Suppose that as an investor in the stock market, you're looking for a stock that's going to move in tandem with the overall market. You compute the returns for a stock you're looking at, and run a regression against a broad market index, obtaining the following regression output: SUMMARY OUTPUT Regression Statistics Multiple R 0.998 R Square 0.996 Adjusted R Square 0.996 Standard Error 0.190 Observations 10 ANOVA df SS MS F Significance F Regression 1 80.541 Residual 8 0.289 Total 9 80.828 Coefficients Standard Error t Stat P-value Lower 95% Upper 95% Intercept 0.131 0.130 .014 0.340341 0.030 0.167 Broad Market Index 0.988 0.021 47.218 4.39E-11 0.940 1.036 What is the test statistic corresponding to the claim that there is a significant correlation? enter 3 decimal places What is the test statistic for the overall validity of the model? enter 3 decimal places What is the best estimate for the pooled variance? enter 3 decimal places
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Test statistic corresponding to the claim that there is a significant correlation: This is the t-statistic for the slope coefficient of the Broad Market Index. From the output, we have: t-stat = 47.218 So, the test statistic corresponding to the claim that there Show more…
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The first table below contains the regression results for regression with monthly returns on a large-cap mutual fund as the dependent variable and monthly returns on a market index as the independent variable. The analysis is performed using only 12 monthly returns (in percent). The second table provides summary statistics for the dependent and independent variables. A. What is the predicted return on the large-cap mutual fund for a market index return of 8.00 percent? B. Find a 95 percent prediction interval for the expected mutual fund return. Multiple R .776 R Squared .602 Standard Error 4.243 Observations 12 Coefficients Standard Error T Statistic P-Value Intercept -0.287 1.314 -0.219 0.831 Slope Coefficient 0.802 0.206 3.890 0.003 Statistic Market index Return Large Cap Fund Return Mean 2.30% 1.56% Standard Deviation 6.21% 6.41% Variance 38.51 41.13 Count 12 12
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