Question the capital asset pricing model postulates a, Ask an Expert

Economics

Question: The Capital Asset Pricing Model postulates a relationship between the returns to a particular stock and the return on the market. Go to the Internet and obtain monthly stock price data for Microsoft, GE, IBM, Procter & Gamble, and the S&P 500:

a. Calculate the slope coefficient from a regression of the firms' return data on the S&P 500-that is, the "beta" for each company. (See Application Box 9.2.)

b. Which firm's stock is the most sensitive to changes in the market?

c. Would you expect the "beta" for a firm to be stable (i.e., unchanging over time)? Why or why not?

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Microeconomics, Economics

Category:- Microeconomics
Reference No.:- M93115954

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