Solution to Exercise Set 1 - Columbia University

Collect data (monthly returns of GM, S&P 500 index monthly returns, and monthly T-bill rates from January 1999 to December 2003, 60 observations) Calculate Excess returns of GM and S&P 500 (R = r - rf) Run the regression: Look for slope = 1.24. Then use CAPM to estimate the expected return of GM: ................
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