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Lecture

The document contains regression statistics comparing monthly stock returns (X) to market returns (Y) for 5 months. The regression results in a multiple R of 0.834, R square of 0.696, and adjusted R square of 0.0905. The ANOVA table shows the regression accounts for most of the variation in returns, with an F value of 1.14.

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Sohail Adnan
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38 views

Lecture

The document contains regression statistics comparing monthly stock returns (X) to market returns (Y) for 5 months. The regression results in a multiple R of 0.834, R square of 0.696, and adjusted R square of 0.0905. The ANOVA table shows the regression accounts for most of the variation in returns, with an F value of 1.14.

Uploaded by

Sohail Adnan
Copyright
© Attribution Non-Commercial (BY-NC)
Available Formats
Download as XLSX, PDF, TXT or read online on Scribd
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return X-Xbar X-Xbar*Y-Ybar return

jan 122 jan 11200


feb 132 0.078781 0.040829 7.556606E-05 feb 11222 0.001962
march 138 0.044452 0.0065 1.012182E-06 march 11225 0.000267
april 145 0.04948 0.011529 -2.69911E-05 april 11200 -0.00223
may 142 -0.020907 -0.058858 -1.97026E-05 may 11205 0.000446
Xbar 0.037952 covariance 7.471143E-06 Y bar 0.000112
beta 3.3046930849

Rp rfr Rp-rfr rm-rfr


feb 0.078781 0.02 0.0587808779 -0.018038 SUMMARY OUTPUT
march 0.044452 0.025 0.0194517626 -0.024733
april 0.04948 0.03 0.0194800573 -0.03223 Regression Statistics
may -0.020907 0.01 -0.030906685 -0.009554 Multiple R 0.433669
R Square 0.188069
Adjusted R-0.217896
Standard E 0.040561
Observatio 4

ANOVA
df SS
Regression 1 0.000762
Residual 2 0.00329
Total 3 0.004052

Coefficients
Standard Error
Intercept -0.018189 0.055127
rm-rfr -1.650558 2.425027
Y-Ybar y-ybar sqr

0.001851 3.425375E-06
0.000156 2.424687E-08
-0.002341 5.481393E-06
0.000335 1.120554E-07
variance 2.260768E-06

MS F Significance F
0.000762 0.4632640505 0.566331
0.001645

t Stat P-value Lower 95%Upper 95%Lower 95.0%Upper 95.0%


-0.32994 0.7727983578 -0.255382 0.219004 -0.255382 0.219004
-0.680635 0.5663305635 -12.08461 8.783489 -12.08461 8.783489
Rp-rfr rm-rfr rm-rfr sqr
0.058781 -0.018038 0.000325 SUMMARY OUTPUT
0.019452 -0.024733 0.000612
0.01948 -0.03223 0.001039 Regression Statistics
-0.030907 -0.009554 9.127E-05 Multiple R 0.834783
R Square 0.696862
Adjusted R 0.090587
Standard E 0.035049
Observatio 4

ANOVA
df SS MS F
Regression 2 0.002824 0.001412 1.149415
Residual 1 0.001228 0.001228
Total 3 0.004052

Coefficients
Standard Error t Stat P-value
Intercept -0.159157 0.118781 -1.339917 0.408161
rm-rfr -17.79322 12.63517 -1.40823 0.3931
rm-rfr sqr -387.5248 299.1224 -1.295539 0.418487
Significance F
0.55058

Lower 95%Upper 95%Lower 95.0%


Upper 95.0%
-1.668419 1.350104 -1.668419 1.350104
-178.3383 142.7519 -178.3383 142.7519
-4188.235 3413.186 -4188.235 3413.186

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