You will use 25 companies' weekly data and these companies should be from at least three sectors of the constituent stocks in Hang Seng Index. Consider two sample periods: (1) Jan 2005 - Dec 2007 and (2) Jan 2009 - Dec 2019. The required stock data can be downloaded from Yahoo finance:http://hk.finance.yahoo.com/. You should also use Hang Seng Index and Exchange Fund Bill to proxy expected market return and risk-free return respectively. Make sure that your choice of companies and sectors would capture high market capitalisation.

Deliverable:

Excel file for tasks 1, 2 and 3

***(Q4)Based on your results in task (3) and the paper "CAPM: an absurd model", give your comments on the validity of CAPM. You may also justify your comments using materials from other sources.