Question
(12. You run single index regression model on the monthly returns collected for company ABC. The regression model is specified as: R subscript A B
(12. You run single index regression model on the monthly returns collected for company ABC. The regression model is specified as:
R subscript A B C comma t end subscript superscript asterisk times space equals alpha subscript A B C end subscript plus beta subscript A B C end subscript space R subscript M comma t end subscript superscript asterisk times space plus e subscript A B C comma space t end subscript
Where R subscript A B C comma t end subscript superscript asterisk times is the excess return of company ABC in month t R subscript M comma space t end subscript superscript asterisk times is the market excess return in month t
Regression output is presented below: REGRESSION SUMMARY OUTPUT
Regression Statistics
Multiple R
0.2557
R Square
0.0654
Adjusted R Square
0.0510
Standard Error
11.1693
Observations
67
Coefficients
Standard Error
t Stat
P-value
Lower 95%
Upper 95%
Intercept
-0.6700
1.4098
-0.4753
0.6362
-3.4856
2.1455
Market
0.8700
0.4074
2.1323
0.0368
0.0551
1.6825
What is the adjusted beta of company ABCs stock? Select one:
a. 0.9133
b. 0.3769
c. 0.3673
d. 0.6049
e. -0.1133
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