You are told that Lands End, a catalog retailer, earned an excess return (Jensens alpha), in annualized terms, of 0.34 over the last 5 years and that it had a beta of 1.3 during the same period. Assuming that this estimate came from a quarterly regression of stock returns against a market return, and that the average annualized risk-free rate during the period was 0.042

Estimate the quarterly excess return.

Answer for part 1

Estimate the intercept on the regression.

Answer for part 2

Assuming that the standard error in the beta estimate is 0.35, provide the lower bound for the raw beta estimate, in a 67% confidence interval.

Answer for part 3

Assuming that the standard error in the beta estimate is 0.35, provide the upper bound for the raw beta estimate, in a 67% confidence interval.