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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
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 |
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