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Stock market returns The data file StocksMonthlyReturns_Data contains information on monthly returns of some stocks and the S&P 500 composite index. Before responding to the
Stock market returns The data file StocksMonthlyReturns_Data contains information on monthly returns of some stocks and the S&P 500 composite index. Before responding to the assignment questions, please run a simple regression JNJ~SP which has JNJ as the dependent variable and SP as the only independent variable. (Note: Question 1 can be answered without running a regression.) 1. What is the correlation between the monthly returns of Johnson& Johnson stock (JNJ) and monthly returns of the S&P 500 composite index (SP)? 2. Which of the following is the equation of the regression line ("best-fit" line) in the JNJ~SP regression? O JNJ = 0.246*SP O JN.J = 0.496*SP O JNJ = 0.648*SP O JNJ = 0.007 + 0.648*SP O JN.J = 0.496*SP + 0.048 O JNJ = 0.648*SP + 0.048 3. What is the standard error of regression (residual standard error) for the JNJ~SP regression? 4. Based on the JNJ~SP regression, how confident can one be that the beta for Johnson& Johnson is less than 0.75? (Hint: How confident can one be that the slope coefficient in the population model is less than 0.75?) O Less than 2.5% confident At least 2.5% confident but less than 16% confident O At least 16% confident but less than 50% confident O At least 50% confident but less than 84% confident O At least 84% confident but less than 97.5% confident O At least 97.5% confident 5. Using the JNJ~SP regression, what is the point estimate for the JNJ monthly return if the SP return in the same month will be +1%? 6. Based on the JNJ~SP regression, if the SP return in a month will be -1%, how confident can one be that the JNJ return in that month will be positive? O Less than 2.5% confident O At least 2.5% confident but less than 16% confident O At least 16% confident but less than 50% confident O At least 50% confident but less than 84% confident O At least 84% confident but less than 97.5% confident O At least 97.5% confident
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