MULTIPLE STEP PROBLEM

multiple r	0.35
r-square	0.12
adjusted r-square	0.02
standard error	38.45
observations	12

	coefficients	standard error	t-stat	p-value
intercept	4.05	15.44	0.26	0.80
market	1.32	0.97	1.36	0.10

1 According to the regression results on a stock reported below using the single index model, the characteristic line for this stock is

A. 4.05; 1.32

B. 15.44; 97

C. .26; 1.36

D..35;.12

2 Continued with the previous question. What is the regression residual at the data point where the market excess return is 2% and the actual stock excess return is 7%? Note the reported intercept is in units of % return.

A. 1%

B. 0.31%

C. -0.31%

D. 0.62%

3. Continued, _____ % of the stock total risk can be explained by the market's variation.

1. 4.05

2. 80

3. 12

4. 35

4. Continued with the previous question. The stock's total risk may be measured by the stock's

A. beta

B. covariance with the market portfolio

C. Treynor's ratio

D. variance

5. Continued with the previous question, Suppose the market standard deviation is 20%. What is the stock's total risk?

A. 47.26%

B. 58.08%

C. 41.33%

D. 22.07%

6. Continued with the previous question. The stock's unsystematic risk can be estimated from the _____ of regression.

A. R-square

B. degrees of freedom

C. sum of squares

D. residual variance