Você está na página 1de 24

CapM Beta = Covariance(market return, GKN return) / Variance (Market Return)

Risk free rate GKN Daily Returns


Date GKN(P) FTALLSH(PI) UKTBTND DLGKN(P)
1/1/1997 147.94 2013.66 6.2609 missing
2/1/1997 146.53 2079.6 6.0231 -0.958%
3/1/1997 139.81 2107.27 5.8412 -4.695%
4/1/1997 146.31 2067.37 6.1283 4.544%
5/1/1997 140.92 2138.89 6.23 -3.754%
6/1/1997 157.17 2178.68 6.308499 10.914%
7/1/1997 150.67 2230.43 6.524429 -4.224%
8/1/1997 155.55 2291.97 6.849799 3.188%
9/1/1997 178.53 2296 7.045699 13.779%
10/1/1997 205.57 2482.39 7.017599 14.103%
11/1/1997 197.44 2318.98 7.020599 -4.035%
12/1/1997 190.79 2320.76 7.262099 -3.426%
1/1/1998 184.29 2411 7.1299 -3.466%
2/1/1998 181.78 2589.06 6.8438 -1.371%
3/1/1998 217.1 2707.81 7.092299 17.756%
4/1/1998 235.72 2813.33 7.2211 8.229%
5/1/1998 256.86 2822.77 7.056199 8.589%
6/1/1998 270.16 2789.45 7.182699 5.048%
7/1/1998 239.42 2777.21 7.4977 -12.080%
8/1/1998 222.57 2721.09 7.432199 -7.298%
9/1/1998 197.89 2393.25 7.2274 -11.753%
10/1/1998 171.29 2277.32 6.870399 -14.435%
11/1/1998 212.81 2544.34 6.663899 21.704%
12/1/1998 191.24 2543.41 6.3356 -10.687%
1/1/1999 235.72 2673.92 5.6299 20.912%
2/1/1999 226.41 2747.92 5.3903 -4.030%
3/1/1999 247.99 2784.06 5.1101 9.104%
4/1/1999 278.14 2906.22 4.902499 11.474%
5/1/1999 313.75 3028.4 5.121099 12.047%
6/1/1999 298.09 2900.86 4.982499 -5.120%
7/1/1999 326.91 3013.85 4.764299 9.229%
8/1/1999 319.22 2946.58 4.9189 -2.380%
9/1/1999 292.92 2954.09 4.896399 -8.598%
10/1/1999 288.04 2802.23 5.380699 -1.680%
11/1/1999 291.29 2916.79 5.3223 1.122%
12/1/1999 293.06 3105.56 5.353 0.606%
1/1/2000 288.19 3242.06 5.6951 -1.676%
2/1/2000 226.41 2983.46 5.84964 -24.127%
3/1/2000 240.3 3053.35 5.929899 5.954%
4/1/2000 232.62 3072.17 5.9289 -3.248%
5/1/2000 262.47 3001.92 6.04649 12.073%
6/1/2000 273.41 3066.54 5.95 4.084%
7/1/2000 255.67 3092.61 5.9325 -6.708%
8/1/2000 250.8 3066.43 5.9295 -1.923%
9/1/2000 262.47 3261.57 5.947499 4.548%
10/1/2000 195.82 3026.39 5.849999 -29.294%
11/1/2000 237.94 3090.22 5.809999 19.482%
12/1/2000 223.6 2959.9 5.719999 -6.216%
1/1/2001 208.97 2983.81 5.69 -6.767%
2/1/2001 245.62 3011.88 5.57 16.159%
3/1/2001 237.79 2861.07 5.462299 -3.240%
4/1/2001 213.41 2706.03 5.292 -10.817%
5/1/2001 224.05 2853.56 5.110399 4.865%
6/1/2001 226.56 2818.15 5.021999 1.114%
7/1/2001 204.98 2757.67 5.099999 -10.010%
8/1/2001 207.79 2674.89 5.04 1.362%
9/1/2001 205.51 2574.5 4.709999 -1.103%
10/1/2001 173.96 2289.32 4.329 -16.667%
11/1/2001 184.59 2425.4 4.1584 5.931%
12/1/2001 193.02 2496.53 3.806856 4.466%
1/1/2002 178.85 2523.88 3.870713 -7.625%
2/1/2002 184.59 2506.81 3.897625 3.159%
3/1/2002 200.45 2496.87 3.926874 8.243%
4/1/2002 232.84 2557.4 4.04 14.979%
5/1/2002 221.2 2495.24 3.98 -5.128%
6/1/2002 225.59 2475.57 4.040449 1.965%
7/1/2002 211.07 2275.16 3.969999 -6.653%
8/1/2002 171.42 1964.51 3.75 -20.807%
9/1/2002 182.9 2026.35 3.85605 6.482%
10/1/2002 161.3 1831.27 3.809999 -12.567%
11/1/2002 145.1 1920.95 3.724999 -10.584%
12/1/2002 159.95 1998.01 3.86376 9.744%
1/1/2003 135.49 1893.73 3.879856 -16.596%
2/1/2003 130.76 1775.58 3.78982 -3.553%
3/1/2003 115.41 1773.04 3.489039 -12.487%
4/1/2003 108.32 1765.73 3.5119 -6.340%
5/1/2003 134.81 1872.01 3.473049 21.878%
6/1/2003 142.24 2006.24 3.439175 5.365%
7/1/2003 145.61 1941.33 3.49826 2.342%
8/1/2003 156.58 2022.81 3.362603 7.264%
9/1/2003 179.19 2085.62 3.525641 13.488%
10/1/2003 164.68 2060.81 3.590919 -8.444%
11/1/2003 185.6 2146.27 3.814039 11.959%
12/1/2003 180.7 2176.78 3.856799 -2.676%
1/1/2004 180.2 2207.38 3.899369 -0.277%
2/1/2004 174.46 2184.82 3.992999 -3.237%
3/1/2004 178.51 2264.78 4.074269 2.295%
4/1/2004 165.18 2209.08 4.214338 -7.761%
5/1/2004 154.55 2237.34 4.27298 -6.652%
6/1/2004 152.86 2196.97 4.497812 -1.100%
7/1/2004 166.03 2210.46 4.6732 8.265%
8/1/2004 153.88 2192.98 4.77004 -7.600%
9/1/2004 151.18 2233.13 4.78739 -1.770%
10/1/2004 144.26 2311.63 4.734679 -4.685%
11/1/2004 146.12 2320.19 4.734446 1.281%
12/1/2004 149.49 2359.47 4.694186 2.280%
1/1/2005 159.61 2410.75 4.746108 6.550%
2/1/2005 164.34 2466.81 4.709394 2.920%
3/1/2005 176.15 2510.04 4.791742 6.940%
4/1/2005 173.11 2468.46 4.816522 -1.741%
5/1/2005 155.4 2397.05 4.749904 -10.792%
6/1/2005 171.59 2504.82 4.702481 9.911%
7/1/2005 174.46 2583.9 4.569372 1.659%
8/1/2005 180.37 2649.12 4.47998 3.331%
9/1/2005 197.58 2675.4 4.429874 9.113%
10/1/2005 201.29 2756.75 4.449763 1.860%
11/1/2005 190.49 2678.92 4.473123 -5.515%
12/1/2005 192.01 2770.82 4.449074 0.795%
1/1/2006 194.37 2847.02 4.475982 1.222%
2/1/2006 200.28 2951.12 4.45106 2.995%
3/1/2006 229.63 2981.07 4.437606 13.675%
4/1/2006 225.92 3074.95 4.459702 -1.629%
5/1/2006 211.58 3074.26 4.499603 -6.558%
6/1/2006 185.93 2928.1 4.564286 -12.923%
7/1/2006 189.48 2992.5 4.587026 1.891%
8/1/2006 180.7 2983.52 4.629579 -4.745%
9/1/2006 208.54 3030.49 4.829696 14.329%
10/1/2006 197.91 3050.63 4.927341 -5.232%
11/1/2006 205.51 3150.77 5.039839 3.768%
12/1/2006 197.75 3110.26 5.108664 -3.849%
1/1/2007 187.62 3221.42 5.173985 -5.258%
2/1/2007 216.98 3251.09 5.438953 14.539%
3/1/2007 239.93 3169.73 5.386369 10.054%
4/1/2007 261.69 3289.36 5.453919 8.681%
5/1/2007 260.51 3342.05 5.547753 -0.452%
6/1/2007 265.24 3466.52 5.668545 1.799%
7/1/2007 267.94 3396.77 5.854127 1.013%
8/1/2007 257.47 3235.13 5.83807 -3.986%
9/1/2007 249.38 3268.01 5.851657 -3.193%
10/1/2007 243.64 3335.41 5.684999 -2.329%
11/1/2007 244.65 3389.38 5.6493 0.414%
12/1/2007 208.71 3252.98 5.518343 -15.888%
1/1/2008 190.32 3286.67 5.308138 -9.224%
2/1/2008 192.85 3077.4 5.074738 1.321%
3/1/2008 192.35 2981.91 5.039732 -0.260%
4/1/2008 209.89 3005.15 4.826407 8.727%
5/1/2008 201.8 3098.13 4.957163 -3.931%
6/1/2008 185.93 3057.25 5.10195 -8.191%
7/1/2008 139.7 2782.81 5.167893 -28.587%
8/1/2008 139.54 2723.22 5.150406 -0.115%
9/1/2008 166.87 2855.12 5.000202 17.886%
10/1/2008 132.79 2510.28 4.564494 -22.845%
11/1/2008 78.96 2219.58 3.573347 -51.983%
12/1/2008 54.67 2027.19 1.687648 -36.763%
1/1/2009 65.47 2209.29 1.182529 18.028%
2/1/2009 55 2040.3 0.90773 -17.426%
3/1/2009 48.76 1832.45 0.660603 -12.042%
4/1/2009 47.58 2003.26 0.621952 -2.450%
5/1/2009 80.31 2174.64 0.568506 52.348%
6/1/2009 87.4 2298.13 0.517459 8.460%
7/1/2009 84.03 2215.78 0.494698 -3.932%
8/1/2009 105.2 2391.82 0.434355 22.469%
9/1/2009 106.5 2473.85 0.374689 1.228%
10/1/2009 110.6 2593.84 0.387797 3.778%
11/1/2009 108.4 2611.92 0.455593 -2.009%
12/1/2009 110.2 2710.18 0.457309 1.647%
1/1/2010 117 2760.8 0.49167 5.988%
2/1/2010 116.7 2689.04 0.488202 -0.257%
3/1/2010 115.6 2764.62 0.492148 -0.947%
4/1/2010 141 2943.86 0.511096 19.862%
5/1/2010 137 2863.35 0.504597 -2.878%
6/1/2010 122 2661.7 0.495217 -11.596%
7/1/2010 109.3 2485.69 0.488312 -10.992%
8/1/2010 136.6 2784.19 0.499201 22.296%
9/1/2010 151 2767.47 0.494575 10.022%
10/1/2010 169.4 2889.71 0.51129 11.498%
11/1/2010 177.8 2945.62 0.505335 4.840%
12/1/2010 195.4 2919.43 0.486344 9.439%
1/1/2011 222.2 3062.85 0.501362 12.853%
2/1/2011 203.8 3090.98 0.509878 -8.644%
3/1/2011 201.5 3079.66 0.539746 -1.135%
4/1/2011 204.7 3116.83 0.60523 1.576%
5/1/2011 223 3155.03 0.560995 8.563%
6/1/2011 219 3092.54 0.527049 -1.810%
7/1/2011 233.9 3120.33 0.508948 6.582%
8/1/2011 227.7 3004.41 0.48808 -2.686%
9/1/2011 200.7 2812.61 0.458305 -12.622%
10/1/2011 168 2628.41 0.464574 -17.785%
11/1/2011 184.3 2795.56 0.45881 9.260%
12/1/2011 190.8 2824.73 0.410297 3.466%
1/1/2012 183 2857.88 0.240822 -4.174%
2/1/2012 215.5 2990.34 0.364966 16.347%
3/1/2012 222.5 3073.69 0.402281 3.197%
4/1/2012 210.6 3053.42 0.443321 -5.497%
5/1/2012 206 3020.6 0.403044 -2.208%
6/1/2012 175.5 2732.65 0.33358 -16.024%
7/1/2012 181.7 2927.12 0.353502 3.472%
8/1/2012 211.5 2963.29 0.263492 15.187%
9/1/2012 214.7 2996.54 0.241987 1.502%
10/1/2012 217 3038.34 0.261147 1.066%
11/1/2012 212 3064.73 0.234751 -2.331%
12/1/2012 221.4 3067.07 0.231752 4.338%
1/1/2013 228.8 3093.41 0.309485 3.288%
2/1/2013 249.3 3327.24 0.289196 8.581%
3/1/2013 269.4 3358.29 0.344596 7.754%
4/1/2013 264.5 3380.64 0.375557 -1.836%
5/1/2013 276.9 3402.27 0.327538 4.582%
6/1/2013 298.3 3443.62 0.309223 7.444%
7/1/2013 305.2 3338.61 0.329162 2.287%
8/1/2013 352.6 3543.69 0.299939 14.437%
9/1/2013 336.2 3460.54 0.270484 -4.763%
10/1/2013 349.5 3445.08 0.35075 3.880%
11/1/2013 369.8 3585.99 0.317724 5.646%
12/1/2013 375.5 3519.47 0.288375 1.530%
1/1/2014 373.3 3609.63 0.257126 -0.588%
2/1/2014 393.1 3472.42 0.360385 5.168%
3/1/2014 393 3608.55 0.377132 -0.025%
4/1/2014 399.8 3584.47 0.421457 1.715%
5/1/2014 387 3633.61 0.344056 -3.254%
6/1/2014 392.2 3666.64 0.276353 1.335%
7/1/2014 368.6 3630.37 0.417519 -6.206%
8/1/2014 343.9 3559.02 0.418214 -6.936%
9/1/2014 354 3644.57 0.397762 2.895%
10/1/2014 311.5 3498.96 0.480852 -12.790%
11/1/2014 316.1 3476.13 0.390431 1.466%
12/1/2014 343.5 3558.94 0.412916 8.313%
1/1/2015 344 3532.74 0.38881 0.145%
2/1/2015 371.5 3638.29 0.342349 7.691%
3/1/2015 363.3 3740.32 0.400249 -2.232%
4/1/2015 358.8 3680.45 0.442158 -1.246%
5/1/2015 348.6 3770.75 0.436974 -2.884%
6/1/2015 367 3786.37 0.464784 5.144%
7/1/2015 339.8 3615.74 0.496241 -7.700%
8/1/2015 316.3 3649.14 0.485348 -7.167%
9/1/2015 280.2 3341.83 0.45486 -12.119%
10/1/2015 270.1 3344.14 0.467001 -3.671%
11/1/2015 292.3 3487.01 0.480717 7.899%
12/1/2015 301.1 3513.19 0.484159 2.966%
1/1/2016 308.4 3444.26 0.469868 2.396%
2/1/2016 278.1 3325.54 0.48166 -10.342%
3/1/2016 282 3377.18 0.467591 1.393%
4/1/2016 286 3379.36 0.460165 1.408%
5/1/2016 278.7 3421.7 0.444691 -2.586%
6/1/2016 276.2 3407.91 0.425889 -0.901%
7/1/2016 275.8 3555.45 0.400166 -0.145%
8/1/2016 289 3635.5 0.343042 4.675%
9/1/2016 325.9 3685.63 0.221363 12.016%
10/1/2016 323.9 3804.58 0.183831 -0.616%
11/1/2016 315.2 3751.16 0.159943 -2.723%
12/1/2016 306.2 3677.03 0.120935 -2.897%
ket Return)

FTSE Daily Returns


From CAPM
Using Var-Covar Method
3.275% Beta 1.725895941
1.331%
-1.893%
3.459%
1.860%
2.375%
2.759%
0.176%
8.118%
-6.583%
0.077%
3.888%
7.385%
4.587%
3.897%
0.336%
-1.180%
-0.439%
-2.021%
-12.048%
-4.844%
11.725%
-0.037%
5.131%
2.767%
1.315%
4.388%
4.204%
-4.211%
3.895%
-2.232%
0.255%
-5.141%
4.088%
6.472%
4.395%
-7.976%
2.343%
0.616%
-2.287%
2.153%
0.850%
-0.847%
6.364%
-7.211%
2.109%
-4.217%
0.808%
0.941%
-5.007%
-5.419%
5.452%
-1.241%
-2.146%
-3.002%
-3.753%
-11.077%
5.944%
2.933%
1.096%
-0.676%
-0.397%
2.424%
-2.431%
-0.788%
-8.096%
-13.654%
3.148%
-9.627%
4.897%
4.012%
-5.219%
-6.239%
-0.143%
-0.412%
6.019%
7.170%
-3.235%
4.197%
3.105%
-1.190%
4.147%
1.422%
1.406%
-1.022%
3.660%
-2.459%
1.279%
-1.804%
0.614%
-0.791%
1.831%
3.515%
0.370%
1.693%
2.173%
2.325%
1.752%
-1.657%
-2.893%
4.496%
3.157%
2.524%
0.992%
3.041%
-2.823%
3.430%
2.750%
3.656%
1.015%
3.149%
-0.022%
-4.754%
2.199%
-0.300%
1.574%
0.665%
3.283%
-1.286%
3.574%
0.921%
-2.503%
3.774%
1.602%
3.724%
-2.012%
-4.759%
1.016%
2.062%
1.618%
-4.024%
1.036%
-6.367%
-3.103%
0.779%
3.094%
-1.320%
-8.977%
-2.141%
4.844%
-12.078%
-11.580%
-8.668%
8.983%
-7.649%
-10.187%
9.321%
8.555%
5.679%
-3.583%
7.945%
3.430%
4.850%
0.697%
3.762%
1.868%
-2.599%
2.811%
6.483%
-2.735%
-7.042%
-6.613%
12.009%
-0.601%
4.417%
1.935%
-0.889%
4.913%
0.918%
-0.366%
1.207%
1.226%
-1.981%
0.899%
-3.715%
-6.384%
-6.549%
6.359%
1.043%
1.174%
4.635%
2.787%
-0.659%
-1.075%
-9.533%
7.117%
1.236%
1.122%
1.395%
0.869%
0.076%
0.859%
7.559%
0.933%
0.666%
0.640%
1.215%
-3.049%
6.143%
-2.346%
-0.447%
4.090%
-1.855%
2.562%
-3.801%
3.920%
-0.667%
1.371%
0.909%
-0.989%
-1.965%
2.404%
-3.995%
-0.652%
2.382%
-0.736%
2.988%
2.804%
-1.601%
2.454%
0.414%
-4.506%
0.924%
-8.421%
0.069%
4.272%
0.751%
-1.962%
-3.447%
1.553%
0.065%
1.253%
-0.403%
4.329%
2.251%
1.379%
3.227%
-1.404%
-1.976%
For Validation

Using Slope Function


1.725895941

Using Regression

SUMMARY OUTPUT

Regression Statistics
Multiple R 0.702927228
R Square 0.494106688
Adjusted R Sq 0.491972118
Standard Error0.074770061
Observations 239

ANOVA
df SS MS
Regression 1 1.294093377 1.294093377
Residual 237 1.32496321 0.005590562
Total 238 2.619056586

Coefficients Standard Error t Stat


Intercept -0.00290385 0.004852245 -0.59845538
X Variable 1 1.725895941 0.113438255 15.21440843
F Significance F
231.4782237 6.2566E-037

P-value Lower 95% Upper 95% Lower 95.0% Upper 95.0%


0.550107635 -0.01246289 0.006655188 -0.01246289 0.006655188
6.2566E-037 1.502419855 1.949372027 1.502419855 1.949372027