Question No 02 (10 Marks) The regression output of Facebook and S&P500 is given below SUMMARY OUTPUT Regression Statistics Multiple R 0.782776 R Square 0.612738 Adjusted R Squar 0.601348 Standard Error 0.028125 Observations 36 Standard deviation of S&P500 Index Return Average return of S&P500 US Treasury bill 0.034 0.15 0.06 ANOVA Regression Residual Total df SS MS F Significance F 1 0.042555 0.04255487 53.79593 1.69089E-08 34 0.026895 0.00079104 35 0.06945 Intercept S&P500 Coefficientandard Errt Stat P-value Lower 95% Upper 95%ower 95.09pper 95.0% 0.01749 0.004882 3.582551 0.001052 0.007568709 0.027412 0.007569 0.027412 1.002577 0.136692 7.33457081 1.69E-08 0.724785701 1.280369 0.724786 1.280369 1) Calculate expected return of Facebook using adjusted Beta 2) Calculate the systematic risk of Facebook 3) Calculate the non-systematic risk of Facebook 4) What is the percentage of firm-specific risk? 5) Calculate the correlation between S&P500 and Facebook 6) Calculate the covariance between S&P500 return and Facebook Question No 02 (10 Marks) The regression output of Facebook and S&P500 is given below SUMMARY OUTPUT Regression Statistics Multiple R 0.782776 R Square 0.612738 Adjusted R Squar 0.601348 Standard Error 0.028125 Observations 36 Standard deviation of S&P500 Index Return Average return of S&P500 US Treasury bill 0.034 0.15 0.06 ANOVA Regression Residual Total df SS MS F Significance F 1 0.042555 0.04255487 53.79593 1.69089E-08 34 0.026895 0.00079104 35 0.06945 Intercept S&P500 Coefficientandard Errt Stat P-value Lower 95% Upper 95%ower 95.09pper 95.0% 0.01749 0.004882 3.582551 0.001052 0.007568709 0.027412 0.007569 0.027412 1.002577 0.136692 7.33457081 1.69E-08 0.724785701 1.280369 0.724786 1.280369 1) Calculate expected return of Facebook using adjusted Beta 2) Calculate the systematic risk of Facebook 3) Calculate the non-systematic risk of Facebook 4) What is the percentage of firm-specific risk? 5) Calculate the correlation between S&P500 and Facebook 6) Calculate the covariance between S&P500 return and Facebook