A
Regression Statistics
Multiple R	0.58892005
R Square	0.34682683
Adjusted R Square	0.33556522
Standard Error	0.05405642
Observations	60
ANOVA
	df	SS	MS	F	Significance F
Regression	1	0.08999262	0.08999262	30.7972785	7.4369E-07
Residual	58	0.16948159	0.0029221
Total	59	0.25947421
	Coefficients	Standard Error	t Stat	P-value	Lower 95%	Upper 95%	Lower 95.0%	Upper 95.0%
Intercept	-0.0016496	0.00744971	-0.2214307	0.82553483	-0.0165618	0.01326262	-0.0165618	0.01326262
Excess Return on the Market	1.33774955	0.24105639	5.54952957	7.4369E-07	0.85522276	1.82027633	0.85522276	1.82027633

B
Regression Statistics
Multiple R	0.46189703
R Square	0.21334887
Adjusted R Square	0.19978592
Standard Error	0.03713831
Observations	60
ANOVA
	df	SS	MS	F	Significance F
Regression	1	0.02169603	0.02169603	15.7302695	0.0002032
Residual	58	0.07999672	0.00137925
Total	59	0.10169276
	Coefficients	Standard Error	t Stat	P-value	Lower 95%	Upper 95%	Lower 95.0%	Upper 95.0%
Intercept	-0.0026401	0.00511816	-0.5158308	0.60793346	-0.0128852	0.00760501	-0.0128852	0.00760501
Excess Return on the Market	0.65684297	0.16561264	3.96614038	0.0002032	0.32533326	0.98835269	0.98835269	0.98835269

a) What are the alphas and the betas of the two stocks.

b) Which of the two stocks has more systematic risk? Explain using both the scatter chart and the appropriate model estimates.

c) Which of the two stocks has more idiosyncratic risk? Explain using both the scatter chart and the appropriate model estimates.

d) Which of the two stocks appears to have been underpriced? Explain. You can answer none or both if that is what your results tell you.

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a What is the optimal value z of the problem The optimal value of the problem is Z 2 b If a new acti... View the full answer