Question

You run a regression for a stock's return on a market index and find the following Excel output:

Multiple R	0.35
R-Square	0.12
Adjusted R-Square	0.02
Standard Error	38.45
Observations	12

 

	Coefficients		Standard Error			t-Stat	p-Value
Intercept	4.05			15.44		0.26	0.80
Market	1.32			0.97		1.36	0.10

 

The beta of this stock is ____.

Answer 1

From the regression analysis, Beta of the stock is the co-efficient of the market, which is 1.32

Beta = 1.32.

 

This stock has greater systematic risk than a stock with a beta of less than 1.32.

Because this stock has beta of 1.32, if any stock which has less systematic risk than this should have beta less than 1.32.

From the regression analysis, Beta of the stock is the co-efficient of the market, which is 1.32