Question
Upon estimating Index Model for an actively managed fund ABC in Excel, you see the following regression output. Standard Error = 0.045 Intercept = 0.01
Upon estimating Index Model for an actively managed fund ABC in Excel, you see the following regression output.
Standard Error = 0.045
Intercept = 0.01 (t-statistic 0.34)
X1 Variable = 0.85 (t-statistic 5.18)
Which of the following coefficient estimates are shown to be statistically significant at the 95% confidence level?
| a. | Both Alpha and Beta | |
| b. | Beta | |
| c. | Alpha | |
| d. | Neither Alpha nor Beta |
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Authors: Hailan Yang, Stephen Morgan , Ying Wang
1st Edition
0081002742,0081002769
