Solution-Estimate the market returns for the new york and

Estimate the company β (beta) for each of the companies in both your FTSE 100 and S&P 500 portfolios. Provide full details of your workings.

(a) Estimate the "market" returns for the New York and London Stock Exchanges using the S&P500 index for New York and FTSE100 index for London.

(b) Compare in each case the "market" and portfolio returns.

(c) Test the statistical significance and interpret the estimated βs (beta) and αs (alpha) for each of the assets in both portfolios.

(d) Test whether the Efficient Market Hypothesis holds for each market. Provide full details of your workings.

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