1. Below is the output from regressing dailyexcess return of ABC on dailyexcessreturn of S&P 500.Sample mean of dailyexcess return of ABC was 0.08% per day, andthesample mean ofdailyexcess returnof S&P 500 was0.04% per day.

(Annualized)volatilityofABCis29.63%and(annualized)volatilityofS&P500is16.71%.

Forthisproblem,assume250tradingdaysperyear,and0%risk-freerate.

SUMMARYOUTPUT

RegressionStatistics
MultipleR	0.5971
RSquare	0.3565
AdjustedRSquare	0.3564
StandardError	0.0150
Observations 6219
ANOVA
	df	SS	MS	F	SignificanceF
Regression	1	0.7784	0.7784	3444.6028	0.0000
Residual	6217	1.4049	0.0002
Total	6218	2.1834

CoefficientsStandardErrort Stat P-value Lower95%Upper95%

Intercept 0.0004 0.00022.1569 0.0310 0.0000 0.0008

XVariable1 1.0589 0.018058.6907 0.0000 1.0236 1.0943

1. Isthebetaof ABC withrespectto the S&P500 statisticallydifferentfromone?

1. Yes
2. No

Below is the output from regressing doth! excess return of ABC on dniiy excess return of S&P 500. Sample mean of daiiv excess return of ABC was 0.08% per day, andthe sample mean of daffy excess return of S&P 500 was 0.04% per day. (Annualized) volatility of ABC is 29.63% and (annualized) volatility of S&P 500 is 1 6. 7 1 %. For this problem, assume 250 trading days per year, and 0% risk-free rate. SUMMARY OUTPUT Regression Statistics Multiple R 0.5971 R Square 0.3565 Adjusted R Square 0.3564 Standard Error 0.0150 Observations 6219 ANOVA _ d1" 88 MS F Signicance F Regression 1 0.7784 0.7784 3444.6028 0.0000 Residual 6217 1.4049 0.0002 Total 6218 2.1834 Coefficients Standard Error tStat P-vaiue Lower 95% Upper 95% Intercept 0.0004 0.0002 2.1569 0.0310 0.0000 0.0008 X Variable 1 1.0589 00180586907 0.0000 1.0236 1.0943 a) Is the beta of ABC with respect to the S&P 500 statistically different from one? A) Yes B) No C) Not sure, no clue, or no idea b) Suppose your expected return for S&P 500 is 15% per year. In annualized terms, what does this regression imply is the expected return for ABC? Part c) What is the correlation between S&P 500 and ABC