Mr. John is a financial analyst at Credit Suisse Bank and in charge of covering General Electric (GE) stock. Based on the figures, he found the following:

Standard Deviation of GE Returns over the past Five years = 3.1%

Standard Deviation of S&P 500 Returns over the past Five years = 2.3%

Correlation of 0.45 between GE stock and S&P 500 index.

a) Based on the above figures, calculate the beta coefficient of GE stock.

b) Upon further statistical testing for the derived beta, John obtained a p-value of 0.0764 for the t-test.

(1) Comment on this result.

(2) What is its implications on the estimated beta?

Answer rating: 100% (QA)

Step 12 a The beta coefficient of GE stock can be calculated using the fol... View the full answer