Assignment(Regression beta, Jensen's alpha and Expected Return)

Estimate the regression beta, Jensen's alpha, and expected return for your company.

"Using your Regression results, answer the following questions:

• How well or badly did your stock do, relative to the market, during the period of the regression?

• What proportion of the risk in your stock is attributable to the market? What proportion is firm-specific?

• Based upon this beta, what is your estimate of the required return on this stock?

Upload your excel spreadsheet. The attached PPTs will be useful. This is an individual submission.

Bottom-up Beta and cost of equity

• Find out the levered beta for your company

• Estimate Cost of Equity

Cost of Equity = Risk-free Rate + levered beta* (ERP)

Use Risk free Rate = 4.17%

Upload your excel spreadsheet individually.

Grade distribution:

Bottom-up beta: 08

Cost of equity: 02