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Based on your estimated regression model, what is the predicted value of the excess return on the portfolio of stocks when the excess return on

Based on your estimated regression model, what is the predicted value of the excess return on the portfolio of stocks when the excess return on the market portfolio is 2.1%. Show your calculations/working in your answer.

 

Estimated regression Model

0.9373 R-squared
R2 corrected 0.9371, S2 corrected 112.578

Log Probability -15.8602

1729.89 F-statistic

F-statistic probability: 0.0000

Y is a dependent variable. 

The least squares method

Typical: 1 10 

10 observations are included.

Coefficient Standard Error T-Statistic Probability 

C 112.5777 7.95845 14.1640 0.0000 

constant 38.9759, 8.6369, and 336.3951 in 0.0000
 

daterprmRFSMBHMLMOM
Jan-858.978.640.653.3-5.33-6.82
Feb-851.581.80.580.8-0.11.88
Mar-85-0.37-0.220.62-1.074.071.58
Apr-85-1.04-0.240.720.153.723.04
May-855.875.750.66-2.22-0.943.99
Jun-851.971.820.550.560.473.57
Jul-850.12-0.120.622.85-1.6-3.91
Aug-850.22-0.470.55-0.312.281.85
Sep-85-3.53-3.940.6-1.591.291.51
Oct-855.134.670.65-1.510.754.88
Nov-857.467.090.610.25-2.84-0.47
Dec-853.244.530.65-0.51-1.54-0.23
Jan-861.961.210.561.210.443
Feb-868.157.660.53-0.56-0.772.76
Mar-865.575.480.6-0.58-0.372.41
Apr-86-0.92-0.790.522.78-2.86-0.36
May-865.165.110.49-1.35-0.212.05
Jun-860.821.550.52-0.951.35.07
Jul-86-6.21-5.930.52-3.364.71.85
Aug-868.026.530.46-4.173.51-5.28
Sep-86-6.74-8.150.452.363.22-5.79
Oct-864.655.120.46-2.5-1.424.46
Nov-860.651.560.39-1.91-0.07-0.26
Dec-86-2.55-2.780.490.130.360.35
Jan-8711.8012.890.42-1.81-3.162.2
Feb-875.864.820.433.49-5.91-2.07
Mar-871.002.110.470.451.611.68
Apr-87-2.30-1.670.44-1.69-0.390.22
May-87-0.360.490.38-0.50.23-0.74
Jun-875.014.420.48-2.121.04-0.25
Jul-873.984.310.46-0.660.732.66
Aug-874.213.990.47-0.77-0.95-0.86
Sep-87-2.03-2.140.450.560.30.77
Oct-87-23.62-22.640.6-8.44.23-7.86
Nov-87-5.65-7.420.352.752.96-1.17
Dec-878.387.20.390.12-4.395.87
Jan-885.724.50.29-0.764.95-7.27
Feb-886.945.210.463.34-1.69-1.47
Mar-88-1.01-1.830.446.140.740.58
Apr-880.881.020.460.981.632.24
May-880.190.220.51-2.612.420.63
Jun-887.045.280.492.1-1.22-2.93
Jul-88-1.03-0.740.51-0.262.170.65
Aug-88-1.76-2.720.590.042.10.35
Sep-883.743.920.62-1.3-0.750.27
Oct-881.191.760.61-2.921.691.33
Nov-88-2.77-1.720.57-1.711.30.33
Dec-882.352.120.631.97-1.610.49
Jan-895.666.650.55-2.220.62-0.16
Feb-89-0.54-1.640.612.820.930.99
Mar-892.082.240.670.670.543.51
Apr-894.8550.67-0.68-1.41.77
May-893.904.140.79-0.05-0.871.52
Jun-89-0.82-0.640.71-1.022.230.43
Jul-896.597.90.7-4.16-2.795.39
Aug-894.182.180.740.560.6-0.12
Sep-89-1.66-0.110.650.32-1.273.4
Oct-89-5.38-2.990.68-3.24-1.111.32
Nov-890.851.720.69-1.24-1.092.6
Dec-890.991.770.61-2.370.162.8
Jan-90-7.40-7.280.57-1.250.85-3.27
Feb-902.041.680.570.970.64-0.54
Mar-901.652.470.641.46-2.921.8
Apr-90-4.75-2.670.69-0.45-2.592.39
May-908.499.10.68-2.56-3.833.03
Jun-90-2.09-0.460.631.36-1.932.4
Jul-90-2.47-1.220.68-3.09-0.046.14
Aug-90-9.86-9.490.66-3.561.61.88
Sep-90-7.61-5.520.6-3.670.615.78
Oct-90-3.93-1.240.68-5.5306.71
Nov-9010.016.920.570.45-2.97-5.48
Dec-904.413.060.60.82-1.630.29
Jan-916.645.210.523.83-1.57-6.45
Feb-918.647.670.483.99-0.63-4.61
Mar-912.273.090.443.9-1.32.87
Apr-912.090.250.530.481.45-2.36
May-915.284.120.47-0.4-0.49-0.11
Jun-91-4.84-4.520.420.151.070.47
Jul-913.894.730.49-0.91-1.324.22
Aug-912.762.780.461.59-0.781.57
Sep-91-0.21-1.130.461.64-1.071.79
Oct-912.001.710.420.81-0.463.06
Nov-91-4.30-3.80.39-0.5-1.881.14
Dec-918.7211.220.38-2.24-4.188.19
Jan-921.44-0.250.348.464.7-2.49
Feb-922.571.370.280.876.47-0.53
Mar-92-1.39-2.320.34-1.043.55-0.29
Apr-921.801.390.32-6.064.32-2.58
May-921.130.580.280.411.190.21
Jun-92-1.94-2.020.32-3.073.25-0.58
Jul-924.674.080.31-0.51-0.551.59
Aug-92-2.29-2.120.26-0.14-1.08-0.51
Sep-921.701.450.260.49-0.231.5
Oct-921.021.250.232.1-1.982.48
Nov-924.054.360.233.79-1.42-0.15
Dec-923.451.810.281.672.654.32
Jan-932.411.160.231.855.954.84
Feb-932.450.340.22-3.496.443.14
Mar-933.802.550.250.231.193.73
Apr-93-1.24-2.810.24-0.682.480.38
May-932.483.110.222.08-3.50.22
Jun-931.220.560.25-0.262.724.55
Jul-930.95-0.10.240.92.823.19
Aug-933.953.960.250.140.142.65
Sep-930.300.140.262.98-0.353.37
Oct-93-0.201.630.222.03-2.78-2.72
Nov-93-2.37-1.640.25-1.13-0.66-4.73
Dec-933.591.880.231.20.272.36
Jan-943.763.120.250.511.280
Feb-94-1.39-2.340.212.8-1.56-0.3
Mar-94-4.15-4.510.27-1.141.55-1.27
Apr-941.550.950.27-0.921.660.39
May-940.860.890.31-2.120.7-2.19
Jun-94-1.30-2.720.31-0.41.67-0.87
Jul-943.283.10.28-1.760.570.1
Aug-943.794.380.371.43-2.51.55
Sep-94-2.53-1.940.373.11-1.841.31
Oct-940.971.720.38-2.26-1.631.49
Nov-94-4.00-3.670.370.31-0.73-0.18
Dec-941.261.30.440.19-0.093.48
Jan-951.942.220.42-3.442.51-1.81
Feb-954.374.030.4-0.661.09-0.39
Mar-952.292.650.46-0.21-2.080.43
Apr-952.042.550.44-0.491.71.79
May-953.193.440.54-2.522.27-0.42
Jun-952.583.190.473.15-2.542.93
Jul-954.264.170.452.06-1.592.57
Aug-951.411.020.471.362.810.16
Sep-952.323.780.43-2.2-0.052.91
Oct-95-2.06-1.050.47-3.8-0.514.16
Nov-954.604.380.42-1.110.58-0.68
Dec-951.321.520.490.720.182.52
Jan-962.092.690.43-2.730.40.54
Feb-961.561.720.391.78-1.070.59
Mar-962.361.120.391.510.36-1.84
Apr-963.012.520.465.22-4.05-0.88
May-961.192.780.423.18-0.891.54
Jun-96-0.79-0.740.4-3.992.380.98
Jul-96-5.17-5.520.45-4.315.14-0.17
Aug-964.963.180.412.46-0.740.01
Sep-963.745.450.44-0.98-2.72.7
Oct-961.851.280.42-4.444.943.79
Nov-966.546.660.41-4.051.39-2.37
Dec-96-0.55-1.240.463.171.320.63
Jan-973.135.430.45-1.93-1.461.95
Feb-970.89-0.10.39-3.25.69-2.13
Mar-97-2.96-4.590.43-0.353.40.9
Apr-972.894.470.43-5.780.074.86
May-976.677.230.495.19-4.12-5.17
Jun-974.214.470.371.241.592.6
Jul-977.667.760.43-2.730.293.79
Aug-97-0.66-3.740.417.311.2-2.56
Sep-976.095.790.442.530.381.47
Oct-97-3.61-3.380.42-0.772.25-0.57
Nov-972.653.370.39-5.131.190.33
Dec-973.091.80.48-2.473.863.98
Jan-98-1.710.580.43-1.06-1.590.14
Feb-987.587.430.390.34-0.85-1.12
Mar-984.615.150.39-1.111.412.15
Apr-980.431.160.430.020.90.74
May-98-3.71-2.670.4-3.353.41.82
Jun-98-0.603.590.41-3.23-1.967.28
Jul-98-5.61-2.060.4-4.91-1.763.74
Aug-98-17.90-15.650.43-5.683.61.84
Sep-985.946.610.460.1-3.37-0.81
Oct-987.947.450.32-3.12-2.29-5.37
Nov-984.136.410.311.2-3.231.2
Dec-983.126.540.38-0.51-4.188.91
Jan-99-1.973.850.350.78-4.623.03
Feb-99-3.36-3.730.35-6.061.88-0.1
Mar-992.763.880.43-3.77-2.77-1.27
Apr-9910.464.70.373.952.41-9.04
May-991.73-2.120.343.372.3-5.19
Jun-991.795.170.43.14-3.265.06
Jul-99-2.13-3.110.382.6-0.421.66
Aug-99-4.38-0.990.39-0.94-1.843.12
Sep-99-4.11-2.40.393.44-3.486.48
Oct-992.596.510.39-6.61-3.375.5
Nov-99-1.583.730.367.22-6.165.64
Dec-991.098.160.446.99-8.3213.22
Jan-00-4.67-4.330.415.79-1.891.92
Feb-00-5.472.880.4321.48-9.8118.2
Mar-0013.755.670.47-17.298.23-6.83
Apr-001.51-5.940.46-6.637.25-8.39
May-001.15-3.920.5-6.114.83-8.98
Jun-00-3.875.040.412.8-8.4116.61
Jul-003.27-2.030.48-3.088.33-0.1
Aug-007.267.530.5-0.63-1.375.73
Sep-00-0.21-4.940.51-1.737.171.97
Oct-000.76-2.20.56-3.935.64-4.48
Nov-00-1.74-10.210.51-3.3912.34-2.32
Dec-0010.591.690.50.737.66.74
Jan-012.363.670.546.68-5.11-25.3
Feb-01-1.04-9.670.38-0.7412.4812.57
Mar-01-3.55-6.840.420.276.438.55
Apr-017.438.330.390.56-4.69-7.9
May-012.981.040.322.53.362.21
Jun-01-1.48-1.660.286.27-1.130.38
Jul-01-1.20-1.830.3-4.195.215.58
Aug-01-2.75-6.150.312.482.35.53
Sep-01-11.42-8.970.28-6.251.4611.48
Oct-014.312.680.227.49-7.66-8.47
Nov-017.757.710.17-0.472.22-8.69
Dec-015.621.750.154.730.850.07
Jan-02-0.83-1.30.141.193.443.75
Feb-02-0.35-2.160.13-12.166.82
Mar-026.874.370.134.211.06-1.64
Apr-02-1.77-5.050.155.963.887.63
May-02-1.96-1.240.14-3.211.533.16
Jun-02-6.93-7.080.134.28-0.036.03
Jul-02-9.36-8.030.15-5.26-3.873.74
Aug-021.310.640.14-2.873.311.9
Sep-02-10.50-10.210.142.431.449.13
Oct-024.627.980.14-3.41-3.95-5.58
Nov-028.686.080.123.23-1.27-16.33
Dec-02-3.46-5.650.110.112.139.64
Jan-03-2.64-2.470.11.3-0.731.55
Feb-03-2.43-1.790.09-0.46-1.381.17
Mar-030.901.190.11.04-1.931.48
Apr-039.728.320.10.671.17-9.33
May-039.746.140.094.710.53-10.7
Jun-030.581.520.11.740.19-1
Jul-032.602.420.075.11-1.19-0.32
Aug-033.602.410.072.621.54-0.62
Sep-03-1.04-1.160.080.80.1-0.19
Oct-036.876.150.072.631.923.99
Nov-032.721.420.0721.811.46
Dec-034.344.370.08-2.711.6-5.57
Jan-042.252.220.072.542.462.58
Feb-043.041.460.06-1.520.87-1.14
Mar-04-0.54-1.230.091.750.230.17
Apr-04-3.49-1.750.08-1.74-3.02-5.38
May-041.921.230.06-0.25-0.231.5
Jun-042.551.940.082.281.232.05
Jul-04-3.44-3.960.1-3.83.22-2.28
Aug-040.600.190.11-1.491-1.59
Sep-043.611.710.113.02-0.025.49
Oct-042.261.540.110.15-0.25-1.38
Nov-046.904.690.153.731.453.16
Dec-043.913.590.16-0.03-0.21-2.87
Jan-05-2.41-2.60.16-1.722.073.05
Feb-052.732.050.16-0.571.543.37
Mar-05-1.31-1.760.21-1.42.050.41
Apr-05-3.42-2.40.21-3.930.05-0.69
May-054.963.890.242.88-0.590.45
Jun-052.830.80.232.592.812.05
Jul-055.074.160.242.9-0.780.06
Aug-05-0.74-0.920.3-0.981.342.08
Sep-051.350.780.29-0.670.693.43
Oct-05-2.71-1.750.27-1.230.41-1.39
Nov-054.343.920.310.99-1.20.35
Dec-051.270.070.32-0.410.220.77
Jan-064.443.390.355.421.092.53
Feb-060.280.040.34-0.4-0.37-1.84
Mar-061.751.830.373.450.551.26
Apr-061.171.090.36-1.432.340.61
May-06-2.89-3.140.43-2.982.39-3.7
Jun-06-0.810.050.4-0.380.81.54
Jul-06-1.63-0.380.4-3.992.62-2.13
Aug-061.742.450.421.01-2.04-3.38
Sep-061.602.250.41-1.340.06-0.96
Oct-063.723.640.411.72-0.26-0.2
Nov-063.102.130.420.720.11-1.03
Dec-060.861.270.4-1.132.710.79
Jan-072.911.840.440.14-0.70.24
Feb-070.55-1.580.381.18-0.12-1.35
Mar-071.421.110.430.15-0.942.56
Apr-073.863.930.44-2.17-1.43-0.24
May-074.093.650.410.23-0.62-0.34
Jun-07-1.52-1.560.40.76-1.070.51
Jul-07-4.18-3.330.4-2.61-3.732.94
Aug-070.251.340.42-0.14-1.890.1
Sep-072.213.540.32-2.22-2.234.63
Oct-072.472.120.320.12-3.115.02
Nov-07-5.75-4.490.34-2.93-0.940.99
Dec-07-1.13-0.60.270.16-0.526.63
Jan-08-4.29-6.150.21-0.984.01-7.75
Feb-08-2.63-2.960.13-0.41-0.846.1
Mar-08-2.18-0.760.170.770.354.27
Apr-087.044.780.18-1.72-1.09-0.31
May-083.372.040.182.95-1.533.31
Jun-08-10.24-8.270.171.24-2.712.75
Jul-08-2.17-0.620.152.565.27-5.07
Aug-081.661.660.133.51.48-4.03
Sep-08-12.27-9.090.15-1.245.90.28
Oct-08-22.47-17.150.08-2.52-2.227.85
Nov-08-9.36-7.830.03-2.87-6.37.17
Dec-083.241.7403.490.07-5.09
Jan-09-6.74-8.1200.18-11.11-2.18
Feb-09-13.04-10.090.010.13-6.914.41
Mar-0910.378.970.0203.34-11.87
Apr-0921.0410.190.015.285.26-34.3
May-096.705.210-2.520.37-12.49
Jun-09-1.500.440.012.66-2.725.48
Jul-099.557.730.011.874.84-5.58
Aug-093.683.340.01-1.087.63-9.07
Sep-096.154.090.012.431.04-4.79
Oct-09-3.87-2.590-4.34-4.22.61
Nov-094.595.560-2.39-0.330.3
Dec-095.782.760.016.04-0.173.02
Jan-10-3.21-3.3600.40.43-5.4
Feb-104.403.401.193.223.74
Mar-107.166.320.011.482.213.76
Apr-103.592.010.014.872.893.16
May-10-7.89-7.880.010.09-2.44-0.25
Jun-10-6.50-5.560.01-1.81-4.7-2.76
Jul-107.516.940.010.24-0.31.83
Aug-10-5.13-4.760.01-2.95-1.96-0.06
Sep-1010.769.550.013.96-3.171.41
Oct-104.073.890.011.21-2.491.58
Nov-101.960.610.013.77-0.882.66
Dec-107.496.830.010.673.78-3.03
Jan-112.6820.01-2.440.77-0.29
Feb-114.393.50.011.471.241.99
Mar-112.130.470.012.56-1.883.4
Apr-113.012.90-0.32-2.480.04
May-11-1.42-1.270-0.65-2-0.62
Jun-11-1.99-1.750-0.14-0.381.78
Jul-11-3.43-2.350-1.29-0.910.16
Aug-11-7.48-5.980.01-3.07-2.4-0.28
Sep-11-10.88-7.590-3.33-1.75-2.42
Oct-1115.1311.3503.30.12-1.43
Nov-110.76-0.280-0.17-0.463.85
Dec-110.550.740-0.61.611.81
Jan-126.155.0502.06-0.94-7.93
Feb-124.404.420-1.860.43-0.29
Mar-120.653.110-0.661.121.3
Apr-12-0.74-0.850-0.41-0.773.75
May-12-7.59-6.180.010.09-1.066.49
Jun-122.753.8900.640.59-1.06
Jul-120.370.790-2.72-0.123.02
Aug-123.172.560.010.481.3-2.37
Sep-122.412.740.010.541.58-1.14
Oct-12-0.59-1.750.01-1.173.560.14
Nov-121.440.790.010.61-0.830.49
Dec-122.651.190.011.523.53-2.86
Jan-136.635.5700.310.95-1.79
Feb-131.461.290-0.330.11.29
Mar-134.484.0300.83-0.231.92
Apr-130.671.550-2.360.50.22
May-132.762.801.722.67-2.02
Jun-13-1.36-1.201.320.050.52
Jul-135.915.6501.870.571.75
Aug-13-2.52-2.7100.26-2.680.02
Sep-134.623.7702.9-1.233.07
Oct-133.994.180-1.561.260.08
Nov-131.543.1301.290.280.44
Dec-133.252.810-0.46-0.010.02
Jan-14-2.20-3.3200.92-2.021.71
Feb-145.104.6500.37-0.312.07
Mar-140.930.430-1.874.92-3.29
Apr-140.29-0.190-4.21.14-3.89
May-141.652.060-1.89-0.130.88
Jun-143.752.6103.09-0.690.69
Jul-14-3.37-2.040-4.280.02-0.14
Aug-144.194.2400.39-0.440.82
Sep-14-4.14-1.970-3.72-1.350.5
Oct-142.492.5204.22-1.83-0.06
Nov-141.762.550-2.05-3.090.68
Dec-140.07-0.0602.52.271.12
Jan-15-2.83-3.110-0.54-3.613.85
Feb-157.366.1400.61-1.87-2.79
Mar-15-0.28-1.1203.07-0.412.74
Apr-150.750.590-3.041.83-7.27
May-151.501.3600.92-1.135.83
Jun-15-2.24-1.5302.9-0.783.02
Jul-15-0.811.540-4.2-4.0710.06
Aug-15-4.46-6.0400.362.8-2.09
Sep-15-4.57-3.070-2.630.585.24
Oct-157.077.750-1.86-0.45-3.27
Nov-15-0.540.5603.6-0.392.28
Dec-15-4.08-2.160.01-2.81-2.593.36
Jan-16-5.86-5.760.01-3.392.071.39
Feb-161.70-0.060.020.81-0.58-4.27
Mar-169.136.980.020.751.1-5.04
Apr-162.400.930.010.683.19-6.08
May-160.911.790.01-0.19-1.651.37
Jun-16-0.58-0.030.020.58-1.454.14
Jul-163.633.970.022.51-1.29-3.32
Aug-160.620.520.021.173.11-3.49
Sep-160.880.270.022.13-1.210.15
Oct-16-1.89-20.02-4.414.120.6
Nov-166.994.870.015.678.21-4.63
Dec-161.421.850.030.093.6-0.25
Jan-171.991.980.04-1.13-2.74-0.94
Feb-172.073.610.04-2.04-1.67-1.6
Mar-17-0.060.20.031.13-3.33-1.03
Apr-170.831.140.050.72-2.130.48
May-17-0.491.120.06-2.52-3.751.5
Jun-171.610.840.062.231.49-0.09
Jul-171.431.940.07-1.46-0.221.62
Aug-17-0.630.250.09-1.65-2.073.29
Sep-174.162.60.094.453.09-1.32
Oct-171.472.340.09-1.930.224.28
Nov-173.713.20.08-0.56-0.05-0.87
Dec-170.811.150.09-1.320.03-1.55
Jan-184.305.690.11-3.18-1.364.05
Feb-18-4.42-3.540.110.26-1.033.56
Mar-18-0.57-2.230.124.06-0.23-1.13
Apr-180.030.430.141.10.480.36
May-182.042.790.145.31-3.133.87
Jun-180.710.620.141.13-2.33-2.33
Jul-183.013.350.16-2.250.45-1.43
Aug-181.823.60.161.14-3.985.28
Sep-18-1.030.210.15-2.3-1.70.03
Oct-18-7.17-7.490.19-4.823.43-2.06
Nov-182.241.870.18-0.680.26-1.41
Dec-18-10.34-9.360.19-2.42-1.92.12
Jan-1910.728.620.212.9-0.44-8.65
Feb-193.583.580.182.04-2.680.85
Mar-19-0.471.290.19-2.98-4.052.16
Apr-194.504.170.21-1.742.17-2.96
May-19-7.68-6.730.21-1.34-2.377.56
Jun-198.137.110.180.25-0.71-2.23
Jul-191.081.380.19-1.940.422.9
Aug-19-4.39-2.420.16-2.32-4.957.47
Sep-194.211.610.18-0.976.83-6.81
Oct-190.772.210.150.28-1.930.19
Nov-193.483.990.120.8-2.02-2.63
Dec-193.332.910.140.721.79-1.88
Jan-20-2.180.020.13-3.13-6.246.03
Feb-20-10.37-8.010.121.03-3.79-0.36
Mar-20-21.51-13.260.12-4.89-14.028.16
Apr-2015.4613.6502.47-1.18-5.39
May-204.825.590.012.45-4.80.35
Jun-201.092.470.012.69-2.04-0.78
Jul-204.535.780.01-2.28-1.537.63
Aug-203.687.640.01-0.26-2.920.41
Sep-20-3.33-3.620.010.02-2.623.18
Oct-201.71-2.090.014.414.16-3.1
Nov-2015.5812.480.015.652.13-12.45
Dec-205.474.640.014.82-1.43-2.26
Jan-211.27-0.0307.122.994.52
Feb-217.442.7802.037.18-7.93
Mar-215.903.080-2.417.41-6.11
Apr-214.254.930-3.11-0.931.14
May-211.310.290-0.287.040.88
Jun-21-1.282.7501.8-7.762.24
Jul-21-0.301.270-3.96-1.75-2.29
Aug-211.812.90-0.48-0.132.52
Sep-21-3.50-4.3700.85.091.57

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