If we were to compare company A and Company B by using a single index model with
Fantastic news! We've Found the answer you've been seeking!
Question:
If we were to compare company A and Company B by using a single index model with a let's say S&P500 index . We get the excess returns and compare Company A and Company B with S&P excess returns which will make a the regression graph and equation for both company A and Company B relative to excess returns.
S&P 500 | Company A | |
mean | -0.005478243 | -0.005529348 |
variance | 0.003190822 | 0.003682145 |
standard deviation | 0.056487361 | 0.060680681 |
Company A summary | S&P 500 Summary | ||
Mean | -0.00421348 | Mean | -0.0056789 |
Standard Error | 0.002262811 | Standard Error | 0.00394850 |
Median | -0.005378167 | Median | -0.0027765 |
Regression Statistics Company A | |
Multiple R | 0.475255455 |
R Square | 0.230918869 |
Adjusted R Square | 0.228242590 |
Standard Error | 0.032452010 |
beta | Systematic Risk | 0.00078978 |
alpha | Idiosyncratic Risk | 0.001903 |
sample total risk | sum of both risk | 0.00269278 |
For company A | ||
Total Risk |
Company B | ||
S&P 500 | Company B | |
Mean | -0.005478243 | -0.00368 |
Variance | 0.003190822 | 0.001227107 |
Standard deviation | 0.056487361 | 0.037200906 |
What the result means. And what would is the significant for the difference in results for company B and company A
Related Book For
Management Accounting
ISBN: 978-0132570848
6th Canadian edition
Authors: Charles T. Horngren, Gary L. Sundem, William O. Stratton, Phillip Beaulieu
Posted Date: