Regressions HSIEH HW 4

Regressions HSIEH HW 4 - 0.10 0.05 0.00-0.05-0.10 0.2 0.1...

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Unformatted text preview: 0.10 0.05 0.00-0.05-0.10 0.2 0.1 0.0-0.1-0.2 Risk Premium Adjusted Return Scatterplot of Adjusted Return vs Risk Premium Results for: MCDONALDS_14.MTW Regression Analysis: Adjusted Return versus Risk Premium The regression equation is Adjusted Return = 1.14 Risk Premium Predictor Coef SE Coef T P Noconstant Risk Premium 1.1358 0.1500 7.57 0.000 S = 0.0421654 Analysis of Variance Source DF SS MS F P Regression 1 0.10194 0.10194 57.34 0.000 Residual Error 88 0.15646 0.00178 Total 89 0.25840 Unusual Observations Risk Adjusted Obs Premium Return Fit SE Fit Residual St Resid 10 0.069 -0.02337 0.07885 0.01041 -0.10222 -2.50RX 12 -0.055 0.01244 -0.06197 0.00818 0.07441 1.80 X 22 -0.095 -0.20356 -0.10758 0.01421 -0.09598 -2.42RX 23 -0.057 -0.07587 -0.06426 0.00849 -0.01160 -0.28 X 28 0.110 0.09868 0.12548 0.01657 -0.02680 -0.69 X 29 0.002 0.09187 0.00237 0.00031 0.08950 2.12R 39 0.092 0.19149 0.10491 0.01385 0.08658 2.17RX 66 -0.056 -0.06078 -0.06354 0.00839 0.00276 0.07 X 70 0.006 -0.07872 0.00712 0.00094 -0.08584 -2.04R 76 0.020 0.12789 0.02252 0.00297 0.10537 2.51R R denotes an observation with a large standardized residual. X denotes an observation whose X value gives it large leverage. Regressions Professor Hsieh Homework Assignment 4 Part I. 2. This plot suggests that there is some positive correlation between adjusted return and risk premium. However, there are several outliers that appear to be influential. If we exclude these points, the correlation is a lot less apparent, and looks a lot less significant. 3. 0.15 0.10 0.05 0.00-0.05-0.10 3 2 1-1-2-3 Fitted Value Standardized Residual Versus Fits (response is Adjusted Return) 4 3 2 1-1-2-3-4 99.9 99 95 90 80 70 60 50 40 30 20 10 5 1 0.1 SRES1 Percent Mean 0.1777 StDev 0.9963 N 89 AD 0.182 P-Value 0.911 Probability Plot of SRES1 Normal - 95% CI 81 72 63 54 45 36 27 18 9 1 0.8 0.7 0.6 0.5 0.4 0.3 0.2 0.1 0.0 Index COOK1 Time Series Plot of COOK1 81 72 63 54 45 36 27 18 9 1 0.16 0.14 0.12 0.10 0.08 0.06 0.04 0.02 0.00 Index HI1 Time Series Plot of HI 1 4. As justified by the attached hypothesis test, there appears to be a larger systematic risk exposure in McDonalds monthly stock return....
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This note was uploaded on 08/27/2008 for the course ECON -0019 taught by Professor Hsieh during the Spring '08 term at NYU.

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Regressions HSIEH HW 4 - 0.10 0.05 0.00-0.05-0.10 0.2 0.1...

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