You have a stock portfolio consisting of approximately 100 stockswhere each stock constitutes roughly 1% of the

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Question:

You have a stock portfolio consisting of approximately 100 stockswhere each stock constitutes roughly 1% of the portfolio's total value. The firms constitute a variety of industries and economic sectors. In other words, the portfolio is well diversified. You run a time series regression using approximately 250 daily return values for each stock in your portfolio. In your regression model, the daily return of an individual asset from your portfolio constitutes the dependent variable and the daily return of the S&P 500 index constitutes the independent variable. You run 100 such regressions, using MS Excel, and obtain the slope coefficient for the independent variable in each case. You then compute a simple average for this slope coefficient by summing them up and dividing by 100 and label this value as Y for identification purposes. The approximate value of Y, in this scenario, should be:

a. Cannot be determined from the given information
b. 0
c. 1.0
d. 100