QUESTION 3 PORTFOLIO ANALYSIS (35 Marks) Suppose you are considering an investment in a two-factor portfolio. You wanted to analyse the stock return data for five years from 21st August 2013 to 20th...

2 answer below »

View more »
Answered Same DaySep 10, 2020

Answer To: QUESTION 3 PORTFOLIO ANALYSIS (35 Marks) Suppose you are considering an investment in a two-factor...

Aarti J answered on Sep 12 2020
154 Votes
Regression
    SUMMARY OUTPUT - ABA
    Regression Statistics
    Multiple R    0.3057343911
    R Square    0.0934735179
    Adjusted R Square    0.0775695446
    Standard Error    0.0483844668
    Observations    59
    ANOVA
        df    SS    MS    F    Significance F
    Regression    1    0.0137592533    0.0137592533    5.8773688661    0.0185309335
    Residual    57    0.1334402277    
0.0023410566
    Total    58    0.147199481
        Coefficients    Standard Error    t Stat    P-value    Lower 95%    Upper 95%    Lower 95.0%    Upper 95.0%
    Intercept    0.0019050748    0.0069834318    0.2727992308    0.7859934534    -0.0120790062    0.0158891559    -0.0120790062    0.0158891559
    X Variable 1    0.6272695824    0.2587395117    2.4243285392    0.0185309335    0.1091526473    1.1453865175    0.1091526473    1.1453865175
    Beta =    0.6272695824
    SUMMARY OUTPUT - RYM
    Regression Statistics
    Multiple R    0.5658063826
    R Square    0.3201368626
    Adjusted R Square    0.3082094392
    Standard Error    0.0425233405
    Observations    59
    ANOVA
        df    SS    MS    F    Significance F
    Regression    1    0.0485337439    0.0485337439    26.8404038521    0.0000030129
    Residual    57    0.1030693659    0.0018082345
    Total    58    0.1516031098
        Coefficients    Standard Error    t Stat    P-value    Lower 95%    Upper 95%    Lower 95.0%    Upper 95.0%
    Intercept    0.001097343    0.0061374832    0.1787936401    0.8587337345    -0.0111927551    0.013387441    -0.0111927551    0.013387441
    X Variable 1    1.1780906037    0.2273967058    5.180772515    0.0000030129    0.7227365546    1.6334446527    0.7227365546    1.6334446527
    Beta    1.1780906037
    SUMMARY OUTPUT - BGP
    Regression Statistics
    Multiple R    0.1389340648
    R Square    0.0193026743
    Adjusted R Square    0.0020974581
    Standard Error    0.0438171456
    Observations    59
    ANOVA
        df    SS    MS    F    Significance F
    Regression    1    0.0021539991    0.0021539991    1.1219082678    0.2939758909
    Residual    57    0.1094367081    0.0019199422
    Total    58    0.1115907072
        Coefficients    Standard Error    t Stat    P-value    Lower 95%    Upper 95%    Lower 95.0%    Upper 95.0%
    Intercept    0.0093483174    0.0063242208    1.4781769571    0.1448653354    -0.0033157162    0.022012351    -0.0033157162    0.022012351
    X Variable 1    0.2481872985    0.2343154241    1.0592017125    0.2939758909    -0.2210212449    0.7173958419    -0.2210212449    0.7173958419
    Beta =    0.2481872985
    SUMMARY OUTPUT- HLG
    Regression Statistics
    Multiple R    0.185130863
    R Square    0.0342734364
    Adjusted R Square    0.0173308651
    Standard Error    0.0766376918
    Observations    59
    ANOVA
        df    SS    MS    F    Significance F
    Regression    1    0.0118812781    0.0118812781    2.0229182354    0.160390596
    Residual    57    0.3347801405    0.0058733358
    Total    58    0.3466614186
        Coefficients    Standard Error    t Stat    P-value    Lower 95%    Upper 95%    Lower 95.0%    Upper 95.0%
    Intercept    0.0006647009    0.0110612792    0.0600925918    0.9522920893    -0.0214851286    0.0228145305    -0.0214851286    0.0228145305
    X Variable 1    0.5828923765    0.4098257201    1.4222933015    0.160390596    -0.2377694724    1.4035542254    -0.2377694724    1.4035542254
    Beta =    0.5828923765
    The beta values in regression are the estimated coeficients of the explanatory variables indicating a change on response variable caused by a unit change of respective explanatory variable keeping all the other explanatory variables constant/unchanged. Whereas correlations coefficient is the overall estimated value of correlation measuring the strength and the direction of the relationships between the response and...
SOLUTION.PDF

Answer To This Question Is Available To Download

Related Questions & Answers

More Questions »

Submit New Assignment

Copy and Paste Your Assignment Here
April
January
February
March
April
May
June
July
August
September
October
November
December
2025
2025
2026
2027
SunMonTueWedThuFriSat
30
31
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
1
2
3
00:00
00:30
01:00
01:30
02:00
02:30
03:00
03:30
04:00
04:30
05:00
05:30
06:00
06:30
07:00
07:30
08:00
08:30
09:00
09:30
10:00
10:30
11:00
11:30
12:00
12:30
13:00
13:30
14:00
14:30
15:00
15:30
16:00
16:30
17:00
17:30
18:00
18:30
19:00
19:30
20:00
20:30
21:00
21:30
22:00
22:30
23:00
23:30