Interpretation and discussion of Regression Results

a) What is the value of the beta estimate? Is this a defensive or aggressive stock? Does the result accord with your prior expectations? What portfolio combination of the S&P 500 index and the T-bills will yield the same beta?

b) What is the value of the alpha estimate? By how much, on a monthly as well as annualised basis, did the chosen stock outperform or underperform the stock market on average during the sample period? By how much, on a monthly basis as well as annualised basis, did the chosen stock outperform or underperform its CAPM benchmark on average during the sample period?

c) What is the value of the coefficient of determination (R^2) of the regression? If the CAPM is valid, does your results indicate the chosen stock has a lot or a little unique risk?

SUMMARY OUTPUT \begin{tabular}{|c|c|c|c|c|c|c|c|} \hline \multicolumn{2}{|c|}{ Regression Statistics } & & & & & & \\ \hline Multiple R & 0.214581196 & & & & & & \\ \hline R Square & 0.04604509 & & & & & & \\ \hline Adjusted R Square & 0.029597591 & & & & & & \\ \hline Standard Error & 0.052568665 & & & & & & \\ \hline Observations & 60 & & & & & & \\ \hline \multicolumn{8}{|l|}{ ANOVA } \\ \hline & df & SS & MS & F & Significance F & & \\ \hline Regression & 1 & 0.007736372 & 0.007736372 & 2.799519321 & 0.099678482 & & \\ \hline Residual & 58 & 0.160280942 & 0.002763465 & & & & \\ \hline Total & 59 & 0.168017314 & & & & & \\ \hline & Coefficients & Standard Error & t Stat & P-value & Lower 95\% & Upper 95% & Lower 95.0\% \\ \hline Intercept & 0.003233151 & 0.007141161 & 0.452748682 & 0.652418794 & -0.011061436 & 0.017527739 & -0.0110614 \\ \hline S\&P Market return & 0.420935938 & 0.251578933 & 1.673176417 & 0.099678482 & -0.082654011 & 0.924525888 & -0.0826540 \\ \hline \end{tabular}