In: Finance
Obtain monthly adjusted close prices of S&P500 Index (symbol: ^GSPC) and Microsoft (symbol: MSFT) during December 2006 – December 2019 from Yahoo Finance. Then, using Excel, compute monthly returns during January 2007 – December 2019. From these returns, compute and report beta of Microsoft using the formula we learned in class. Suppose today’s Treasury bill rate is 2% per annum. Historically, market risk premium is estimated to be 8% per annum. What is today’s expected return per annum of Microsoft, according to CAPM?
Guidelines:
1. Use the VAR.P( : ) command to compute variance.
2. Use the COVARIANCE.P( : , : ) command to compute covariance.