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Help Center? The following summary output is the regression output of a market model regression, Ri= a +B: Rm + Ei, where Ri is the
Help Center? The following summary output is the regression output of a market model regression, Ri= a +B: Rm + Ei, where Ri is the rate of return of stock i and Rm is the rate of return of the S&P 500 index return. There are 10 observations. Several items in the regression output have been intentionally omitted. Use the reported information to calculate the missing values. Suppose that Var(Ri) = 0.018634 and Var(Rm) = 0.017164. What is the systematic risk for firm I? Summary Output Regression Statistics Multiple R X2 R Square X1 Standard Error x3 Observations 10 Anova df SS MS F Significance F 1 0.116552 0.116552 18.22733 0.002727 Regression Residual 8 0.051155 0.006394 Total 9 0.167706 Upper 95% Standard Coefficients t Stat P-Value Lower 95% Error 0.028324 0.032635 0.867909 0.410722 -0.04693 Intercept 0.10358 X variable 1 0.8686 0.20345 X4 0,002727 X5 1.337757 MacBook Pro # A $ 4 % 5 & 7 00* 6 ( 9 ) 0 2 3
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