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MCS,PHD
Argosy University/ Phoniex University/
Nov-2005 - Oct-2011
Professor
Phoniex University
Oct-2001 - Nov-2016
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 instance, during the subprime mortgage crisis, the value of Caterpillar's stock plunged dramatically. Monthly data for Caterpillar's risk-adjusted return and the risk-adjusted market return are collected for a five-year period (n = 60). A portion of the data is shown below. The entire data set is found on the text website, labeled Caterpillar.

a. Estimate the CAPM model for Caterpillar, Inc. Show the regression results in a w ell-formatted table. b. At the 5% significance level, determine if investment in Caterpillar is riskier than the market (beta significantly greater than 1).
c. At the 5% significance level, is there evidence of abnormal returns?
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