Go to www.mhhe.com/bkm and link to Chapter 7 materials, where you will find a spreadsheet with monthly returns for GM, Ford, and Toyota, the S&P 500, and Treasury bills.
a. Estimate the index model for each firm over the full five-year period. Compare the betas of each firm.
b. Now estimate the betas for each firm using only the first two years of the sample and then using only the last two years. How stable are the beta estimates obtained from these shorter subperiods?
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