J 2

A. For GameStop, list out the key regression statistics (alpha, beta and R squared) in the regression. Do you notice any patterns? Can you interpret beta and R2 of the regression?

B. During the period of the regression, GameStop had incredible volatility but its beta does not seem to reflect it. Explain why.

GME US $ $ 1 140.585 -0.505 J140.61 /140.75T 1x1 4. At 14:07 d Vol 5,497,683 0 141.88N H 145.3771D L 132.00K Val 765.2371 GME US Equity Relative Index SPX Index 96 Actions . 97) Edit . Historical Beta Data Last Price Data Last Price Wkly Linear Beta +/- Non-Param Reg On Percent. 204/14/2019 - 04/13/2021 04/14/2018 - 04/13/2020 Lag 0 Winsorize 2 Std Dev Local GM YTD 1Y 2Y 5Y Max Weekly "> Z Statistics Transformations Legend + Track / Annotate Q, Zoom A Select Copy Y = GAMESTOP CORP-CLASS A X = SAP 500 INDEX 400 Activate/deactivate the tracking crosshair. Linear Beta Range 1 350 Raw BETA -0.825 Adjusted BETA -0.216 300 ALPHA (Intercept) 8.694 250 R"2 (Correlation 2) 0.003 R (Correlation) -0.058 200 Std Dev of Error 47.705 Std Error of ALPHA 4.734 150 Std Error of BETA 1.418 t-Test 0.582 100 Significance 0.562 GME 50 Last T-Value -0.494 Last P-Value 0.311 Number of Points 103 Last Spread 3970.44 -50 Last Ratio 0.038 -10 12 SPX Index-Percent Select 300 4000 150 3500 150 3000 100 50 Weekly: 04/19/19 - 04/09/21 2500 GHE US Equity 158.36 SPX Index 4128-7998 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018