You have each been assigned two stocks in the list below. You will be using the daily Fama-French factors and risk-free rates provided in the following file (through 4/30/2021): Microsoft and Johnson and Johnson

1. Generate 36 months (3 years) of daily returns for each of your assigned stocks ending on April 30, 2021. If you find that your stock has fewer than 36 months of returns, contact me for a replacement.

1. Calculate the mean daily returns and annualized standard deviations of returns for the entire three-year period.

1. Calculate the daily returns in excess of the risk-free rate (R_i-R_f) using the risk-free rates from the Fama-French file (column 5).

1. Regress these values on the markets excess returns in the Fama-French file (column 2) and find each stocks market beta. Use the full three years of data when possible.

1. Using the daily Fama-French factor returns in columns 2 through 4 of the data file, estimate the Fama-French 3-factor model estimates for your stocks using only the first 33 months of data. Excel can be used to estimate multiple regressions very easily.

1. Using the factor estimates you have estimated, calculate the daily abnormal returns of your stocks in February 2021, March 2021, and April 2021.

1. Report the cumulative abnormal returns for this entire three-month period.

Stock Microsoft Average Daily Returr 0.12428 Standard Deviaton 0.22742 Dates SMB HML Percent Change Risk Free Rate 0.019 0.0102 -0.016 -0.0246 0.012 0.0029 -0.28 -0.08 -0.35 0.03 0.15 0.56 -0.15 0.020 0.0107 0.011 0.0020 0.000 -0.0094 0.010 0.0007 0.005 -0.0044 0.54 -0.23 -0.001 -0.0100 -0.24 -0.32 0.27 -0.59 -0.36 0.44 -0.50 0.03 -0.26 0.09 0.54 0.01 0.43 6.01 -0.23 "0.21 -0.30 0.08 6.44 -0.48 0.001 -0.0079 0.001 -0.0082 -0.30 -0.57 -0.002 -0.0112 -0.63 -0.006 -0.0150 0.004 -0.0054 0.006 -0.0028 -0.002 Mkt-RF 7/1/1926 19260701 6.10 7/2/1926 19260702 0.45 7/6/1926 19260706 0.17 7/7/1926 19260707 0.09 7/8/1926 19260708 0.21 7/9/1926 19260709 0.71 7/10/1926 19260710 0.62 7/12/1926 19260712 0.04 7/13/1926 19260713 0.48 7/14/1926 19260714 0.04 7/15/1926 19260715 -0.43 7/16/1926 19260716 0.53 7/17/1926 19260717 0.34 7/19/1926 19260719 -0.01 7/20/1926 19260720-0.57 7/21/1926 19260721 -0.60 7/22/1926 19260722 -0.73 7/23/1926 19260723 -0.02 7/24/1926 19260724 -0.14 7/26/1926 19260726 0.53 7/27/1926 19260727 0.43 7/28/1926 19260728 1.09 7/29/1926 19260729 0.36 7/30/1926 19260730 6.14 7/31/1926 19260731 6.46 8/2/1926 19260802 0.84 8/3/1926 19260803 0.47 8/4/1926 19260804 -0.36 8/5/1926 19260805 -0.09 8/6/1926 19260806 0.68 8/7/1926 19260807 0.46 8/9/1926 19260809 0.21 8/10/1926 19260810 -1.40 -0.0108 -0.49 0.16 6.31 -0.17 0.06 -0.06 RF 0.009 0.009 0.009 6.009 0.009 0.009 0.009 0.009 0.009 0.009 0.009 0.009 0.009 6.009 0.009 0.009 0.009 0.009 0.009 0.009 0.009 0.009 0.009 0.009 0.009 0.010 0.010 0.010 0.010 0.010 0.010 0.010 0.010 Open Close $ 93.21 $ 95.00 $ 94.99 $ 93.51 $ 92.96 $ 94.07 $ 93.32 $ 95.16 $ 95.17 $ 96.22 $ 95.85 $ 95.81 $ 96.01 $ 96.94 $ 97.46 $ 97.91 $ 97.80 $ 97.70 $ 97.92 $ 98.03 $ 97.24 $ 97.32 $ 97.36 $ 97.15 $ 96.76 $ 96.18 $ 96.01 $ 96.36 $ 97.00 $ 97.60 $ 97.68 $ 97.50 $ 96.71 $ 98.66 $ 98.73 $ 98.31 $ 98.30 $ 98.36 $ 97.84 $ 98.01 $ 98.31 $ 98.95 $ 99.29 $ 98.84 $ 99.28 $ 100.79 $ 101.26 $ 101.67 $ 102.00 $ 102.19 $ 102.48 $ 102.49 $ 102.65 $ 100.88 $ 101.09 $ 101.63 $ 101.37 $ 101.05 $ 101.10 $ 101.31 $ 101.72 $ 100.85 $ 101.65 $ 101.42 $ 101.51 $ 100.13 0.020 0.0112 -0.004 -0.0132 0.001 -0.0084 -0.38 -0.25 0.002 -0.0073 0.007 -0.0025 -0.005 -0.0135 0.015 0.0062 0.26 -0.28 - 1.01 0.55 -0.17 -0.03 -0.60 0.004 -0.0050 0.002 -0.0071 0.000 -0.45 0.04 -0.61 -0.47 -0.12 -0.22 -0.27 0.16 0.01 6.08 0.08 -0.04 0.34 -0.0099 -0.017 -0.0272 0.25 0.005 -0.0047 -0.003 -0.0132 0.002 -0.0079 0.73 0.16 -0.24 -0.26 0.21 -0.009 -0.0186 -0.002 -0.0123 -0.014 -0.0236 1411240000011 57 21 20 1001 10025 nnnn 1 Stock Microsoft Average Daily Returr 0.12428 Standard Deviaton 0.22742 Dates SMB HML Percent Change Risk Free Rate 0.019 0.0102 -0.016 -0.0246 0.012 0.0029 -0.28 -0.08 -0.35 0.03 0.15 0.56 -0.15 0.020 0.0107 0.011 0.0020 0.000 -0.0094 0.010 0.0007 0.005 -0.0044 0.54 -0.23 -0.001 -0.0100 -0.24 -0.32 0.27 -0.59 -0.36 0.44 -0.50 0.03 -0.26 0.09 0.54 0.01 0.43 6.01 -0.23 "0.21 -0.30 0.08 6.44 -0.48 0.001 -0.0079 0.001 -0.0082 -0.30 -0.57 -0.002 -0.0112 -0.63 -0.006 -0.0150 0.004 -0.0054 0.006 -0.0028 -0.002 Mkt-RF 7/1/1926 19260701 6.10 7/2/1926 19260702 0.45 7/6/1926 19260706 0.17 7/7/1926 19260707 0.09 7/8/1926 19260708 0.21 7/9/1926 19260709 0.71 7/10/1926 19260710 0.62 7/12/1926 19260712 0.04 7/13/1926 19260713 0.48 7/14/1926 19260714 0.04 7/15/1926 19260715 -0.43 7/16/1926 19260716 0.53 7/17/1926 19260717 0.34 7/19/1926 19260719 -0.01 7/20/1926 19260720-0.57 7/21/1926 19260721 -0.60 7/22/1926 19260722 -0.73 7/23/1926 19260723 -0.02 7/24/1926 19260724 -0.14 7/26/1926 19260726 0.53 7/27/1926 19260727 0.43 7/28/1926 19260728 1.09 7/29/1926 19260729 0.36 7/30/1926 19260730 6.14 7/31/1926 19260731 6.46 8/2/1926 19260802 0.84 8/3/1926 19260803 0.47 8/4/1926 19260804 -0.36 8/5/1926 19260805 -0.09 8/6/1926 19260806 0.68 8/7/1926 19260807 0.46 8/9/1926 19260809 0.21 8/10/1926 19260810 -1.40 -0.0108 -0.49 0.16 6.31 -0.17 0.06 -0.06 RF 0.009 0.009 0.009 6.009 0.009 0.009 0.009 0.009 0.009 0.009 0.009 0.009 0.009 6.009 0.009 0.009 0.009 0.009 0.009 0.009 0.009 0.009 0.009 0.009 0.009 0.010 0.010 0.010 0.010 0.010 0.010 0.010 0.010 Open Close $ 93.21 $ 95.00 $ 94.99 $ 93.51 $ 92.96 $ 94.07 $ 93.32 $ 95.16 $ 95.17 $ 96.22 $ 95.85 $ 95.81 $ 96.01 $ 96.94 $ 97.46 $ 97.91 $ 97.80 $ 97.70 $ 97.92 $ 98.03 $ 97.24 $ 97.32 $ 97.36 $ 97.15 $ 96.76 $ 96.18 $ 96.01 $ 96.36 $ 97.00 $ 97.60 $ 97.68 $ 97.50 $ 96.71 $ 98.66 $ 98.73 $ 98.31 $ 98.30 $ 98.36 $ 97.84 $ 98.01 $ 98.31 $ 98.95 $ 99.29 $ 98.84 $ 99.28 $ 100.79 $ 101.26 $ 101.67 $ 102.00 $ 102.19 $ 102.48 $ 102.49 $ 102.65 $ 100.88 $ 101.09 $ 101.63 $ 101.37 $ 101.05 $ 101.10 $ 101.31 $ 101.72 $ 100.85 $ 101.65 $ 101.42 $ 101.51 $ 100.13 0.020 0.0112 -0.004 -0.0132 0.001 -0.0084 -0.38 -0.25 0.002 -0.0073 0.007 -0.0025 -0.005 -0.0135 0.015 0.0062 0.26 -0.28 - 1.01 0.55 -0.17 -0.03 -0.60 0.004 -0.0050 0.002 -0.0071 0.000 -0.45 0.04 -0.61 -0.47 -0.12 -0.22 -0.27 0.16 0.01 6.08 0.08 -0.04 0.34 -0.0099 -0.017 -0.0272 0.25 0.005 -0.0047 -0.003 -0.0132 0.002 -0.0079 0.73 0.16 -0.24 -0.26 0.21 -0.009 -0.0186 -0.002 -0.0123 -0.014 -0.0236 1411240000011 57 21 20 1001 10025 nnnn 1