UCLA Regression Statistics Excel Spreadsheet

Description

Go to Yahoo! Finance and download the historical monthly, weekly and daily prices for
Caterpillar Inc. (ticker symbol: CAT) between Jan. 2, 2014 and Dec 31, 2018.
2. Download the monthly, weekly and daily loadings for market premium (Rm-Rf), size
premium (SMB), value premium (HML) and risk free rate (Rf) from Kenneth French’s
website.
3. Estimate the coefficients of the three-factor model for Caterpillar Inc. with monthly,
weekly and daily data using the regression technique.
Generate your regression outputs on three different data tabs, and rename your tabs as
“Reg_Monthly”, “Reg_Weekly” and “Reg_Daily” respectively. On each of the regression output
tab, do the following:
1. Highlight the cell that contains your estimation of the coefficients with color, and label
them correctly as Rm-Rf, SMB, and HML.
2. Below the output table, type the resulting model (equation) generated by the regression.
3. Below the regression model that you type, also type your comments on which of the three
factors have a significant effect on the return of CAT, and how do they affect CAT.

Make sure your Excel file has
6 sheets: three originally provided sheets, plus three sheets for your regression outputs

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