You perform the analysis on EXCEL and write out your analysis result in a separate word...

You perform the analysis on EXCEL and write out your analysis result in a separate word or pdf file.

Submit both EXCEL and WORD / PDF file.

Download daily adjusted close price from AAPL and SPY for the last 10 years INTO Spreadsheet. Create daily return.

1. What is the daily mean return and daily stdev for AAPL and SPY return? What is the correlation between the two?

Questions below DO NOT NEED EXCEL (only need numerical values from part 1):

==========================================================

If you run a market model regression:

ret_aapl = intercept + slope * spy_ret + error

2a. What is the value of intercept and slope?

2b What is the regression R-square?

2c. What is the stdev of regression error term?

2d. What is the 95% Confidence interval for the regression slope?

Solutions

Expert Solution

Summary of the regression output is given:

SUMMARY OUTPUT

Regression Statistics
Multiple R	0.654086609
R Square	0.427829292
Adjusted R Square	0.427601698
Standard Error	0.01307627
Observations	2516

ANOVA
	df	SS	MS	F	Significance F
Regression	1	0.321424	0.321424	1879.794	3.9405E-307
Residual	2514	0.429866	0.000171
Total	2515	0.75129

	Coefficients	Standard Error	t Stat	P-value	Lower 95%	Upper 95%	Lower 95.0%	Upper 95.0%
Intercept	0.000528961	0.000261	2.026562	0.042813	1.71366E-05	0.001040785	1.71366E-05	0.001040785
X Variable 1	1.047735944	0.024166	43.35659	3.9E-307	1.000349514	1.095122374	1.000349514	1.095122374

Part (1)

the daily mean return for AAPL: 0.000536 = 0.0536%

the daily mean return for SPY: 0.001090 = 0.1090%

daily stdev of AAPL: 0.010790 = 1.0790%

daily stdev of SPY: 0.017284 = 1.7284%

the correlation between the two = 0.654087 = 0.6541

Please look at the attached summary for all the answers of part (2) below. All these figures are available somewhere on the outstput summary.

Part (2)

ret_aapl = intercept + slope * spy_ret + error

Part (2a) Intercept = 0.000528961 = 0.05290%

Slope = 1.047735944 = 1.0477

Part (2b) Regresion R square = 0.427829292 = 0.4278

Part (2c) The stdev of regression error term = Standard Error = 0.01307627 = 1.3076%

Part (2d) the 95% Confidence interval for the regression slope = (1.000349514, 1.095122374)

jeff jeffy answered 1 year ago

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