The excel file Data2.xls (Attached) contains monthly returns for Disney (RET), from 1995 to 2005. The file also contains the monthly series of T-bill rates (RF), excess return on the market (MKTRF), and Fama-French factors SMB and HML. Estimate alphas and factor loadings for the following asset pricing models, and comment on your results: a. The CAPM model, using all the data in the series. b. The three-factor model, using all the data in the series. c. The three-factor model, using data until December 2000.

Note: copy to excel*

date	RET	MKTRF	SMB	HML	RF
Jan-95	0.10761	0.0162	-0.0294	0.0172	0.0042
Feb-95	0.04914	0.0356	-0.0035	0.0041	0.004
Mar-95	0.00234	0.0224	-0.0034	-0.0209	0.0046
Apr-95	0.03673	0.0206	-0.0044	0.0169	0.0044
May-95	0.00226	0.0286	-0.0227	0.0195	0.0054
Jun-95	0	0.0265	0.0304	-0.0297	0.0047
Jul-95	0.05793	0.0363	0.0222	-0.022	0.0045
Aug-95	-0.04051	0.0046	0.0181	0.019	0.0047
Sep-95	0.02	0.0321	-0.0201	-0.0101	0.0043
Oct-95	0.00593	-0.016	-0.0391	-0.001	0.0047
Nov-95	0.04338	0.0385	-0.0084	0.0033	0.0042
Dec-95	-0.01929	0.0103	0.0038	0.0129	0.0049
Jan-96	0.0913	0.0238	-0.0257	0.0043	0.0043
Feb-96	0.01946	0.0124	0.0207	-0.022	0.0039
Mar-96	-0.02481	0.007	0.0128	0.0128	0.0039
Apr-96	-0.02763	0.0209	0.0493	-0.039	0.0046
May-96	-0.02016	0.0226	0.0316	-0.0142	0.0042
Jun-96	0.03498	-0.0123	-0.0367	0.0203	0.004
Jul-96	-0.11356	-0.0583	-0.0357	0.0431	0.0045
Aug-96	0.02472	0.0284	0.0225	-0.0057	0.0041
Sep-96	0.10965	0.0486	-0.0082	-0.0379	0.0044
Oct-96	0.04324	0.0094	-0.041	0.048	0.0042
Nov-96	0.12144	0.0614	-0.0357	0.0015	0.0041
Dec-96	-0.05584	-0.016	0.0315	0.0095	0.0046
Jan-97	0.04638	0.0489	-0.0151	-0.0234	0.0045
Feb-97	0.01887	-0.0051	-0.0254	0.047	0.0039
Mar-97	-0.01852	-0.0491	-0.0029	0.0387	0.0043
Apr-97	0.1236	0.038	-0.0517	-0.0105	0.0043
May-97	0.00153	0.0667	0.0472	-0.0431	0.0049
Jun-97	-0.01985	0.0404	0.015	0.0065	0.0037
Jul-97	0.00866	0.0722	-0.0244	-0.0042	0.0043
Aug-97	-0.0495	-0.0403	0.0743	0.0106	0.0041
Sep-97	0.04963	0.0541	0.0268	-0.0023	0.0044
Oct-97	0.02335	-0.0387	-0.0085	0.0227	0.0042
Nov-97	0.1525	0.0266	-0.05	0.0094	0.0039
Dec-97	0.04279	0.0129	-0.0233	0.0379	0.0048
Jan-98	0.08088	0.0002	-0.0102	-0.0181	0.0043
Feb-98	0.04737	0.0693	0.0024	-0.0077	0.0039
Mar-98	-0.04634	0.0474	-0.0122	0.0163	0.0039
Apr-98	0.16834	0.0066	0.0044	0.0032	0.0043
May-98	-0.09082	-0.0297	-0.0357	0.0425	0.004
Jun-98	-0.0723	0.0279	-0.0325	-0.019	0.0041
Jul-98	-0.01516	-0.0272	-0.0485	-0.0119	0.004
Aug-98	-0.20327	-0.162	-0.0557	0.0511	0.0043
Sep-98	-0.07517	0.0593	-0.0018	-0.0377	0.0046
Oct-98	0.06365	0.0712	-0.0319	-0.0276	0.0032
Nov-98	0.1949	0.0589	0.0118	-0.035	0.0031
Dec-98	-0.06796	0.0593	-0.0025	-0.0482	0.0038
Jan-99	0.1	0.0349	0.0079	-0.0545	0.0035
Feb-99	0.06629	-0.0416	-0.0558	0.0165	0.0035
Mar-99	-0.11545	0.0338	-0.0376	-0.0295	0.0043
Apr-99	0.02008	0.0452	0.0307	0.025	0.0037
May-99	-0.08268	-0.0241	0.0366	0.0273	0.0034
Jun-99	0.05794	0.0471	0.0329	-0.0404	0.004
Jul-99	-0.10548	-0.0343	0.0223	0.0062	0.0038
Aug-99	0.0068	-0.0139	-0.0131	-0.0094	0.0039
Sep-99	-0.06306	-0.0265	0.0323	-0.0304	0.0039
Oct-99	0.01923	0.0582	-0.0667	-0.0326	0.0039
Nov-99	0.05981	0.0334	0.0753	-0.0776	0.0036
Dec-99	0.04933	0.0796	0.0681	-0.0909	0.0044
Jan-00	0.24145	-0.0437	0.0431	0	0.0041
Feb-00	-0.07745	0.0276	0.2183	-0.1265	0.0043
Mar-00	0.23134	0.0492	-0.1662	0.0793	0.0047
Apr-00	0.05	-0.0643	-0.0755	0.0921	0.0046
May-00	-0.03175	-0.044	-0.0474	0.0377	0.005
Jun-00	-0.07452	0.0476	0.1343	-0.0979	0.004
Jul-00	-0.00322	-0.022	-0.0271	0.0848	0.0048
Aug-00	0.00646	0.0713	-0.0096	-0.0128	0.005
Sep-00	-0.01766	-0.0565	-0.0173	0.068	0.0051
Oct-00	-0.06373	-0.0302	-0.0363	0.0511	0.0056
Nov-00	-0.19197	-0.1082	-0.0306	0.1245	0.0051
Dec-00	0.00726	0.0146	0.0163	0.0609	0.005
Jan-01	0.05227	0.0342	0.0678	-0.0573	0.0054
Feb-01	0.01642	-0.1033	-0.0116	0.1365	0.0039
Mar-01	-0.07593	-0.0746	0.0058	0.0625	0.0044
Apr-01	0.05769	0.0803	0.0022	-0.0447	0.0039
May-01	0.04529	0.0073	0.0293	0.0274	0.0032
Jun-01	-0.08634	-0.0201	0.0639	-0.0208	0.0028
Jul-01	-0.08792	-0.0212	-0.0419	0.0542	0.003
Aug-01	-0.03491	-0.0627	0.0211	0.0338	0.0031
Sep-01	-0.26779	-0.0944	-0.0643	0.0175	0.0028
Oct-01	-0.00161	0.0257	0.0683	-0.0703	0.0022
Nov-01	0.10113	0.0771	0.0039	0.0077	0.0017
Dec-01	0.02247	0.0164	0.0507	0.0038	0.0015
Jan-02	0.01641	-0.0173	0.0103	0.0357	0.0014
Feb-02	0.09212	-0.0234	-0.017	0.0398	0.0013
Mar-02	0.00348	0.0433	0.0431	0.0113	0.0013
Apr-02	0.00433	-0.0512	0.0579	0.0429	0.0015
May-02	-0.01165	-0.0123	-0.0367	0.0246	0.0014
Jun-02	-0.17503	-0.0718	0.0355	0.0163	0.0013
Jul-02	-0.0619	-0.0826	-0.0506	-0.0369	0.0015
Aug-02	-0.11562	0.0063	-0.0221	0.022	0.0014
Sep-02	-0.03444	-0.1012	0.0273	0.0119	0.0014
Oct-02	0.10304	0.0731	-0.0303	-0.0667	0.0014
Nov-02	0.18683	0.0601	0.0309	-0.0161	0.0012
Dec-02	-0.1665	-0.0545	-0.0049	0.0391	0.0011
Jan-03	0.07296	-0.0241	0.0138	-0.0082	0.001
Feb-03	-0.02514	-0.0161	-0.0033	-0.0156	0.0009
Mar-03	-0.00234	0.0093	0.0083	-0.0162	0.001
Apr-03	0.09636	0.0815	0.0116	0.0007	0.001
May-03	0.05305	0.0622	0.0469	0.0009	0.0009
Jun-03	0.00509	0.0154	0.0145	0.0055	0.001
Jul-03	0.10987	0.0223	0.0548	-0.0221	0.0007
Aug-03	-0.06478	0.0247	0.0254	0.0184	0.0007
Sep-03	-0.0161	-0.0101	0.0068	0.0098	0.0008
Oct-03	0.12246	0.0595	0.0285	0.0182	0.0007
Nov-03	0.01988	0.0158	0.0224	0.0128	0.0007
Dec-03	0.01949	0.0447	-0.0283	0.0279	0.0008
Jan-04	0.02872	0.0224	0.0262	0.015	0.0007
Feb-04	0.10542	0.0149	-0.0118	0.0038	0.0006
Mar-04	-0.05805	-0.0116	0.0182	0.0003	0.0009
Apr-04	-0.07843	-0.025	-0.025	-0.0173	0.0008
May-04	0.01911	0.0135	-0.0014	-0.0026	0.0006
Jun-04	0.08607	0.0208	0.0227	0.017	0.0008
Jul-04	-0.09415	-0.0387	-0.0375	0.0444	0.001
Aug-04	-0.02772	0.0016	-0.0145	0.0127	0.0011
Sep-04	0.00445	0.0195	0.0286	0.0049	0.0011
Oct-04	0.1184	0.0167	0.0054	-0.0098	0.0011
Nov-04	0.06582	0.0468	0.041	0.0196	0.0015
Dec-04	0.04315	0.0336	0.0018	-0.0032	0.0016
Jan-05	0.02986	-0.0282	-0.0165	0.0251	0.0016
Feb-05	-0.0241	0.0211	-0.0074	0.0281	0.0016
Mar-05	0.02827	-0.019	-0.0132	0.0172	0.0021
Apr-05	-0.0811	-0.0273	-0.0391	-0.0041	0.0021
May-05	0.03939	0.0353	0.0306	-0.0127	0.0024
Jun-05	-0.08236	0.0092	0.0255	0.0278	0.0023
Jul-05	0.01827	0.0409	0.0276	-0.0042	0.0024
Aug-05	-0.01755	-0.0089	-0.0097	0.0135	0.003
Sep-05	-0.04208	0.0077	-0.0076	0.011	0.0029
Oct-05	0.00995	-0.0235	-0.0099	-0.008	0.0027
Nov-05	0.02298	0.0373	0.0102	-0.0172	0.0031
Dec-05	-0.02768	0.0003	-0.005	0.0049	0.0032