Question
Q#2: [EXCEL BASED QUESTION] Now collect the SP500 price data on a monthly frequency(i.e., either from the Federal Reserve Bank website, yahoo finance or any
Q#2: [EXCEL BASED QUESTION] Now collect the SP500 price data on a monthly frequency(i.e., either from the Federal Reserve Bank website, yahoo finance or any other sources)for the same sample period as above (the sample period of 10/1/2011 10/1/2021) and do the following activities.
a. Compute the monthly rate of return and excess returns of the SP500.
b. Run six separate regressions using the monthly excess returns of the above six assets of your choice (i.e., Blackrock, Goldman Sachs, Morgan Stanley, Tesla, Google, Microsoft) (a) above) on the excess return of SP500 (i.e., from Q#2 (a)) to estimate a single-index model for each.
c. Then interpret your regression results. Which asset is highly sensitive to the market?
d. Calculate the total risk, systematic/market-wide risk, and their respective firm-specific risks using your data and regression results.
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