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Adam Jones is examining the relationship between stock returns for ten different industries and interest rates over 20 years and has the following results: The
Adam Jones is examining the relationship between stock returns for ten different industries and interest rates over 20 years and has the following results: The mean of stock returns is 11.56% and the mean of interest rates is 7.85%. The variance of stock returns and interest rates is 0.000475 and .000293, respectively. The covariance between stock returns and interest rates is 0.000302. Exhibit 2 shows part of the ANOVA output of Jones' regression of stock returns onto interest rates.
Exhibit 2: Selected ANOVA Output
Standard Error of the Estimate | 0.0373 |
Observations | 85 |
ANOVA | Sum of Squares |
Regression | 0.2187 |
Residual | 0.1153 |
- Use the information in the paragraph to calculate the slope coefficient for the regression of stock returns onto interest rates.
- Use the information in the paragraph to calculate the intercept for the regression.
- Use the data in Exhibit 2 to calculate the coefficient of determination.
- Use the data in Exhibit 2 to calculate the F-statistic.
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