Least Squares Estimate of Beta Academic Essay

Paper detailsQuestion 1Least Squares Estimate of BetaFrom the list of companies in the file 4fg32016.xls,choose one industry that you think is highly risky andanother industry that you think is relatively safe.Divide your sample into three periods: Jan 2006 Dec 2008, Jan. 2009 Dec.2011 and Jan. 2012 Dec. 2014 time intervals and choose one of the threeperiods with which you will work.A) Using your computer regression software, theobservations that you have chosen and equation 2.1(see page 3), estimate by ordinary least squares theparameters of ?¤ and ?? of one firm in each of thesetwo industries. Do the estimates of beta correspondwell with your prior intuition or beliefs? Why or whynot?B) For one of these companies, make a time plot ofthe historical company risk premium, the risk premiumpredicted by the regression model, and the associatedresiduals. Are there any episodes or dates thatappear to correspond with unusually large residuals?If so, attempt to interpret them.C) For each of the companies, test the null hypothesisthat ?¤ = 0 against the alternative hypotheses that?¤ ? 0, using a significance level of 95%. Wouldrejection of the null hypotheses imply that CAPM hasbeen invalidated? Why or why not?D) For each company, construct a 95% confidenceinterval for ?? . Then test the null hypotheses that thecompanys risk is the same as the average risk over PLACE THIS ORDER OR A SIMILAR ORDER WITH US TODAY AND GET AN AMAZING DISCOUNT

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