Answered step by step
Verified Expert Solution
Link Copied!

Question

1 Approved Answer

USE SPSS The file Stock.sav contains data of mean and standard deviation of excess return of the S&P 50 stocks. In finance the relationship between

USE SPSS

The file Stock.sav contains data of mean and standard deviation of excess return of the S&P 50 stocks. In finance the relationship between excess return (defined as the return minus the return of a risk free alternative) is important. The assumption is that a higher risk measured as a higher standard deviation should lead to a higher excess return to compensate for the risk. One way to model this relationship is via the following simple linear regression model: = 0 + 1 + where Yi is the mean excess return for company i and Xi is the standard deviation of the excess return a. Test the hypothesis H: 1= 0 versus H: 10. (you may decide =0.1, 0.05 or =0.01 yourself). Comment the conclusion of the test. Is it in line of what you expected? Also comment on the sign of 1. Is the sign what you expected? b. Interpret and comment on the R-square of the model.

mean:1.34 1.08 .22 .98 1.32 1.03 1.22 1.13 .94 .80 1.60 1.12 1.48 1.60 .84 2.13 .01 1.07 1.65 2.14 1.06 .92 .11 1.08 3.00 .74 .46 .67 1.40 1.15 .50 1.60 1.72 1.14 2.55 1.53 .22 1.55 1.39 .76 1.15 1.20 .78 1.56 .71 1.09 1.60 1.56 1.44 1.09

stdv:9.94 5.75 4.51 7.78 9.64 6.98 6.73 7.27 8.27 7.51 10.35 7.60 11.54 9.24 10.31 14.36 5.78 8.59 8.01 13.87 6.21 6.85 2.87 6.10 16.63 8.72 9.66 7.50 9.52 5.38 12.32 8.50 12.90 8.46 14.85 8.74 5.02 7.29 9.38 7.37 6.99 7.62 7.83 9.07 8.85 9.70 12.89 8.65 10.94 5.85

Step by Step Solution

There are 3 Steps involved in it

Step: 1

blur-text-image

Get Instant Access to Expert-Tailored Solutions

See step-by-step solutions with expert insights and AI powered tools for academic success

Step: 2

blur-text-image

Step: 3

blur-text-image

Ace Your Homework with AI

Get the answers you need in no time with our AI-driven, step-by-step assistance

Get Started

Recommended Textbook for

Elementary Differential Equations

Authors: William E Boyce, Richard C DiPrima, Douglas B Meade

11th Edition

1119169879, 9781119169871

More Books

Students also viewed these Mathematics questions