QUESTION ONE

You are investigating the systematic risk for a stock portfolio. The data contains weekly excess returns (in percent) for the portfolio (named ret_ex) and the excess return on the market portfolio (named mkt_ex). The sample size is 150. The regression results in the following output (values in parentheses under each coefficient are standard errors):

(c) Regression Predictions: (i) Brief explain the data type used in your regression.

(ii) What is the predicted excess return of the portfolio if the excess return of market

portfolio is 3%?

QUESTION ONE You are investigating the systematic risk for a stock portfolio. The data contains weekly excess returns (in percent) for the portfolio (named ret_ex) and the excess return on the market portfolio (named mkt_ex). The sample size is 150. The regression results in the following output (values in parentheses under each coefficient are standard errors): ret_ext = 0.20 + 1.70 x mkt_ext, R = 0.60, SER = 1.4 (0.10) (1.20) (c) Regression Predictions: (i) Brief explain the data type used in your regression. (5 MARKS) (ii) What is the predicted excess return of the portfolio if the excess return of market portfolio is 3%? (5 MARKS) QUESTION ONE You are investigating the systematic risk for a stock portfolio. The data contains weekly excess returns (in percent) for the portfolio (named ret_ex) and the excess return on the market portfolio (named mkt_ex). The sample size is 150. The regression results in the following output (values in parentheses under each coefficient are standard errors): ret_ext = 0.20 + 1.70 x mkt_ext, R = 0.60, SER = 1.4 (0.10) (1.20) (c) Regression Predictions: (i) Brief explain the data type used in your regression. (5 MARKS) (ii) What is the predicted excess return of the portfolio if the excess return of market portfolio is 3%