This dataset tracks the monthly performance of stock in Apple from January 1990 through December 2011. The data include 264 monthly returns on Apple as well as returns on the entire stock market, Treasury Bills, and inflation. (The column labeled Market Return in the data table is the return on a value-weighted portfolio that purchases stock in proportion to the size of the company rather than one of each stock.) Formulate the SRM with Apple Return as the response and Market Return as the predictor.
(a) Is there statistically significant linear association between returns on stock in Apple and returns on the market?
(b) Is the estimate of the intercept for this stock (β0) significantly different from zero?
(c) Is the estimate of the slope for this stock (β1) significantly different from one?
(d) This regression uses returns. Had the analysis been done in percentages (the percentage changes are 100 times the returns), would any of the previous answers change? If so, how?

  • CreatedJuly 14, 2015
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