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ps2 DATA Date KO WMT S&P500 RF Jan-15 5.17% -1.24% 5.49% 0.02% Feb-15 -6.35% -2.00% -1.74% 0.02% Mar-15 0.02% -5.11% 0.85% 0.02% Apr-15 0.99% -4.84%

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ps2 DATA

Date KO WMT S&P500 RF
Jan-15 5.17% -1.24% 5.49% 0.02%
Feb-15 -6.35% -2.00% -1.74% 0.02%
Mar-15 0.02% -5.11% 0.85% 0.02%
Apr-15 0.99% -4.84% 1.05% 0.01%
May-15 -4.22% -4.50% -2.10% 0.01%
Jun-15 4.72% 1.48% 1.97% 0.03%
Jul-15 -4.28% -10.07% -6.26% 0.04%
Aug-15 2.03% 0.17% -2.64% 0.01%
Sep-15 5.56% -11.72% 8.30% 0.01%
Oct-15 0.64% 2.80% 0.05% 0.07%
Nov-15 0.80% 4.18% -1.75% 0.17%
Dec-15 -0.09% 8.25% -5.07% 0.23%
Jan-16 0.49% -0.03% -0.41% 0.26%
Feb-16 7.56% 3.24% 6.60% 0.25%
Mar-16 -3.43% -2.37% 0.27% 0.19%
Apr-16 -0.45% 5.85% 1.53% 0.23%
May-16 1.64% 3.16% 0.09% 0.22%
Jun-16 -3.75% -0.07% 3.56% 0.26%
Jul-16 -0.46% -2.10% -0.12% 0.26%
Aug-16 -2.56% 0.95% -0.12% 0.19%
Sep-16 0.19% -2.91% -1.94% 0.24%
Oct-16 -4.83% 0.59% 3.42% 0.30%
Nov-16 4.09% -1.86% 1.82% 0.42%
Dec-16 -1.02% -3.44% 1.79% 0.50%
Jan-17 0.94% 6.28% 3.72% 0.48%
Feb-17 1.14% 1.62% -0.04% 0.66%
Mar-17 1.67% 4.30% 0.91% 0.75%
Apr-17 5.38% 4.55% 1.16% 0.73%
May-17 -1.36% -3.72% 0.48% 0.84%
Jun-17 2.21% 5.70% 1.93% 0.97%
Jul-17 -0.63% -2.40% 0.05% 0.98%
Aug-17 -1.19% 0.09% 1.93% 0.99%
Sep-17 2.16% 11.74% 2.22% 1.00%
Oct-17 -0.46% 11.36% 0.37% 1.09%
Nov-17 0.24% 1.56% 3.43% 1.20%
Dec-17 3.73% 7.95% 5.62% 1.30%
Jan-18 -9.18% -15.56% -3.89% 1.38%
Feb-18 0.49% -1.16% -2.69% 1.64%
Mar-18 -0.51% -0.57% 0.27% 1.66%
Apr-18 -0.49% -6.69% 2.16% 1.71%
May-18 2.00% 3.77% 0.48% 1.81%
Jun-18 6.32% 4.18% 3.60% 1.89%
Jul-18 -4.42% 7.43% 3.03% 1.94%
Aug-18 3.63% -2.03% 0.43% 2.04%
Sep-18 3.66% 6.78% -6.94% 2.17%
Oct-18 5.26% -2.62% 1.79% 2.24%
Nov-18 -6.05% -4.61% -9.18% 2.37%
Dec-18 1.65% 2.88% 7.87% 2.40%
Jan-19 -5.80% 3.30% 2.97% 2.43%
Feb-19 3.35% -1.47% 1.79% 2.45%
Mar-19 4.69% 5.44% 3.93% 2.43%
Apr-19 0.14% -1.36% -6.58% 2.40%
May-19 3.64% 8.92% 6.89% 2.22%
Jun-19 3.36% -0.10% 1.31% 2.15%
Jul-19 4.58% 3.52% -1.81% 2.07%
Aug-19 -1.09% 3.87% 1.72% 1.99%
Sep-19 -0.02% -1.20% 2.04% 1.73%
Oct-19 -1.89% 1.56% 3.40% 1.58%
Nov-19 3.65% -0.21% 2.86% 1.55%
Dec-19 5.51% -3.66% -0.16% 1.53%
Download the Excel file "PS2 Data 2" from NYU Classes. It contains the (actual) monthly returns on Coca-Cola (KO) and Walmart (WMT) for 5 years (2015-2019). It also has the corresponding returns on the S\&P500 and the monthly risk-free rates. (Assume throughout that the S\&P500 is the appropriate market index.) Also, note that the risk-free rate is listed in the month for which it is relevant. In other words, in the row Jan-2015 are the returns for January 2015 and the risk-free rate that was known at the beginning of that month. a. Estimate the betas of KO and WMT using the 5 years of monthly data ( 60 observations). b. Estimate the alphas of KO and WMT using the 5 years of monthly data ( 60 observations). c. Plot the SCL and the observations for KO. d. Based on the 5 years of data, what percentage of the (monthly) variance of KO is idiosyncratic? What percentage is systematic? e. Assuming the CAPM holds, using the beta estimates from above, and assuming an annual risk-free rate of 2%(rf=2%), and an annual market risk premium of 5%(E[rM] rf=5%), what are the annual expected/required returns on KO and WMT? Download the Excel file "PS2 Data 2" from NYU Classes. It contains the (actual) monthly returns on Coca-Cola (KO) and Walmart (WMT) for 5 years (2015-2019). It also has the corresponding returns on the S\&P500 and the monthly risk-free rates. (Assume throughout that the S\&P500 is the appropriate market index.) Also, note that the risk-free rate is listed in the month for which it is relevant. In other words, in the row Jan-2015 are the returns for January 2015 and the risk-free rate that was known at the beginning of that month. a. Estimate the betas of KO and WMT using the 5 years of monthly data ( 60 observations). b. Estimate the alphas of KO and WMT using the 5 years of monthly data ( 60 observations). c. Plot the SCL and the observations for KO. d. Based on the 5 years of data, what percentage of the (monthly) variance of KO is idiosyncratic? What percentage is systematic? e. Assuming the CAPM holds, using the beta estimates from above, and assuming an annual risk-free rate of 2%(rf=2%), and an annual market risk premium of 5%(E[rM] rf=5%), what are the annual expected/required returns on KO and WMT

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