Mon. Dec 5th, 2022
  

Philosophy homework help. Hi, need to submit a 500 words paper on the topic Simple leaner regression. Question In the CAPM model, B0 is the risk free rate of return and its value is expected to be positive (usually the Treasury bill). The slope, B1,is the beta coefficient in CAPM model and measures the volatility of an asset’s return compared to that of the overall market. The benchmark value is 1.0 (perfect slope). The value can be more than 1.0 to show that a stock is more responsive to market changes or simply riskier than the market. The value can be less than 1.0 which indicates that the stock is less responsive to market changes (or is less risky). Question 2The plotted trajectories of x and y are shown in the chart below. As shown, a positive linear relationship between the two variables is expected. Question 3Obsyxy2?2y?=0+1?? = y – 1 3.32 0.72 11.02 0.52 2.39 1.34 1.98 2 1.40 1.68 1.96 2.82 2.35 2.12 – 0.72 3 0.65 – 0.72 0.42 0.52 – 0.47 0.19 0.46 4 0.93 0.81 0.86 0.66 0.75 1.42 – 0.49 5- 1.21 – 0.35 1.46 0.12 0.42 0.49 – 1.70 6- 1.62 – 2.30 2.62 5.29 3.73 – 1.08 – 0.54 7 1.41 0.80 1.99 0.64 1.13 1.41 0.00 8 0.18 0.40 0.03 0.16 0.07 1.09 – 0.91 9 1.88 – 0.65 3.53 0.42 – 1.22 0.24 1.64 10 1.35 0.39 1.82 0.15 0.53 1.08 0.27 Total 8.29 0.78 25.74 11.30 9.68 8.29 – Completed table obsYXSQYSQXYXY_HATE13.320.7211.022400.5184002.3904001.3554651.96453521.401.681.9600002.8224002.3520002.091122-0.69112230.65-0.720.4225000.518400-0.4680000.2519790.39802140.930.810.8649000.6561000.7533001.424433-0.4944335-1.21-0.351.4641000.1225000.4235000.535513-1.7455136-1.62-2.302.6244005.2900003.726000-0.958791-0.66120971.410.801.9881000.6400001.1280001.416770-0.00677080.180.400.0324000.1600000.0720001.110246-0.93024691.88-0.653.5344000.422500-1.2220000.3056201.574380101.350.391.8225000.1521000.5265001.1025830.247417Eviews Summary Descriptive ResultsYXSQXSQYYXY_HATE&nbsp.Mean&nbsp.0.829000&nbsp.0.078000&nbsp.1.130240&nbsp.2.573570&nbsp.0.968170&nbsp.0.863494-0.034494&nbsp.Std. Dev.&nbsp.1.447730&nbsp.1.117615&nbsp.1.659833&nbsp.3.141602&nbsp.1.482091&nbsp.0.856439&nbsp.1.136141&nbsp.Sum&nbsp.8.290000&nbsp.0.780000&nbsp.11.30240&nbsp.25.73570&nbsp.9.681700&nbsp.8.634939-0.344939&nbsp.Sum Sq. Dev.&nbsp.18.86329&nbsp.11.24156&nbsp.24.79541&nbsp.88.82698&nbsp.19.76935&nbsp.6.601388&nbsp.11.61734&nbsp.Observations&nbsp.10&nbsp.10&nbsp.10&nbsp.10&nbsp.10&nbsp.10&nbsp.10Question 4The slope (?0) = (0.620455)(1.45)/(1.12) = 0.804The intercept (?1) = 0.83 – (1.01)(0.08) = 0.766. Question 5SSR = Sum of (Predicted y – population mean of y)^2 = 6.6132 SSR&nbsp.Mean&nbsp.0.661329&nbsp.Median&nbsp.0.305059&nbsp.Maximum&nbsp.3.196195&nbsp.Minimum&nbsp.0.074847&nbsp.Std. Dev.&nbsp.0.994800&nbsp.Skewness&nbsp.1.938750&nbsp.Kurtosis&nbsp.5.352234&nbsp.Jarque-Bera&nbsp.8.570002&nbsp.Probability&nbsp.0.013774&nbsp.Sum&nbsp.6.613286&nbsp.Sum Sq. Dev.&nbsp.8.906647&nbsp.Observations&nbsp.10Question 6Variance of returns, ?2 = 2.10 Standard deviation of returns, y, ? = 1.45Standard deviation, x = 1.12 Question 7The slope is 0.804 and the p-value is 0.056. At 5% level of significance, the slope is not significantly different from zero. The intercept is 0.766 and the p-value is 0.079. At 5% level, the intercept is not significantly different from zero. VariableCoefficientStd. Errort-StatisticProb.&nbsp.&nbsp.C0.7663100.3818442.0068650.0797X0.8037210.3591712.2377140.0556R-squared0.384964&nbsp.&nbsp.&nbsp.&nbsp.Mean dependent var0.829000Adjusted R-squared0.308084&nbsp.&nbsp.&nbsp.&nbsp.S.D. dependent var1.447730S.E. of regression1.204243&nbsp.&nbsp.&nbsp.&nbsp.Akaike info criterion3.386435Sum squared resid11.60160&nbsp.&nbsp.&nbsp.&nbsp.Schwarz criterion3.446952Log likelihood-14.93218&nbsp.&nbsp.&nbsp.&nbsp.Hannan-Quinn criter.3.320048F-statistic5.007366&nbsp.&nbsp.&nbsp.&nbsp.Durbin-Watson stat1.877887Prob(F-statistic)0.055623Question 8Testing whether the slope, 0.804, is bigger or lower than 1 is a one-tailed t-test. Since the calculated t-statistic is below the rejection level, we cannot reject the null hypothesis that the slope is significantly lower than 1. The stock is not more volatile than the market. Wald Test:Equation: EQ_CAPM_REGTest StatisticValuedfProbabilityt-statistic-0.612004&nbsp.8&nbsp.0.5575F-statistic&nbsp.0.374549(1, 8)&nbsp.0.5575Chi-square&nbsp.0.374549&nbsp.1&nbsp.0.5405Null Hypothesis: C(1) = 1Null Hypothesis Summary:Normalized Restriction (= 0)ValueStd. Err.-1 + C(1)-0.233690&nbsp.0.381844Restrictions are linear in coefficients.Question 9SSE = 11.60 SST = SSE + SSR = 11.60 + 7.26 = 18.86Question 10Correlation coefficient = 0.62 (Excel I21)Coefficient of determination, r2 = 0.622 = 0.38Question 11Done and tables pasted in the questions above.

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