You are provided with a dataset consisting of the last 60 months return for Coca

Question

You are provided with a dataset consisting of the last 60 months return for Coca Cola and Amgen.In addition you are also given the return on S&P 500, called Mkt, the risk free return, called RF, the returns on portfolios called SMB and HML. There is more information on the two stocks that you will not need for the problem set (dividend levels, prices, shares outstanding, etc.)

1.) What is the average monthly return of Coca Cola based on the provided data?

2.) What is the standard deviation of returns of Coca Cola based on the provided data?

3.) What is Coca Cola’s Sharpe ratio based on the 60 month data?

4.) Answer questions 1 to 3 for Amgen

5.) To draw the Coca Cola characteristic line you will need to run regression analysis. (see your chapter 12, pages 426-­?7-­?8). What is Coca Cola’s alpha? And beta? Remember that in this analysis CAPM is the benchmark. So, the only factor that matters for pricing is the Market risk premium.

6.) Repeat question 5 for Amgen.

7.) Finally, lets do the full-­?fledged 3-­?factor analysis! What is Coca cola’s beta with respect to the market portfolio? How about the beta with respect to the “Small minus Large” portfolio? How about the beta with respect to the “High minus Low” portfolio? And what is the alpha of Coca Cola with respect to the FF 3 factor model?

8.) Repeat question 7 for Amgen.

I have the excel spread sheet file but didn't know how to put it on this so i took screen shot pictures of the excel file.

Explanation / Answer

You are provided with a dataset consisting of the last 60 months return for Coca

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