Question

In: Finance

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)


Related Solutions

How can you perform simple linear regression analysis using Excel?
How can you perform simple linear regression analysis using Excel?
Answer the following questions based . Write your response in a separate Microsoft Word document: o...
Answer the following questions based . Write your response in a separate Microsoft Word document: o Importance of Cost of Capital: THE ANSWER SHOULD BE BASED ON AMAZON Why is cost of capital important to an organization, and what does it measure? o Meaning of Calculations: How do organizations calculate various costs, and what do these calculations mean to business?
On a separate tab of your Excel document you will be answering the questions noted below....
On a separate tab of your Excel document you will be answering the questions noted below. Ensure that your calculations are linked to your financial statement numbers in order to support your conclusions. If other documentation is used to answer the question, please indicate through a detailed reference where this information was obtained/copied. What type of income format(s) is used by these two companies? Identify any differences in income statement format between these two companies. What are the gross profits,...
Write a program to perform the calculation of the following equation and save the result accordingly:...
Write a program to perform the calculation of the following equation and save the result accordingly:    f = 5x + 3y + z Assumptions: - Registers can be used to represent variables x, y, z, and f - Initialize x, y, and z to values of your choice. f can be initialized to zero. - Use comments to specify your register usage and explain your logic
Write a 300-word journal on what you get out of the four perspectives of the Balanced...
Write a 300-word journal on what you get out of the four perspectives of the Balanced Scorecard----financial, customer, internal business process, and learning and growth----are crafted to achieve a designated strategy.
i. Use MS Excel Data Analysis ToolPak to perform a multiple regression analysis using Quality as...
i. Use MS Excel Data Analysis ToolPak to perform a multiple regression analysis using Quality as the response variable and Helpfulness and Clarity as the explanatory variables. Write down the corresponding coefficient estimates and provide the regression output. j. Perform an F-test for the overall usefulness of the model in part i) using a 5% significance level. Make sure you follow all the steps for hypothesis testing indicated in the Instructions section and clearly state your conclusion. k. Test manually...
For questions 2 and 3, write your null hypothesis, perform a chi-square analysis, and answer the...
For questions 2 and 3, write your null hypothesis, perform a chi-square analysis, and answer the questions. 2) Null Hypothesis: Class Data Observed Expected O - E (O – E)^2 (O – E)2/E    Green 315 Polka-dot 85 Degrees of freedom = X2 = p = Fail to Reject or Reject null hypothesis?
Prepare a 2-3 page analysis discussing what you found as a result of your analysis and...
Prepare a 2-3 page analysis discussing what you found as a result of your analysis and what internal controls you would recommend to the owner of ABC Co.   Statements of Income For the year ended December 31, 2017 2016 Net Sales (less returns & allowances) $       930,560 $       875,693 6% Cost of Goods Sold            623,543            585,625 6% Gross Margin            307,017            290,068 6% Operating Expenses:      Advertising                1,843                1,972 -7%      Bad Debt Expense             ...
A random rearrangement doe not separate out between repeated letters. Consider word CHRISTMASTIME. a) What's the...
A random rearrangement doe not separate out between repeated letters. Consider word CHRISTMASTIME. a) What's the expected # vowels in first three letters of random rearrangement of CHRISTMASTIME? b) What's probability that all the S's happen before all the I's in random rearrangement of CHRISTMASTIME? c) What's probability that word CHRIST happens in consecutive letters of uniform rearrangement of CHRISTMASTIME?
. You must use Excel (submit either a pdf, word or Excel file only). . You...
. You must use Excel (submit either a pdf, word or Excel file only). . You must identify the 5 steps (you must address each in detail). Problem: Use the given data to complete a t-test using Excel. Question: Is there a difference in group means between the number of words spelled correctly for two groups of fourth graders? Group Assignment Score 1 3 1 4 1 10 2 14 2 7 2 8 2 10 2 15 2 9...
ADVERTISEMENT
ADVERTISEMENT
ADVERTISEMENT