Using data for the excess monthly returns of Volkswagen shares and the Dow Jones Index for the...

Question

Using data for the excess monthly returns of Volkswagen shares and the Dow Jones Index for the period January 2003 to December 2020:

(a) Estimate a CAPM regression model and interpret the results.
(b) Suppose you want to conduct an “event analysis” of the effects of Volkswagen’s 2015
emissions scandal within the context of a CAPM model. Explain how you would augment
your specification in part (a) to estimate the event analysis.
(c) Estimate the model specification you have described in part (b).
(d) Interpret the results of the estimated model. What do those results tell us about how the
market responded to the scandal?

I Have done the R code, and only need the interpretation explanation for A,B and D

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Komalavalli · Accepted Answer

A
The outcome demonstrates that the variable is statistically distinct from zero. The proportion of variable extra return explained by market movements is 0.083. As a result of this, we may conclude that the Volkswagen stock is a less volatile investment.
b.

Using data for the excess monthly returns of Volkswagen shares and the Dow Jones Index for the period January 2003 to December 2020: (a) Estimate a CAPM regression model and interpret the results. (b)...

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