Slide 1Walt Disney Company (DIS) & SP&500 (GSPC)BETA (DIS) – Market RiskAlpha (DIS)LAB 4By Linda Che & Anna Carter-HernandezWALT DISNEY COMPANY (DIS) & SP&500 (GSPC) First, we calculate… Monthly risk-free return in the CAPM (from the Eurodollar rate) Excess returns for DIS and SP&500 (= actual monthly return – risk free rate)BETA (DIS) – MARKET RISK The slope of the best fitting line through the excess monthly returns of DIS against proxy S&P 500 From Yahoo! Finance: 1.3 Our calculation: 1.1959 How do they compare? Relative to Yahoo! Finance’s figure, our calculation is slightly lower. However, Yahoo! Finance is calculating this measure based on real-time/current data as opposed to our data- which ranges from 2007 to 2012.ALPHA (DIS) How might you interpret this alpha? This negative alpha stock implies that investors may not be interested in holding stock, as they would receive a higher return with positive alpha stocks. Intercept:
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