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(Adj. Close) (Adj. Close) (%, APR) Stock return Excess Return
1/1/2010 18.44 1073.87 0.02 HP Market Index HP Market Index
2/1/2010 19.90 1104.49 0.06 0.079 0.029 0.079 0.028
3/1/2010 20.85 1169.43 0.11 0.048 0.059 0.048 0.059
4/1/2010 20.39 1186.69 0.15 -0.022 0.015 -0.022 0.015
5/1/2010 18.05 1089.41 0.15 -0.115 -0.082 -0.115 -0.082
6/1/2010 17.01 1030.71 0.08 -0.058 -0.054 -0.058 -0.054
7/1/2010 18.09 1101.60 0.16 0.064 0.069 0.064 0.069
8/1/2010 15.11 1049.33 0.15 -0.165 -0.047 -0.165 -0.048
9/1/2010 16.57 1141.20 0.12 0.096 0.088 0.096 0.087
10/1/2010 16.56 1183.26 0.14 -0.001 0.037 -0.001 0.037
11/1/2010 16.51 1180.55 0.13 -0.003 -0.002 -0.003 -0.002
12/1/2010 16.61 1257.64 0.08 0.006 0.065 0.006 0.065
1/1/2011 18.03 1286.12 0.14 0.085 0.023 0.085 0.023
2/1/2011 17.22 1327.22 0.11 -0.045 0.032 -0.045 0.032
3/1/2011 16.20 1325.83 0.06 -0.059 -0.001 -0.059 -0.001
4/1/2011 15.96 1363.61 0.03 -0.015 0.028 -0.015 0.028
5/1/2011 14.78 1345.20 0.02 -0.074 -0.014 -0.074 -0.014
6/1/2011 14.44 1320.64 0.02 -0.023 -0.018 -0.023 -0.018
7/1/2011 13.95 1292.28 0.04 -0.034 -0.021 -0.034 -0.021
8/1/2011 10.33 1218.89 0.02 -0.260 -0.057 -0.260 -0.057
9/1/2011 8.95 1131.42 0.00 -0.133 -0.072 -0.133 -0.072
10/1/2011 10.61 1253.30 0.01 0.185 0.108 0.185 0.108
11/1/2011 11.15 1246.96 0.01 0.050 -0.005 0.050 -0.005
12/1/2011 10.32 1257.60 0.00 -0.074 0.009 -0.074 0.009
1/1/2012 11.21 1312.41 0.02 0.086 0.044 0.086 0.044
2/1/2012 10.14 1365.68 0.06 -0.095 0.041 -0.095 0.041
3/1/2012 9.59 1408.47 0.06 -0.054 0.031 -0.054 0.031
4/1/2012 9.97 1397.91 0.07 0.039 -0.007 0.039 -0.008
5/1/2012 9.13 1310.33 0.07 -0.084 -0.063 -0.084 -0.063
6/1/2012 8.14 1362.16 0.05 -0.108 0.040 -0.108 0.039
7/1/2012 7.39 1379.32 0.07 -0.093 0.013 -0.093 0.013
8/1/2012 6.84 1406.58 0.09 -0.075 0.020 -0.075 0.020
9/1/2012 6.96 1440.67 0.07 0.018 0.024 0.018 0.024
10/1/2012 5.65 1412.16 0.11 -0.188 -0.020 -0.188 -0.020
11/1/2012 5.30 1416.18 0.13 -0.062 0.003 -0.062 0.003
12/1/2012 5.87 1426.19 0.04 0.107 0.007 0.107 0.007
1/1/2013 6.80 1498.11 0.05 0.159 0.050 0.159 0.050
2/1/2013 8.30 1514.68 0.08 0.220 0.011 0.220 0.011
3/1/2013 9.88 1569.19 0.08 0.191 0.036 0.191 0.036
4/1/2013 8.54 1597.57 0.05 -0.136 0.018 -0.136 0.018
5/1/2013 10.12 1630.74 0.02 0.185 0.021 0.185 0.021
6/1/2013 10.34 1606.28 0.03 0.022 -0.015 0.022 -0.015
7/1/2013 10.71 1685.73 0.02 0.035 0.049 0.035 0.049
8/1/2013 9.31 1632.97 0.04 -0.130 -0.031 -0.130 -0.031
9/1/2013 8.81 1681.55 0.02 -0.054 0.030 -0.054 0.030
10/1/2013 10.23 1756.54 0.11 0.161 0.045 0.161 0.045
11/1/2013 11.48 1805.81 0.05 0.122 0.028 0.122 0.028
12/1/2013 11.80 1848.36 0.02 0.028 0.024 0.028 0.024
1/1/2014 12.23 1782.59 0.02 0.036 -0.036 0.036 -0.036
2/1/2014 12.61 1859.45 0.05 0.030 0.043 0.030 0.043
3/1/2014 13.72 1872.34 0.05 0.088 0.007 0.088 0.007
4/1/2014 14.01 1883.95 0.02 0.022 0.006 0.022 0.006
5/1/2014 14.20 1923.57 0.03 0.013 0.021 0.013 0.021
6/1/2014 14.34 1960.23 0.02 0.010 0.019 0.010 0.019
7/1/2014 15.17 1930.67 0.02 0.057 -0.015 0.057 -0.015
8/1/2014 16.18 2003.37 0.03 0.067 0.038 0.067 0.038
9/1/2014 15.17 1972.29 0.01 -0.063 -0.016 -0.063 -0.016
10/1/2014 15.35 2018.05 0.02 0.012 0.023 0.012 0.023
11/1/2014 16.71 2067.56 0.04 0.089 0.025 0.089 0.025
12/1/2014 17.23 2058.90 0.03 0.032 -0.004 0.032 -0.004
1/1/2015 15.52 1994.99 0.02 -0.100 -0.031 -0.100 -0.031
Notes:
1. In US market, we use 4-week T-bill rate to proxy for risk-free rate. You may change APR to monthly risk-free r
In portfolio theory, risk-free rate is assumed to be constant. In empirical data analysis, we use one-period lagge
rate (previous month rate).
2. The downloaded monthly data are adjusted close prices at the beginning of each month. Take HP stock price
on 1/1/2010 (P0) and 2/1/2010 (P1) for example. (P1-P0)/P0-1 calculates the monthly return of HP stock in Jan
3. Since the adjusted close prices have adjusted for dividend payment, stock split. There is no need to consider
payment when calculating returns.
3. The first graph is generated by using "Scatter" plot. A linear trend (OLS regression line) is added to the scatte
4. The second graph is generated by using "line". HP and market excess returns are plotted with time trend.
5. Single-index model for HP stock is estimated by OLS regression. Go to Data => Data Analysis Tool => Regressi
to generate the results.
0.200
HP stock excess returns
0.000
-0.120 -0.070 -0.020 0.030 0.080
Market Index exc
-0.100
-0.200
-0.300
0.200
0.100
0.000
2/1/2010 9/1/2010 4/1/2011 11/1/2011 6/1/2012 1/1/2013 8/1/2013 3/1/2014
-0.100
-0.200
-0.300
HP stock returns S&P500 index returns
nge APR to monthly risk-free rate using APR/12.
lysis, we use one-period lagged T-bill
ession
48555
0.030 0.080
Market Index excess returns
Excess Returns)
&P 500
0 index returns
SUMMARY OUTPUT
Regression Statistics
Multiple R 0.5754542988
R Square 0.33114765
Adjusted R Square 0.3196157129
Standard Error 0.0822291729
Observations 60
ANOVA
df SS MS F Significance F
Regression 1 0.1941651389 0.1941651 28.7157004 1.5112364E-06
Residual 58 0.3921749391 0.0067616
Total 59 0.5863400781
RESIDUAL OUTPUT
TB4WK 4-Week Treasury Bill: Secondary Market Rate, Percent, Monthly, Not Seasonally Adjusted
Frequency: Monthly
observation_date TB4WK
2010-01-01 0.02
2010-02-01 0.06
2010-03-01 0.11
2010-04-01 0.15
2010-05-01 0.15
2010-06-01 0.08
2010-07-01 0.16
2010-08-01 0.15
2010-09-01 0.12
2010-10-01 0.14
2010-11-01 0.13
2010-12-01 0.08
2011-01-01 0.14
2011-02-01 0.11
2011-03-01 0.06
2011-04-01 0.03
2011-05-01 0.02
2011-06-01 0.02
2011-07-01 0.04
2011-08-01 0.02
2011-09-01 0.00
2011-10-01 0.01
2011-11-01 0.01
2011-12-01 0.00
2012-01-01 0.02
2012-02-01 0.06
2012-03-01 0.06
2012-04-01 0.07
2012-05-01 0.07
2012-06-01 0.05
2012-07-01 0.07
2012-08-01 0.09
2012-09-01 0.07
2012-10-01 0.11
2012-11-01 0.13
2012-12-01 0.04
2013-01-01 0.05
2013-02-01 0.08
2013-03-01 0.08
2013-04-01 0.05
2013-05-01 0.02
2013-06-01 0.03
2013-07-01 0.02
2013-08-01 0.04
2013-09-01 0.02
2013-10-01 0.11
2013-11-01 0.05
2013-12-01 0.02
2014-01-01 0.02
2014-02-01 0.05
2014-03-01 0.05
2014-04-01 0.02
2014-05-01 0.03
2014-06-01 0.02
2014-07-01 0.02
2014-08-01 0.03
2014-09-01 0.01
2014-10-01 0.02
2014-11-01 0.04
2014-12-01 0.03
2015-01-01 0.02
ate, Percent, Monthly, Not Seasonally Adjusted