What are the answers to A, B and C ?

10-31 Spreadsheet Problem As discussed in the text, beta estimates for one firm will vary depending on various Page 312 factors such as the time over which the estimation is conducted, the market portfolio proxy, and the return intervals. You will demonstrate this variation using returns for Microsoft. 2. Using all 45 monthly returns for Microsoft and the two stock market indexes, compute Microsoft's beta using the S&P 500 Index as the market proxy. Then compute the beta using the NASDAQ index as the market portfolio proxy. Compare the two beta estimates. b. Now estimate the beta using only the most recent 30 monthly returns and the S&P 500 Index. Compare the beta estimate to the estimate in part (a) when using the S&P 500 Index and all 45 monthly returns. c. Estimate Microsoft's beta using the following quarterly returns. Compare the estimate to the ones from parts (2) and (b). J K L MSFT S&P500 NASDAQ 5.64 -3.13% -1.01% B D E F G H I 1 Date MSFT S&P500 NASDAQ Date MSFT S&P500 NASDAQ Date 2 Jan 2016 -6.98% -0.41% -1.21% Oct 2014 2.47% 2.45% 3.47% Jul 2013 3 Dec 2015 -0.70 -5.07 -7.86 Sep 2014 1.27 2.32 3.06 Jun 2013 4 Nov 2015 2.08 -1.75 -1.98 Aug 2014 2.05 -1.55 -1.90 May 2013 5 Oct 2015 3.94 0.05 1.09 Jul 2014 5.92 3.77 4.82 -7.82 4.95 6.56 -1.03 -1.50 -1.52 Apr 2013 6.18 2.08 3.82 8.30 9.38 Jun 2014 3.50 -1.51 -0.87 15.69 1.81% 1.88% -2.54 -3.27 May 2014 1.86 1.91 3.90 Mar 2013 Feb 2013 Jan 2013 2.91 3.60 3.40 6 Sep 2015 18.93 7 Aug 2015 1.70 8 Jul 2015 -5.19 Jun 2015 5.78 -6.26 -6.86 Apr 2014 2.05 2.10 3.11 2.11 1.11 8 9 0.57 1.97 2.84 Mar 2014 0.62% -2.01 Dec 2012 2.77 5.04 4.06 1.44 -2.10 -1.64 0.69 -2.53 Nov 2012 0.34 0.71 0.31 10 May 2015 -5.78 11 Apr 2015 -3.03 12 Mar 2015 19.63 Feb 2014 7.00 Jan 2014 2.00 1.05 2.60 4.31 4.98 Oct 2012 -5.96 0.28 1.11 0.85 0.83 Dec 2013 1.15 -3.56 -1.74 -4.10 -1.98 -4.45 Sep 2012 Aug 2012 13 Feb 2015 -7.27 -1.74 -1.26 Nov 2013 2.36 2.87 -3.44 2.42 1.61 1.89 14 Jan 2015 9.31 5.49 7.08 Oct 2013 8.50 2.80 3.58 Jul 2012 5.27 1.98 4.34 15 Dec 2014 -3.10 -2.13 Sep 2013 6.40 4.46 3.93 Jun 2012 -3.66 1.26 0.15 13.02 16 Nov 2014 -2.84 -0.42 -1.16 Aug 2013 2.97 5.06 May 2012 4.80 3.96 3.81 0.36 A B 1 Date MSFT S&P500 2 25.31% 1.05% 3 0.91 -6.94 4 9.29 -0.23 S Q4 2015 Q3 2015 Q2 2015 Q1 2015 Q4 2014 Q3 2014 Q2 2014 -11.84 0.44 6 0.83 4.39 7 11.87 0.62 8 2.45 4.69 9 Q1 2014 10.39 1.30 10 Q4 2013 13.26 9.92 11 -2.97 4.69 12 Q3 2013 Q2 2013 Q1 2013 13.02 1.93 13 8.00 10.03 14 Q4 2012 -9.51 -1.01 15 -2.07 5.76 Q3 2012 Q2 2012 16 -4.55 -3.29 10-31 Spreadsheet Problem As discussed in the text, beta estimates for one firm will vary depending on various Page 312 factors such as the time over which the estimation is conducted, the market portfolio proxy, and the return intervals. You will demonstrate this variation using returns for Microsoft. 2. Using all 45 monthly returns for Microsoft and the two stock market indexes, compute Microsoft's beta using the S&P 500 Index as the market proxy. Then compute the beta using the NASDAQ index as the market portfolio proxy. Compare the two beta estimates. b. Now estimate the beta using only the most recent 30 monthly returns and the S&P 500 Index. Compare the beta estimate to the estimate in part (a) when using the S&P 500 Index and all 45 monthly returns. c. Estimate Microsoft's beta using the following quarterly returns. Compare the estimate to the ones from parts (2) and (b). J K L MSFT S&P500 NASDAQ 5.64 -3.13% -1.01% B D E F G H I 1 Date MSFT S&P500 NASDAQ Date MSFT S&P500 NASDAQ Date 2 Jan 2016 -6.98% -0.41% -1.21% Oct 2014 2.47% 2.45% 3.47% Jul 2013 3 Dec 2015 -0.70 -5.07 -7.86 Sep 2014 1.27 2.32 3.06 Jun 2013 4 Nov 2015 2.08 -1.75 -1.98 Aug 2014 2.05 -1.55 -1.90 May 2013 5 Oct 2015 3.94 0.05 1.09 Jul 2014 5.92 3.77 4.82 -7.82 4.95 6.56 -1.03 -1.50 -1.52 Apr 2013 6.18 2.08 3.82 8.30 9.38 Jun 2014 3.50 -1.51 -0.87 15.69 1.81% 1.88% -2.54 -3.27 May 2014 1.86 1.91 3.90 Mar 2013 Feb 2013 Jan 2013 2.91 3.60 3.40 6 Sep 2015 18.93 7 Aug 2015 1.70 8 Jul 2015 -5.19 Jun 2015 5.78 -6.26 -6.86 Apr 2014 2.05 2.10 3.11 2.11 1.11 8 9 0.57 1.97 2.84 Mar 2014 0.62% -2.01 Dec 2012 2.77 5.04 4.06 1.44 -2.10 -1.64 0.69 -2.53 Nov 2012 0.34 0.71 0.31 10 May 2015 -5.78 11 Apr 2015 -3.03 12 Mar 2015 19.63 Feb 2014 7.00 Jan 2014 2.00 1.05 2.60 4.31 4.98 Oct 2012 -5.96 0.28 1.11 0.85 0.83 Dec 2013 1.15 -3.56 -1.74 -4.10 -1.98 -4.45 Sep 2012 Aug 2012 13 Feb 2015 -7.27 -1.74 -1.26 Nov 2013 2.36 2.87 -3.44 2.42 1.61 1.89 14 Jan 2015 9.31 5.49 7.08 Oct 2013 8.50 2.80 3.58 Jul 2012 5.27 1.98 4.34 15 Dec 2014 -3.10 -2.13 Sep 2013 6.40 4.46 3.93 Jun 2012 -3.66 1.26 0.15 13.02 16 Nov 2014 -2.84 -0.42 -1.16 Aug 2013 2.97 5.06 May 2012 4.80 3.96 3.81 0.36 A B 1 Date MSFT S&P500 2 25.31% 1.05% 3 0.91 -6.94 4 9.29 -0.23 S Q4 2015 Q3 2015 Q2 2015 Q1 2015 Q4 2014 Q3 2014 Q2 2014 -11.84 0.44 6 0.83 4.39 7 11.87 0.62 8 2.45 4.69 9 Q1 2014 10.39 1.30 10 Q4 2013 13.26 9.92 11 -2.97 4.69 12 Q3 2013 Q2 2013 Q1 2013 13.02 1.93 13 8.00 10.03 14 Q4 2012 -9.51 -1.01 15 -2.07 5.76 Q3 2012 Q2 2012 16 -4.55 -3.29