imsoulguac edu aut mod/quizattempt phreattempt 4/89063excmid-23761860page-77 moodle UNE BUSINESS SCHOOL Variable Coefficient Std. Error 1-Statistic Prob C -0.000959 0.004424 MKT-RISKFREE 0.216678 0.8287 1.147952 0.089539 12.82063 0.0000 R-squared Mean dependent var 0.002517 Adjusted R-squared O S.D. dependent var 0.081939 S.E. of regression O. kaike info criterion -2.803127 Sum squared resid 0.6 Schwarz criterion -2.767650 Log likelihood 254.2814 Hannan-Quinn criter. -2.788743 F-statistic 164.3687 Durbin-Watson stat 2.235608 Prob(F-statistic) 0.000000 Write the estimated regression equation and explain the meaning of the slope (i) coefficient. Test at the 5% significance level the hypothesis that the intercept term in the CAPM (ii) model for each stock is zero, against the alternative that it is not. What do you conclude? Test at the 5% level of significance the null hypothesis that beta value is greater than or (iii) equal to 1 against the alternative that it is less than 1. What is the economic interpretation of a beta less than 1? (iv) What is the Goodness- of- Fit? What does this statistic tell you? (v) Do these data provide enough evidence to conclude at the 5% significance level that the model is overall significant? EA