Reference no: EM133107871 , Length: word count:1500
FINA 1007 Research Methods
CAPM theory
You will useone market index and 12 companies' daily data and these companies should be from at least threedifferent sectors. The sample period should be the latest 2 years in length (for example, from Jan 2018 to Jan 2020). The required data can be downloaded from Yahoo finance:
Data collection for twelve companies
Considering three different sectors
Collecting Risk-free rate
Task 1: Using data for the entire sample period, run a time-series regression for each of the selected companies. Specifically, regress each company excess return onto a constant and a market excess return. Verify, in each case, there exists a significant beta.
Task 2: Report the t-statistic for alpha and the R-squared for each company.
Task 3: Discuss your results and the merits and demerits of CAPM analysis.
Task 4: Discuss whether your results are sensitive to sector characteristics.
Attachment:- Statistical Coursework.rar
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