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)...

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

1. 
   

   (a) Estimate a CAPM regression model and interpret the results.

   
   


2. 
   

   (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.

   
   


3. 
   

   (c) Estimate the model specification you have described in part (b).

   
   


4. 
   

   (d) Interpret the results of the estimated model. What do those results tell us about how the

   
   

   market responded to the scandal?