Coefficient in terms of magnitude-statistical significance

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Reference no: EM131498530

Use Yahoo Finance (finance.yahoo.com) to download the historical prices for Caterpillar (CAT) and (SPY). Download adjusted closing prices at a daily frequency for the period from 3/9/2015 to 3/9/2017. For the purposes of this assignment and given the recent interest rate environment, you may assume a riskfree rate of 0% when running the regression. However, note that this will not always be the case, and normally we would subtract the risk-free rate from each return. Please staple your regression output (reduced to one single printed page) to this document to turn in.

1. Use a CAPM single-index framework to find the beta for CAT. What information does this beta provide you as an investor? Interpret the coefficient in terms of both magnitude and statistical significance.

Reference no: EM131498530

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