The CAPM model may be written as rvod a+rfse + u The estimation results follow: Dependent...

 

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The CAPM model may be written as rvod a+rfse + u The estimation results follow: Dependent Variable: MCD Method: Least Squares Included observations: 202 after adjustments Variable Coefficient Std. Error t-Statistic Prob. C RFTSE 0.00000512 0.002354 0.303096 0.034116 0.021756 0.9827 8.884220 0.0000 R-squared 0.282973 F-statistic 78.92936 Prob (F-statistic) 0.000000 (d) Briefly explain how the regression may be interpreted and comment on the sign and significance of the estimated coefficients. [3 Marks] (e) Obtain a 95% confidence interval for a. Briefly comment on your result. [4 Marks] (f) Construct a two-sided test statistic for the hypothesis that = 0.3 at the 5% level. Briefly comment on your result. [4 Marks] (g) Explain how you could test the joint hypothesis that a ==0. Using the information presented above, what would be the conclusion of this exercise? [4 Marks] The CAPM model may be written as rvod a+rfse + u The estimation results follow: Dependent Variable: MCD Method: Least Squares Included observations: 202 after adjustments Variable Coefficient Std. Error t-Statistic Prob. C RFTSE 0.00000512 0.002354 0.303096 0.034116 0.021756 0.9827 8.884220 0.0000 R-squared 0.282973 F-statistic 78.92936 Prob (F-statistic) 0.000000 (d) Briefly explain how the regression may be interpreted and comment on the sign and significance of the estimated coefficients. [3 Marks] (e) Obtain a 95% confidence interval for a. Briefly comment on your result. [4 Marks] (f) Construct a two-sided test statistic for the hypothesis that = 0.3 at the 5% level. Briefly comment on your result. [4 Marks] (g) Explain how you could test the joint hypothesis that a ==0. Using the information presented above, what would be the conclusion of this exercise? [4 Marks]