns from 2007-2011. | ||||||||
Nike beta | ||||||||
Dell beta | ||||||||
Excess Returns | ||||||||
Date | Risk-free Rate | NKE | DELL | S&P 500 | NKE | DELL | S&P 500 | |
Jan-07 | 0.00433 | -0.00243 | -0.03455 | 0.01512 | -0.00675 | -0.03888 | 0.01079 | |
Feb-07 | 0.00384 | 0.05750 | -0.05660 | -0.01956 | 0.05366 | -0.06043 | -0.02340 | |
Mar-07 | 0.00426 | 0.02070 | 0.01544 | 0.01119 | 0.01645 | 0.01118 | 0.00693 | |
Apr-07 | 0.00435 | 0.01373 | 0.08645 | 0.04429 | 0.00938 | 0.08210 | 0.03995 | |
May-07 | 0.00405 | 0.05356 | 0.06717 | 0.03490 | 0.04951 | 0.06313 | 0.03085 | |
Jun-07 | 0.00392 | 0.03069 | 0.06107 | -0.01661 | 0.02677 | 0.05715 | -0.02053 | |
Jul-07 | 0.00396 | -0.03164 | -0.02013 | -0.03101 | -0.03560 | -0.02409 | -0.03497 | |
Aug-07 | 0.00421 | -0.00192 | 0.00973 | 0.01499 | -0.00613 | 0.00552 | 0.01078 | |
Sep-07 | 0.00335 | 0.04468 | -0.02284 | 0.03740 | 0.04133 | -0.02619 | 0.03405 | |
Oct-07 | 0.00321 | 0.12959 | 0.10884 | 0.01591 | 0.12637 | 0.10563 | 0.01270 | |
Nov-07 | 0.00340 | -0.00930 | -0.19829 | -0.04181 | -0.01270 | -0.20168 | -0.04520 | |
Dec-07 | 0.00292 | -0.01795 | -0.00123 | -0.00694 | -0.02088 | -0.00415 | -0.00986 | |
Jan-08 | 0.00243 | -0.04898 | -0.18223 | -0.05998 | -0.05141 | -0.18466 | -0.06241 | |
Feb-08 | 0.00133 | -0.01464 | -0.00704 | -0.03248 | -0.01596 | -0.00837 | -0.03381 | |
Mar-08 | 0.00187 | 0.13370 | 0.00101 | -0.00432 | 0.13183 | -0.00086 | -0.00619 | |
Apr-08 | 0.00103 | -0.01752 | -0.06478 | 0.04870 | -0.01855 | -0.06580 | 0.04768 | |
May-08 | 0.00095 | 0.02346 | 0.23810 | 0.01295 | 0.02252 | 0.23715 | 0.01201 | |
Jun-08 | 0.00175 | -0.12514 | -0.05114 | -0.08430 | -0.12689 | -0.05289 | -0.08605 | |
Jul-08 | 0.00144 | -0.01561 | 0.12252 | -0.00841 | -0.01705 | 0.12108 | -0.00985 | |
Aug-08 | 0.00128 | 0.03282 | -0.11531 | 0.01447 | 0.03153 | -0.11659 | 0.01318 | |
Sep-08 | 0.00153 | 0.10786 | -0.24165 | -0.08911 | 0.10633 | -0.24318 | -0.09064 | |
Oct-08 | 0.00079 | -0.13846 | -0.25994 | -0.16795 | -0.13926 | -0.26073 | -0.16874 | |
Nov-08 | 0.00023 | -0.07601 | -0.08430 | -0.07175 | -0.07624 | -0.08453 | -0.07198 | |
Dec-08 | 0.00003 | -0.03763 | -0.08303 | 0.01064 | -0.03766 | -0.08306 | 0.01061 | |
Jan-09 | 0.00002 | -0.11273 | -0.07283 | -0.08429 | -0.11275 | -0.07286 | -0.08431 | |
Feb-09 | 0.00015 | -0.08228 | -0.10191 | -0.10648 | -0.08243 | -0.10206 | -0.10662 | |
Mar-09 | 0.00016 | 0.13589 | 0.11111 | 0.08760 | 0.13573 | 0.11095 | 0.08744 | |
Apr-09 | 0.00013 | 0.11896 | 0.22660 | 0.09571 | 0.11883 | 0.22647 | 0.09558 | |
May-09 | 0.00002 | 0.08722 | -0.00434 | 0.05593 | 0.08720 | -0.00435 | 0.05591 | |
Jun-09 | 0.00008 | -0.08854 | 0.18641 | 0.00199 | -0.08861 | 0.18634 | 0.00191 | |
Jul-09 | 0.00012 | 0.09390 | -0.02570 | 0.07563 | 0.09378 | -0.02582 | 0.07551 | |
Aug-09 | 0.00012 | -0.02206 | 0.18312 | 0.03610 | -0.02218 | 0.18300 | 0.03599 | |
Sep-09 | 0.00008 | 0.17365 | -0.03567 | 0.03732 | 0.17357 | -0.03575 | 0.03724 | |
Oct-09 | 0.00004 | -0.03893 | -0.05350 | -0.01858 | -0.03897 | -0.05354 | -0.01862 | |
Nov-09 | 0.00000 | 0.04353 | -0.02233 | 0.05998 | 0.04353 | -0.02233 | 0.05998 | |
Dec-09 | 0.00006 | 0.02239 | 0.01713 | 0.01931 | 0.02232 | 0.01707 | 0.01925 | |
Jan-10 | 0.00003 | -0.03513 | -0.10175 | -0.03597 | -0.03516 | -0.10178 | -0.03600 | |
Feb-10 | 0.00001 | 0.06041 | 0.02578 | 0.03098 | 0.06040 | 0.02577 | 0.03097 | |
Mar-10 | 0.00007 | 0.09161 | 0.13481 | 0.06035 | 0.09154 | 0.13474 | 0.06028 | |
Apr-10 | 0.00011 | 0.03286 | 0.07852 | 0.01579 | 0.03275 | 0.07841 | 0.01568 | |
May-10 | 0.00011 | -0.04657 | -0.17735 | -0.07985 | -0.04668 | -0.17746 | -0.07996 | |
Jun-10 | 0.00013 | -0.06316 | -0.09531 | -0.05235 | -0.06329 | -0.09544 | -0.05248 | |
Jul-10 | 0.00014 | 0.09005 | 0.09783 | 0.07006 | 0.08991 | 0.09768 | 0.06992 | |
Aug-10 | 0.00013 | -0.04937 | -0.11043 | -0.04514 | -0.04949 | -0.11056 | -0.04527 | |
Sep-10 | 0.00013 | 0.14916 | 0.10188 | 0.08924 | 0.14903 | 0.10176 | 0.08912 | |
Oct-10 | 0.00011 | 0.01618 | 0.10956 | 0.03805 | 0.01606 | 0.10945 | 0.03794 | |
Nov-10 | 0.00011 | 0.05761 | -0.08193 | 0.00013 | 0.05750 | -0.08205 | 0.00001 | |
Dec-10 | 0.00014 | -0.00466 | 0.02517 | 0.06683 | -0.00480 | 0.02503 | 0.06669 | |
Jan-11 | 0.00007 | -0.03445 | -0.02902 | 0.02370 | -0.03451 | -0.02908 | 0.02363 | |
Feb-11 | 0.00012 | 0.07943 | 0.20307 | 0.03426 | 0.07931 | 0.20294 | 0.03414 | |
Mar-11 | 0.00007 | -0.14682 | -0.08344 | 0.00040 | -0.14689 | -0.08351 | 0.00033 | |
Apr-11 | 0.00005 | 0.08746 | 0.06671 | 0.02961 | 0.08741 | 0.06666 | 0.02956 | |
May-11 | 0.00001 | 0.02594 | 0.03909 | -0.01132 | 0.02593 | 0.03907 | -0.01133 | |
Jun-11 | 0.00004 | 0.06956 | 0.03699 | -0.01667 | 0.06953 | 0.03696 | -0.01670 | |
Jul-11 | -0.00003 | 0.00181 | -0.02600 | -0.02033 | 0.00184 | -0.02597 | -0.02031 | |
Aug-11 | 0.00008 | -0.03884 | -0.08442 | -0.05432 | -0.03892 | -0.08450 | -0.05441 | |
Sep-11 | 0.00000 | -0.00951 | -0.04881 | -0.07030 | -0.00951 | -0.04881 | -0.07030 | |
Oct-11 | 0.00001 | 0.12666 | 0.11761 | 0.10929 | 0.12665 | 0.11759 | 0.10928 | |
Nov-11 | 0.00000 | -0.00168 | -0.00319 | -0.00221 | -0.00169 | -0.00319 | -0.00221 | |
Dec-11 | 0.00000 | 0.00569 | -0.05438 | 0.01023 | 0.00569 | -0.05438 | 0.01023 | |
Requirements | ||||||||
1. | You will calculate the beta of the Nike stock by using the function SLOPE. In cell D6, by using the function SLOPE and cell references, calculate the beta of the Nike stock (1 pt.). | |||||||
2. | You will calculate the beta of the Dell stock by using the function SLOPE. In cell D7, by using the function SLOPE and cell references, calculate the beta of the Dell stock (1 pt.). please show the formula format in excel, Im having trouble with this. |
Step by Step Solution
There are 3 Steps involved in it
Step: 1
Get Instant Access to Expert-Tailored Solutions
See step-by-step solutions with expert insights and AI powered tools for academic success
Step: 2
Step: 3
Ace Your Homework with AI
Get the answers you need in no time with our AI-driven, step-by-step assistance
Get Started