An analyst ran a regression for the last 60 months with the monthly returns for Procter and Gamble (PG) as the dependent variable and the monthly returns for the S&P 500 Index as the independent variable. The results are: Regression Statistics Multiple R R Square 0.521185 0.271634 Adjusted R Squa 0.259076 Standard Error Observations 0.04096 60 ANOVA df Regression Residual Total SS MS F ignificance F 1.96E-05 1 0.03629 0.03629 21.63032 58 0.097309 0.001678 59 0.133599 Coefficientsandard Err t Stat Intercept X Variable 1 0.003808 0.005288 0.72008 0.474368 0.451966 0.097179 4.650841 1.96E-05 P-value Lower 95% Upper 95%ower 95.09pper 95.09 -0.00678 0.014393 -0.00678 0.014393 0.25744 0.646492 0.25744 0.646492 Based on this analysis, the correlation between market returns and PG returns is 0.52 0.27 0.04 0.26 0.45 None of the above