Date HP_price SP500_price T-bills

(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.

Single-Index Model: Regression

0.300

0.200
HP stock excess returns

f(x) = 1.5320296242x - 0.0148548555

0.100

0.000
-0.120 -0.070 -0.020 0.030 0.080
Market Index exc
-0.100

-0.200

-0.300

HP Excess Returns Linear (HP Excess Returns)

 Excess returns on HP and S&P 500
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

ach month. Take HP stock price

onthly return of HP stock in January, 2010.
t. There is no need to consider dividend

ion line) is added to the scatter plot.

re plotted with time trend.
Data Analysis Tool => Regression

ession

48555

0.030 0.080
Market Index excess returns

Excess Returns)
&P 500

013 8/1/2013 3/1/2014 10/1/2014

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

Coefficients Standard Error t Stat P-value Lower 95%

Intercept -0.0148548555 0.0110729268 -1.341547 0.18497207 -0.0370197266
Market Index 1.5320296242 0.28589559 5.3587032 1.51124E-06 0.959747423

RESIDUAL OUTPUT

Observation Predicted HP Residuals

1 0.0288034269 0.0502111978
2 0.0751464095 -0.0271293801
3 0.0076162859 -0.0299091861
4 -0.1406357775 0.025829186
5 -0.0975958566 0.0397333104
6 0.0904127128 -0.0267085667
7 -0.0877526817 -0.077237314
8 0.1190845242 -0.022769955
9 0.0414564168 -0.0422694371
10 -0.0185423228 0.0158090811
11 0.0850207711 -0.0791866261
12 0.0197366994 0.0654697656
13 0.0339248106 -0.0791278052
14 -0.0165998064 -0.0426554801
15 0.02872431 -0.0434193183
16 -0.0355770158 -0.038512785
17 -0.0428513608 0.0199440811
18 -0.0477798458 0.0139718775
19 -0.1019115822 -0.1580022728
20 -0.1248218813 -0.0081343251
21 0.1501800308 0.0351206071
22 -0.0226177239 0.072966381
23 -0.0017951752 -0.0725858653
24 0.051915687 0.0342644441
25 0.0473038722 -0.1427459063
26 0.0330705771 -0.0868993313
27 -0.0264177766 0.065394379
28 -0.1109269915 0.0268621464
29 0.0456551805 -0.1537513728
30 0.0043811667 -0.0974114438
31 0.015333844 -0.0899536105
32 0.0221607477 -0.003854953
33 -0.045262186 -0.1429554467
34 -0.0106340367 -0.0515516164
35 -0.0041920869 0.1115692868
36 0.0623514146 0.0962118451
37 0.0020265522 0.2177984449
38 0.0401772678 0.1509582504
39 0.0127509414 -0.1487236746
40 0.0168905526 0.168504662
41 -0.0378597638 0.0593743881
42 0.0608842153 -0.02542532
43 -0.0628298816 -0.0672491043
44 0.0306712277 -0.085018074
45 0.0534416248 0.1075708689
46 0.02797733 0.0942124055
47 0.0211802046 0.0071963324
48 -0.0693944549 0.1058325048
49 0.0511761779 -0.0208480744
50 -0.004298407 0.0924561731
51 -0.0054188977 0.0270089048
52 0.0173386227 -0.0040462445
53 0.0143047725 -0.0041805705
54 -0.0379831365 0.0952705465
55 0.0428086389 0.024290596
56 -0.0386608144 -0.0239520258
57 0.0206777029 -0.0091269328
58 0.0227057955 0.0659062828
59 -0.0213229638 0.0528565442
60 -0.0624485902 -0.0372524746
 Upper 95% Lower 95.0% Upper 95.0%
0.0073100156 -0.0370197266 0.0073100156
2.1043118254 0.959747423 2.1043118254
Date Open High Low Close Volume Adj Close
1/4/2010 51.539997 52.939999 46.799999 47.07 35521800 18.439848
2/1/2010 47.369995 50.999996 46.459999 50.789997 36666000 19.897173
3/1/2010 50.679996 53.789997 50.679996 53.149998 29555900 20.853571
4/1/2010 53.389996 54.749996 51.919994 51.970001 28066500 20.390596
5/3/2010 52.039997 52.949997 41.939995 46.009995 52017000 18.05217
6/1/2010 45.849998 48.619999 43.130001 43.279999 40432000 17.009882
7/1/2010 43.150002 47.970001 42.310001 46.040001 34668500 18.094616
8/2/2010 46.59 47.799999 37.32 38.450001 86784500 15.111598
9/1/2010 39 43.150002 37.970001 42.069996 59180400 16.568954
10/1/2010 41.209995 43.469997 40.249996 42.040001 47914400 16.55714
11/1/2010 42.169998 44.649998 40.769997 41.93 48899500 16.513817
12/1/2010 42.5 43.27 40.999996 42.099998 33626200 16.61195
1/3/2011 42.219997 47.829998 42.219997 45.689999 42969500 18.028503
2/1/2011 46.080002 49.389999 42.080002 43.630001 54069200 17.215664
3/1/2011 43.639996 43.860001 37.599998 40.970001 43451800 16.197123
4/1/2011 41.079998 41.799995 39.159996 40.369995 36294500 15.959916
5/2/2011 40.689995 41.740002 35.439999 37.380001 55885300 14.777848
6/1/2011 37.200001 37.309998 33.950001 36.400002 46144100 14.439574
7/1/2011 36.549999 37.700001 34.799995 35.169994 37726100 13.951642
8/1/2011 35.400002 35.5 22.75 26.029999 76971800 10.325882
9/1/2011 26.199999 26.459997 21.5 22.449999 75822000 8.953164
10/3/2011 22.679998 28.569998 21.839998 26.609999 47865400 10.612191
11/1/2011 25.899998 28.589998 25.249998 27.949999 50649100 11.146589
12/1/2011 27.439999 28.67 25.02 25.759998 39625600 10.317587
1/3/2012 26.32 28.879999 26.249998 27.979998 30746000 11.206758
2/1/2012 28.23 30 25.279999 25.309998 49784300 10.137349
3/1/2012 25.349998 25.65 22.909998 23.829998 51225000 9.592175
4/2/2012 23.879999 25.15 22.849998 24.76 39280400 9.966525
5/1/2012 24.73 25.4 20.57 22.679998 48987800 9.129272
6/1/2012 21.870001 22.75 19.120001 20.110001 39934500 8.142965
7/2/2012 20.110001 20.43 17.73 18.24 40507500 7.385762
8/1/2012 18.309998 20.259998 16.77 16.879999 55987600 6.835069
9/4/2012 16.82 18.559999 16.23 17.059998 50744700 6.960703
10/1/2012 17.200001 17.619999 13.8 13.849999 75743900 5.650982
11/1/2012 13.879999 14.479999 11.349999 12.989999 77554000 5.30009
12/3/2012 13.17 14.829999 12.82 14.25 65509700 5.869773
1/2/2013 14.829999 17.450001 14.739999 16.509998 69814200 6.800699
2/1/2013 16.67 20.259998 16.030001 20.139999 63587800 8.295946
3/1/2013 20.049997 23.93 19.789999 23.84 58791600 9.882149
4/1/2013 23.729998 24.049999 19.07 20.6 51577900 8.539105
5/1/2013 20.479998 25.469997 20.15 24.419998 46280600 10.12257
6/3/2013 24.459997 25.870001 23.190001 24.799999 36281800 10.340522
 7/1/2013 24.950001 26.709999 24.76 25.68 31114000 10.707444
8/1/2013 25.789999 27.779999 21.809998 22.34 38194500 9.314809
9/3/2013 22.489998 22.699999 20.82 20.99 34089300 8.808889
10/1/2013 20.949999 24.57 20.249998 24.370001 35464600 10.227377
11/1/2013 24.5 27.679998 24.5 27.349998 39880800 11.477995
12/2/2013 27.239998 28.700001 26.290001 27.979998 33154500 11.804179
1/2/2014 27.879997 30.129997 27.269999 28.999998 32857700 12.234497
2/3/2014 29.059998 30.709997 27.889997 29.879997 28583300 12.60575
3/3/2014 29.259998 33.119999 28.749998 32.359997 29134000 13.71757
4/1/2014 32.299999 33.899998 31.429998 33.059998 32114000 14.014304
5/1/2014 33.119999 34.09 31.209997 33.499996 26542100 14.200821
6/2/2014 33.369999 35.199997 33.049995 33.679996 19550000 14.344948
7/1/2014 33.929996 36.209999 33.239998 35.610001 20719500 15.166972
8/1/2014 35.330002 38.200001 34.450001 37.999996 23715200 16.184917
9/2/2014 37.999996 38.25 34.630001 35.469997 20599300 15.171938
10/1/2014 35.389999 37.529999 31.619999 35.880001 38414300 15.347312
11/3/2014 36.029999 39.579998 35.77 39.060001 22560600 16.707525
12/1/2014 38.5 40.950001 37.110001 40.130001 23848200 17.23493
1/2/2015 40.059998 41.099998 36.060001 36.130001 26647800 15.51702
Date Open High Low Close Volume Adj Close
1/2/2015 2058.899902 2072.360107 1988.119995 1994.98999 4091934500 1994.98999
12/1/2014 2065.780029 2093.550049 1972.560059 2058.899902 3788631300 2058.899902
11/3/2014 2018.209961 2075.76001 2001.01001 2067.560059 3479201500 2067.560059
10/1/2014 1971.439941 2018.189941 1820.660034 2018.050049 4260310800 2018.050049
9/2/2014 2004.069946 2019.26001 1964.040039 1972.290039 3364623800 1972.290039
8/1/2014 1929.800049 2005.040039 1904.780029 2003.369995 2875718500 2003.369995
7/1/2014 1962.290039 1991.390015 1930.670044 1930.670044 3214440400 1930.670044
6/2/2014 1923.869995 1968.170044 1915.97998 1960.22998 3158130000 1960.22998
5/1/2014 1884.390015 1924.030029 1859.790039 1923.569946 3185100900 1923.569946
4/1/2014 1873.959961 1897.280029 1814.359985 1883.949951 3589287600 1883.949951
3/3/2014 1857.680054 1883.969971 1834.439941 1872.339966 3579015700 1872.339966
2/3/2014 1782.680054 1867.920044 1737.920044 1859.449951 3875949400 1859.449951
1/2/2014 1845.859985 1850.839966 1770.449951 1782.589966 3806266600 1782.589966
12/2/2013 1806.550049 1849.439941 1767.98999 1848.359985 3203412300 1848.359985
11/1/2013 1758.699951 1813.550049 1746.199951 1805.810059 3261324500 1805.810059
10/1/2013 1682.410034 1775.219971 1646.469971 1756.540039 3498866500 1756.540039
9/3/2013 1635.949951 1729.859985 1633.410034 1681.550049 3474152000 1681.550049
8/1/2013 1689.420044 1709.670044 1627.469971 1632.969971 3069868600 1632.969971
7/1/2013 1609.780029 1698.780029 1604.569946 1685.72998 3270645900 1685.72998
6/3/2013 1631.709961 1654.189941 1560.329956 1606.280029 3996199000 1606.280029
5/1/2013 1597.550049 1687.180054 1581.280029 1630.73999 3661220400 1630.73999
4/1/2013 1569.180054 1597.569946 1536.030029 1597.569946 3674685000 1597.569946
3/1/2013 1514.680054 1570.280029 1501.47998 1569.189941 3591577500 1569.189941
2/1/2013 1498.109985 1530.939941 1485.01001 1514.680054 3851884200 1514.680054
1/2/2013 1426.189941 1509.939941 1426.189941 1498.109985 3802304200 1498.109985
12/3/2012 1416.339966 1448 1398.109985 1426.189941 3479625500 1426.189941
11/1/2012 1412.199951 1434.27002 1343.349976 1416.180054 3593110000 1416.180054
10/1/2012 1440.900024 1470.959961 1403.280029 1412.160034 3587115700 1412.160034
9/4/2012 1406.540039 1474.51001 1396.560059 1440.670044 3857553100 1440.670044
8/1/2012 1379.319946 1426.680054 1354.650024 1406.579956 3183567800 1406.579956
7/2/2012 1362.329956 1391.73999 1325.410034 1379.319946 3663113300 1379.319946
6/1/2012 1309.869995 1363.459961 1266.73999 1362.160034 4103472300 1362.160034
5/1/2012 1397.859985 1415.319946 1291.97998 1310.329956 4158095900 1310.329956
4/2/2012 1408.469971 1422.380005 1357.380005 1397.910034 3916786000 1397.910034
3/1/2012 1365.900024 1419.150024 1340.030029 1408.469971 3980752200 1408.469971
2/1/2012 1312.449951 1378.040039 1312.449951 1365.680054 4143404000 1365.680054
1/3/2012 1258.859985 1333.469971 1258.859985 1312.410034 4190155500 1312.410034
12/1/2011 1246.910034 1269.369995 1202.369995 1257.599976 3667346600 1257.599976
11/1/2011 1251 1277.550049 1158.660034 1246.959961 4289379000 1246.959961
10/3/2011 1131.209961 1292.660034 1074.77002 1253.300049 4874946600 1253.300049
9/1/2011 1219.119995 1229.290039 1114.219971 1131.420044 5104933800 1131.420044
8/1/2011 1292.589966 1307.380005 1101.540039 1218.890015 4942913400 1218.890015
 7/1/2011 1320.640015 1356.47998 1282.859985 1292.280029 4308168000 1292.280029
6/1/2011 1345.199951 1345.199951 1258.069946 1320.640015 4105601300 1320.640015
5/2/2011 1365.209961 1370.579956 1311.800049 1345.199951 4114534200 1345.199951
4/1/2011 1329.47998 1364.560059 1294.699951 1363.609985 4042194000 1363.609985
3/1/2011 1328.640015 1332.280029 1249.050049 1325.829956 4046691700 1325.829956
2/1/2011 1289.140015 1344.069946 1289.140015 1327.219971 3182974200 1327.219971
1/3/2011 1257.619995 1302.670044 1257.619995 1286.119995 4816605000 1286.119995
12/1/2010 1186.599976 1262.599976 1186.599976 1257.640015 3762922700 1257.640015
11/1/2010 1185.709961 1227.079956 1173 1180.550049 4354084200 1180.550049
10/1/2010 1143.48999 1196.140015 1131.869995 1183.26001 4432102300 1183.26001
9/1/2010 1049.719971 1157.160034 1049.719971 1141.199951 3993981400 1141.199951
8/2/2010 1107.530029 1129.23999 1039.699951 1049.329956 4080773600 1049.329956
7/1/2010 1031.099976 1120.949951 1010.909973 1101.599976 4704026600 1101.599976
6/1/2010 1087.300049 1131.22998 1028.329956 1030.709961 5235174000 1030.709961
5/3/2010 1188.579956 1205.130005 1040.780029 1089.410034 6626699400 1089.410034
4/1/2010 1171.22998 1219.800049 1170.689941 1186.689941 5847150900 1186.689941
3/1/2010 1105.359985 1180.689941 1105.359985 1169.430054 4702951700 1169.430054
2/1/2010 1073.890015 1112.420044 1044.5 1104.48999 4658238400 1104.48999
1/4/2010 1116.560059 1150.449951 1071.589966 1073.869995 5071601500 1073.869995
FRED Graph Observations
Federal Reserve Economic Data
Link: https://fred.stlouisfed.org
Help: https://fred.stlouisfed.org/help-faq
Economic Research Division
Federal Reserve Bank of St. Louis

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