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(i) What is the estimated beta value for Tesco from the above regression outputs? (ii) Identify the specific estimation errors relating to a regression approach
(i) What is the estimated beta value for Tesco from the above regression outputs?
(ii) Identify the specific estimation errors relating to a regression approach as the above.
(iii) How could we improve the estimation accuracy?
Question 1 After obtaining the monthly share prices for Tesco and FTSE all index values for the last five years, you run an ordinary least square regression between the monthly returns on Tesco and the returns on FTSE All index. You obtain the following regression outputs on Excel. Regression Statistics Multiple R 0.354797921 R Square 0.125881565 Adjusted R Square 0.110546154 Standard Error 0.070047679 Observations 59 ANOVA F Significance F 0.005828653 MS 0.040276731 0.004906677 Regression Residual Total 8.208554927 df SS 1 0.040276731 57 0.27968061 58 0.319957341 Standard Error Coefficients t Stat P-value Intercept X Variable 1 -0.01085817 0.009165034 1.184738563 0.241037201 0.920882401 0.321418462 2.865057578 0.005828653 Question 1 After obtaining the monthly share prices for Tesco and FTSE all index values for the last five years, you run an ordinary least square regression between the monthly returns on Tesco and the returns on FTSE All index. You obtain the following regression outputs on Excel. Regression Statistics Multiple R 0.354797921 R Square 0.125881565 Adjusted R Square 0.110546154 Standard Error 0.070047679 Observations 59 ANOVA F Significance F 0.005828653 MS 0.040276731 0.004906677 Regression Residual Total 8.208554927 df SS 1 0.040276731 57 0.27968061 58 0.319957341 Standard Error Coefficients t Stat P-value Intercept X Variable 1 -0.01085817 0.009165034 1.184738563 0.241037201 0.920882401 0.321418462 2.865057578 0.005828653Step by Step Solution
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