You will perform the estimation of beta using regressions. 1. Go to Yahoo! Finance and download the historical monthly, weekly and daily prices for Caterpillar Inc. (ticker symbol: CAT) between Jan. 2, 2014 and Dec 31, 2018. 2. Download the monthly, weekly and daily loadings for market premium (Rm-Rf), size premium (SMB), value premium (HML) and risk free rate (Rf) from Kenneth Frenchs website. 3. Estimate the coefficients of the three-factor model for Caterpillar Inc. with monthly, weekly and daily data using the regression technique.

Generate your regression outputs on three different data tabs, and rename your tabs as Reg_Monthly, Reg_Weekly and Reg_Daily respectively. On each of the regression output tab, do the following:

1. Highlight the cell that contains your estimation of the coefficients with color, and label them correctly as Rm-Rf, SMB, and HML. 2. Below the output table, type the resulting model (equation) generated by the regression. 3. Below the regression model that you type, also type your comments on which of the three factors have a significant effect on the return of CAT, and how do they affect CAT.

File Home Insert Page Layout Formulas Data Review View Automate Help E22 \begin{tabular}{c} \hline 1 \\ \hline 1 \\ \hline 3 \\ \hline 4 \\ \hline 5 \\ \hline 6 \\ \hline 7 \\ \hline 8 \\ \hline 9 \\ 10 \\ 11 \\ 12 \\ \hline 13 \\ 14 \\ 15 \\ \hline 16 \\ 17 \\ 18 \\ 19 \\ \hline \end{tabular} \begin{tabular}{c|c|c|} A & B & C \\ \hline Date & CAT Adjusted Closing & CAT Retun Rm-Rf \end{tabular} \begin{tabular}{l|l} \hline & \\ SMB \end{tabular} File Home Insert Page Layout Formulas Data Review View Automate Help E22 \begin{tabular}{c} \hline 1 \\ \hline 1 \\ \hline 3 \\ \hline 4 \\ \hline 5 \\ \hline 6 \\ \hline 7 \\ \hline 8 \\ \hline 9 \\ 10 \\ 11 \\ 12 \\ \hline 13 \\ 14 \\ 15 \\ \hline 16 \\ 17 \\ 18 \\ 19 \\ \hline \end{tabular} \begin{tabular}{c|c|c|} A & B & C \\ \hline Date & CAT Adjusted Closing & CAT Retun Rm-Rf \end{tabular} \begin{tabular}{l|l} \hline & \\ SMB \end{tabular}