L Question 3 The following table illustrates the regression results from regressing monthly IBM excess returns on monthly S&P 500 excess returns. Regression Statistics Multiple R R Square Adjusted R Square Standard Error Observations ANOVA Regression Residual Total Intercept Excess Market O 51.7% O 0% O 100% 0.517 0.268 0.264 0.080 180.000 O 26.8% df 1.000 178.000 179.000 Coefficients 0.001 1.120 SS MS F 0.422 0.422 65.085 1.153 0.006 1.575 Standard Error t Stat 0.237 0.006 0.139 8.068 What percentage of IBM's total risk (variance) can be attributed to the market risk? 20 pts P-value 0.813 0.000 Significance F 0.000

The following table illustrates the regression results from regressing monthly IBM excess returns on monthly S\&P 500 excess returns. What percentage of IBM's total risk (variance) can be attributed to the market risk? 51.7% 0% 100% 26.8%