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(b) In the data file capm4.dat are data on the monthly returns of six firms (Microsoft, GE, GM, IBM, Disney, and Mobil-Exxon), the rate of return on the market
portfolio (MKT), and the rate of return on the risk free asset (RISKFREE). The
132 observations cover January 1998 to December 2008. Estimate the CAPM
model for each firm, and comment on their estimated beta values. Which firm
appears most aggressive? Which firm appears most defensive?

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