Value Weighted

Date Risk-free Rate DELL NKE

Market

1/1/2021 0.070% 2.306% -1.589% 1.753%

1/2/2021 0.060% 1.547% -2.362% 5.154%
1/3/2021 0.090% -1.069% 2.971% 6.580%
1/4/2021 0.080% -2.423% 3.450% -7.602%
1/5/2021 0.060% 1.413% 1.323% -1.112%
1/6/2021 0.080% 2.156% 1.646% 6.746%
1/7/2021 0.100% -3.768% -0.977% -4.013%
1/8/2021 0.110% 0.271% -1.776% 3.576%
1/9/2021 0.110% 2.056% 2.181% 4.900%
1/10/2021 0.110% 1.781% -1.517% 3.185%
1/11/2021 0.150% 4.824% 15.573% 4.120%
1/12/2021 0.160% 3.518% 3.998% 7.418%
1/13/2021 0.160% -2.656% -0.902% -4.477%
1/14/2021 0.160% 2.270% -3.999% 0.369%
1/15/2021 0.210% -1.694% -4.166% -3.899%
1/16/2021 0.210% -2.518% -9.344% -7.802%
1/17/2021 0.240% 3.792% 14.643% 7.017%
1/18/2021 0.230% 1.153% -1.177% 5.657%
1/19/2021 0.240% 4.333% 2.560% -3.233%
1/20/2021 0.300% -0.594% -12.034% -5.835%
1/21/2021 0.290% 1.061% -3.933% 3.827%
1/22/2021 0.270% -2.078% -6.784% 2.902%
1/23/2021 0.310% 4.041% -5.424% 1.487%
1/24/2021 0.320% 0.348% -0.667% 2.110%
1/25/2021 0.350% 4.011% -2.137% -6.729%
1/26/2021 0.340% -0.164% -1.058% 7.202%
1/27/2021 0.370% 1.906% 2.621% -1.579%
1/28/2021 0.360% 1.297% -11.962% -3.831%
1/29/2021 0.430% -3.104% -3.130% -1.870%
1/30/2021 0.400% -0.040% -3.625% 1.245%
1/31/2021 0.400% -0.190% -11.366% -2.469%
2/1/2021 0.420% 2.509% 4.013% 2.228%
2/2/2021 0.410% 1.945% 1.286% 8.878%
2/3/2021 0.410% 3.709% 6.524% 4.862%
2/4/2021 0.420% 2.372% 11.961% 7.695%
2/5/2021 0.400% 1.082% -7.893% 0.455%
2/6/2021 0.440% 1.944% -3.468% -0.222%
2/7/2021 0.380% -1.400% -5.656% 5.728%
2/8/2021 0.430% 1.295% 1.576% 2.068%
2/9/2021 0.440% 3.989% 8.617% 1.374%
2/10/2021 0.410% 3.889% 6.747% 5.366%
2/11/2021 0.400% -1.476% 6.090% 3.040%
2/12/2021 0.400% -3.175% -2.032% -3.157%
2/13/2021 0.420% 1.162% 1.001% -0.195%
2/14/2021 0.320% 4.090% -2.301% 4.446%
2/15/2021 0.320% 2.584% 10.870% 12.956%
2/16/2021 0.340% -4.928% -19.804% -0.921%
2/17/2021 0.270% -0.434% -0.122% -1.797%
2/18/2021 0.210% -6.231% -18.238% -4.530%
2/19/2021 0.130% -2.204% -0.698% -1.843%
2/20/2021 0.170% -1.047% 0.100% 13.339%
2/21/2021 0.170% 5.114% -6.476% -1.765%
2/22/2021 0.170% 2.383% 23.779% 2.350%
2/23/2021 0.170% -7.863% -5.117% -12.476%
2/24/2021 0.150% -1.315% 12.294% -1.560%
2/25/2021 0.120% 1.104% -11.559% 3.289%
2/26/2021 0.150% -9.806% -24.160% 10.757%
2/27/2021 0.080% -18.473% -25.971% -13.856%
2/28/2021 0.020% -8.521% -8.443% -7.600%
3/1/2021 0.090% 2.148% -8.326% -3.756%
excess return

ERP DELL NKE

2.24% -1.7% 1.68% fare il grafico della regressione e aggiungere la linea di tenden
1.49% -2.4% 5.09%
-1.16% 2.9% 6.49%
-2.50% 3.4% -7.68%
1.35% 1.3% -1.17%
2.08% 1.6% 6.67%
-3.87% -1.1% -4.11%
0.16% -1.9% 3.47%
1.95% 2.1% 4.79%
1.67% -1.6% 3.08%
NIKE
4.67% 15.4% 3.97% 15.00%
3.36% 3.8% 7.26%
-2.82% -1.1% -4.64% 10.00%
2.11% -4.2% 0.21%
-1.90% -4.4% -4.11% 5.00%
-2.73% -9.6% -8.01%
3.55% 14.4% 6.78% 0.00%
-20.00% -15.00% -10.00% -5.00% 0.00%
0.92% -1.4% 5.43%
4.09% 2.3% -3.47% -5.00%
-0.89% -12.3% -6.14%
-10.00%
0.77% -4.2% 3.54%
-2.35% -7.1% 2.63%
-15.00%
3.73% -5.7% 1.18%
0.03% -1.0% 1.79% -20.00%
3.66% -2.5% -7.08%
-0.50% -1.4% 6.86%
1.54% 2.3% -1.95%
0.94% -12.3% -4.19%
-3.53% -3.6% -2.30%
-0.44% -4.0% 0.85%
-0.59% -11.8% -2.87%
2.09% 3.6% 1.81% NIKE
1.54% 0.9% 8.47%
3.30% 6.1% 4.45% 15.00%
1.95% 11.5% 7.27%
0.68% -8.3% 0.05% 10.00%
1.50% -3.9% -0.66%
5.00%
-1.78% -6.0% 5.35%
0.86% 1.1% 1.64% f(x) = 0.618011804530936 x
0.00%
3.55% 8.2% 0.93% -20.00% -15.00% -10.00% -5.00% 0.00%
3.48% 6.3% 4.96% -5.00%
-1.88% 5.7% 2.64%
-3.58% -2.4% -3.56% -10.00%
0.74% 0.6% -0.61%
3.77% -2.6% 4.13% -15.00%
2.26% 10.5% 12.64%
-20.00%
-5.27% -20.1% -1.26%
-0.70% -0.4% -2.07%
-6.44% -18.4% -4.74%
 -2.33% -0.8% -1.97%
-1.22% -0.1% 13.17%
4.94% -6.6% -1.93% DELL
2.21% 23.6% 2.18% 30.0%
-8.03% -5.3% -12.65%
-1.47% 12.1% -1.71%
20.0%
0.98% -11.7% 3.17%
-9.96% -24.3% 10.61%
10.0%
-18.55% -26.1% -13.94%
-8.54% -8.5% -7.62% f(x) = 1.3778311422085 x
0.0%
2.06% -8.4% -3.85% -20.00% -15.00% -10.00% -5.00% 0.00%

-10.0%

-20.0%

-30.0%
e aggiungere la linea di tendenza per vedere se gli alpha e i beta sono corretti per nike e dell

NIKE 1) SELEZIONA COEM INTERVALLO DATI S

15.00% LA COLONNA EXCESS RETURN
RISPETTO IL RISK FREE SIA DEL
10.00% MERCATO, VIRGOLA, QUELLO DI NIKE

5.00% 2) SULLA X METTI L'EXCESS RISPETTO IL

MERCATO E SULLA Y QUELLO DI NIKE
0.00%
00% -5.00% 0.00% 5.00% 10.00%
-5.00%

-10.00%

-15.00%

-20.00%

NIKE
15.00%

10.00%

5.00%
0936 x
0.00%
% -5.00% 0.00% 5.00% 10.00%
-5.00%

-10.00%

-15.00%

-20.00%
 DELL
30.0%

20.0%

10.0%
085 x
0.0%
0% -5.00% 0.00% 5.00% 10.00%

-10.0%

-20.0%

-30.0%
Problem 12-11

Estimate the beta of Nike and Dell stock based on their returns from 2021. (Hint: You can u
function in Excel.)

Nike 0.633
Dell 1.35
ns from 2021. (Hint: You can use the slope()

We used the formula 'pendenza' inserendo come y l'excess return di nike and then come x l'excess return of the market
ss return of the market
Problem 12-12

Using the same data as in Problem 11, estimate the alpha of Nike and Dell stock. (Hint: You
intercept() function in Excel.)

Nike 0.0086 0.0086

Dell -0.0144
Nike and Dell stock. (Hint: You can use the