Here is a result of a regression of excess GE stock return on excess market (S&P500)...
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Here is a result of a regression of excess GE stock return on excess market (S&P500) index return, R-R=a+B(R-R) +E, from Excel. Using this result, answer the following questions. Multiple R R-Square Adjusted R-Square Standard Error Observations Intercept Market 0.35 0.12 0.02 38.45 12 3. The stock is Coefficients Standard Error 1-Stat 15.44 0.97 4.05 1.32 1. The market risk exposure of this stock is 0.26 1.36 2. The characteristic line for this stock is RR = GE f p-Value 0.80 0.10 % riskier than the market. + CE f + X (RM-R) M 4. As per CAPM, the expected market return given an expected return on a security of 11.35 % and a risk-free interest rate of 5% would be Round to the nearest hundredth.) %. (Note: Here is a result of a regression of excess GE stock return on excess market (S&P500) index return, R-R=a+B(R-R) +E, from Excel. Using this result, answer the following questions. Multiple R R-Square Adjusted R-Square Standard Error Observations Intercept Market 0.35 0.12 0.02 38.45 12 3. The stock is Coefficients Standard Error 1-Stat 15.44 0.97 4.05 1.32 1. The market risk exposure of this stock is 0.26 1.36 2. The characteristic line for this stock is RR = GE f p-Value 0.80 0.10 % riskier than the market. + CE f + X (RM-R) M 4. As per CAPM, the expected market return given an expected return on a security of 11.35 % and a risk-free interest rate of 5% would be Round to the nearest hundredth.) %. (Note:
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Related Book For
Applied Regression Analysis and Other Multivariable Methods
ISBN: 978-1285051086
5th edition
Authors: David G. Kleinbaum, Lawrence L. Kupper, Azhar Nizam, Eli S. Rosenberg
Posted Date:
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