Caterpillar, Inc., manufactures and sells heavy construction equipment worldwide. The performance of Caterpillar’s stock is likely to be strongly influenced by the economy. For example, during the Great Recession, the value of Caterpillar’s stock plunged dramatically. Monthly data for Caterpillar’s risk-adjusted return (R − Rf) and the risk-adjusted market return (RM − Rf) are collected for a five-year period (n = 60). A portion of the data is shown in the accompanying table. (You may find it useful to reference the t table.)MonthYearR_RfRM_RfJan20120.05100.0403Feb2012-0.06820.0304Mar2012-0.0360-0.0083Apr2012-0.1446-0.0635May2012-0.03180.0387Jun2012-0.00910.0117Jul20120.01880.0188Aug20120.00730.0232Sept2012-0.0154-0.0209Oct20120.01010.0018Nov20120.05040.0062Dec20120.10360.0497Jan2013-0.06190.0104Feb2013-0.05950.0350Mar2013-0.02730.0172Apr20130.01930.0202May2013-0.0390-0.0154Jun20130.00460.0490Jul20130.0021-0.0317Aug20130.01000.0293Sept2013-0.00070.0444Oct20130.02150.0275Nov20130.07270.0229Dec20130.0334-0.0363Jan20140.03890.0427Feb20140.02420.0064Mar20140.06020.0057Apr2014-0.02470.0207May20140.06270.0188Jun2014-0.0733-0.0155Jul20140.08910.0374Aug2014-0.0924-0.0158Sept20140.02380.0230Oct2014-0.00060.0243Nov2014-0.0904-0.0044Dec2014-0.1266-0.0313Jan20150.04480.0546Feb2015-0.0348-0.0176Mar20150.08530.0082Apr2015-0.01000.0103May2015-0.0061-0.0212Jun2015-0.07320.0195Jul2015-0.0292-0.0629Aug2015-0.1368-0.0271Sept20150.11650.0828Oct20150.00630.0003Nov2015-0.0658-0.0187Dec2015-0.0865-0.0530Jan20160.0987-0.0067Feb20160.12750.0629Mar20160.0125-0.0002Apr2016-0.06020.0130May20160.0428-0.0018Jun20160.08900.0329Jul2016-0.0032-0.0042Aug20160.0802-0.0042Sept2016-0.0627-0.0223Oct20160.15180.0309Nov2016-0.03400.0137Dec20160.02640.0128 a. Estimate the CAPM model for Caterpillar, Inc. (Round your answers to 2 decimal places.)R-Rf= + (Rm-Rf) b-2. Calculate the value of the test statistic. (Round your answer to 4 decimal places.)Test statistic=

The Linear Model is used for representing the R-Rf and Rm-Rf is given as: x Rm-Rf y R-Rf…

Answered: rpillar’s stock plunged dramatically.…

MATLAB: An Introduction with Applications

6th Edition

ISBN:9781119256830

Author:Amos Gilat

Publisher:Amos Gilat

Chapter1: Starting With Matlab

Section: Chapter Questions

Problem 1P

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Question

Caterpillar, Inc., manufactures and sells heavy construction equipment worldwide. The performance of Caterpillar’s stock is likely to be strongly influenced by the economy. For example, during the Great Recession, the value of Caterpillar’s stock plunged dramatically. Monthly data for Caterpillar’s risk-adjusted return (R − R_f) and the risk-adjusted market return (R_M − R_f) are collected for a five-year period (n = 60). A portion of the data is shown in the accompanying table. (You may find it useful to reference the t table.)

Month	Year	R_Rf	RM_Rf
Jan	2012	0.0510	0.0403
Feb	2012	-0.0682	0.0304
Mar	2012	-0.0360	-0.0083
Apr	2012	-0.1446	-0.0635
May	2012	-0.0318	0.0387
Jun	2012	-0.0091	0.0117
Jul	2012	0.0188	0.0188
Aug	2012	0.0073	0.0232
Sept	2012	-0.0154	-0.0209
Oct	2012	0.0101	0.0018
Nov	2012	0.0504	0.0062
Dec	2012	0.1036	0.0497
Jan	2013	-0.0619	0.0104
Feb	2013	-0.0595	0.0350
Mar	2013	-0.0273	0.0172
Apr	2013	0.0193	0.0202
May	2013	-0.0390	-0.0154
Jun	2013	0.0046	0.0490
Jul	2013	0.0021	-0.0317
Aug	2013	0.0100	0.0293
Sept	2013	-0.0007	0.0444
Oct	2013	0.0215	0.0275
Nov	2013	0.0727	0.0229
Dec	2013	0.0334	-0.0363
Jan	2014	0.0389	0.0427
Feb	2014	0.0242	0.0064
Mar	2014	0.0602	0.0057
Apr	2014	-0.0247	0.0207
May	2014	0.0627	0.0188
Jun	2014	-0.0733	-0.0155
Jul	2014	0.0891	0.0374
Aug	2014	-0.0924	-0.0158
Sept	2014	0.0238	0.0230
Oct	2014	-0.0006	0.0243
Nov	2014	-0.0904	-0.0044
Dec	2014	-0.1266	-0.0313
Jan	2015	0.0448	0.0546
Feb	2015	-0.0348	-0.0176
Mar	2015	0.0853	0.0082
Apr	2015	-0.0100	0.0103
May	2015	-0.0061	-0.0212
Jun	2015	-0.0732	0.0195
Jul	2015	-0.0292	-0.0629
Aug	2015	-0.1368	-0.0271
Sept	2015	0.1165	0.0828
Oct	2015	0.0063	0.0003
Nov	2015	-0.0658	-0.0187
Dec	2015	-0.0865	-0.0530
Jan	2016	0.0987	-0.0067
Feb	2016	0.1275	0.0629
Mar	2016	0.0125	-0.0002
Apr	2016	-0.0602	0.0130
May	2016	0.0428	-0.0018
Jun	2016	0.0890	0.0329
Jul	2016	-0.0032	-0.0042
Aug	2016	0.0802	-0.0042
Sept	2016	-0.0627	-0.0223
Oct	2016	0.1518	0.0309
Nov	2016	-0.0340	0.0137
Dec	2016	0.0264	0.0128