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Run three regressions of the sixty monthly returns on the stock minus the monthly return on the risk-free rate against the market risk premiums (monthly
- Run three regressions of the sixty monthly returns on the stock minus the monthly return on the risk-free rate against the market risk premiums (monthly returns on the S&P 500 Index the monthly risk-free rate). Show all the results.
- The three Regressions are conducted as follows: (The monthly return on stock i, in period t) (The monthly risk-free rate in month t) = Alpha + Beta[(Monthly returns in period t) on the S&P 500 Index The corresponding risk-free rate in month t] + an error term epsilon (in month t)
The stock is Tesla I am providing all returns on the stock and on the monthly risk- free rate as follows: Monthly returns from August 31, 2018 August 31, 2023
returns on stock
- September 2018: -21.27%
- October 2018: 8.59%
- November 2018: -6.11%
- December 2018: -10.57%
- January 2019: 3.52%
- February 2019: 21.47%
- March 2019: -14.69%
- April 2019: 1.74%
- May 2019: -14.80%
- June 2019: -3.87%
- July 2019: 7.30%
- August 2019: 3.61%
- September 2019: -8.73%
- October 2019: 4.22%
- November 2019: 10.20%
- December 2019: 56.68%
- January 2020: 145.33%
- February 2020: -11.87%
- March 2020: -43.33%
- April 2020: -21.92%
- May 2020: -16.21%
- June 2020: -13.87%
- July 2020: -24.67%
- August 2020: 75.14%
- September 2020 (adjusted for the stock split): -66.59%
- October 2020: -24.97%
- November 2020: 47.74%
- December 2020: 47.44%
- January 2021: 20.06%
- February 2021: -12.13%
- March 2021: -6.24%
- April 2021: 15.12%
- May 2021: -12.29%
- June 2021: -2.06%
- July 2021: 2.59%
- August 2021: 7.07%
- September 2021: 5.40%
- October 2021: 43.64%
- November 2021: 2.77%
- December 2021: -7.68%
- January 2022: -11.35%
- February 2022: -7.08%
- March 2022: 23.79%
- April 2022: -19.21%
- May 2022: -12.92%
- June 2022: -11.20%
- July 2022: 32.39%
- August 2022: -7.24%
- September 2022: -3.74%
- October 2022: -14.20%
- November 2022: -14.42%
- December 2022: -36.69%
- January 2023: 40.61%
- February 2023: 18.74%
- March 2023: 0.85%
- April 2023: -20.80%
- May 2023: 24.12%
- June 2023: 28.47%
- July 2023: 2.16%
- August 2023: -3.50%
Monthly risk-free rates on 30-year T- Bonds
- 9/1/2018: 3.197%
- 10/1/2018: 3.402%
- 11/1/2018: 3.311%
- 12/1/2018: 3.02%
- 1/1/2019: 3.005%
- 2/1/2019: 3.083%
- 3/1/2019: 2.822%
- 4/1/2019: 2.94%
- 5/1/2019: 2.583%
- 6/1/2019: 2.528%
- 7/1/2019: 2.527%
- 8/1/2019: 1.97%
- 9/1/2019: 2.121%
- 10/1/2019: 2.176%
- 11/1/2019: 2.202%
- 12/1/2019: 2.389%
- 1/1/2020: 2.015%
- 2/1/2020: 1.671%
- 3/1/2020: 1.351%
- 4/1/2020: 1.266%
- 5/1/2020: 1.407%
- 6/1/2020: 1.409%
- 7/1/2020: 1.198%
- 8/1/2020: 1.452%
- 9/1/2020: 1.451%
- 10/1/2020: 1.64%
- 11/1/2020: 1.573%
- 12/1/2020: 1.646%
- 1/1/2021: 1.858%
- 2/1/2021: 2.182%
- 3/1/2021: 2.425%
- 4/1/2021: 2.301%
- 5/1/2021: 2.263%
- 6/1/2021: 2.065%
- 7/1/2021: 1.897%
- 8/1/2021: 1.927%
- 9/1/2021: 2.092%
- 10/1/2021: 1.942%
- 11/1/2021: 1.787%
- 12/1/2021: 1.905%
- 1/1/2022: 2.098%
- 2/1/2022: 2.182%
- 3/1/2022: 2.448%
- 4/1/2022: 2.947%
- 5/1/2022: 3.057%
- 6/1/2022: 3.119%
- 7/1/2022: 2.974%
- 8/1/2022: 3.255%
- 9/1/2022: 3.765%
- 10/1/2022: 4.204%
- 11/1/2022: 3.822%
- 12/1/2022: 3.975%
- 1/1/2023: 3.661%
- 2/1/2023: 3.931%
- 3/1/2023: 3.689%
- 4/1/2023: 3.678%
- 5/1/2023: 3.856%
- 6/1/2023: 3.855%
- 7/1/2023: 4.019%
- 8/1/2023: 4.204%
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