2.4 Simple Regression - Fundamental Beta Analysis.xls - Model I SUMMARY OUTPUT Regression Statistics Multiple R 0.974624 R Square 0.949891 Adjusted R

2.4 Simple Regression - Fundamental Beta Analysis.xls -...

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Model I SUMMARY OUTPUT Regression Statistics Multiple R 0.974624 R Square 0.949891 Adjusted R 0.947146 Standard E 0.023964 Observatio 78 ANOVA df SS MS F Significance F Regression 4 0.794731 0.198683 345.9584 1.26E-46 Residual 73 0.041924 0.000574 Total 77 0.836655 Coefficients tandard Erro t Stat P-value Lower 95%Upper 95%Lower 95.0% Upper 95.0% Intercept 0.418708 0.535027 0.782592 0.436398 -0.6476 1.485015 -0.6476 1.485015 X Variable 0.892235 0.043192 20.65742 3.23E-32 0.806153 0.978316 0.806153 0.978316 X Variable -0.011358 0.023534 -0.482614 0.630814 -0.05826 0.035545 -0.05826 0.035545 X Variable -14.02212 5.760726 -2.434088 0.017376 -25.50323 -2.540997 -25.50323 -2.540997 X Variable -0.002732 0.003748 -0.728882 0.468406 -0.010201 0.004738 -0.010201 0.004738
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SUMMARY OUTPUT Regression Statistics Multiple R 0.974624 R Square 0.949891 Adjusted R 0.947146 Standard E 0.023964 Observatio 78 ANOVA df SS MS F Significance F Regression 4 0.794731 0.198683 345.9584 1.26E-46 Residual 73 0.041924 0.000574 Total 77 0.836655 Coefficients tandard Erro t Stat P-value Lower 95%Upper 95%Lower 95.0% Upper 95.0% Intercept 0.418708 0.535027 0.782592 0.436398 -0.647599 1.485014 -0.647599 1.485014 X Variable 0.892235 0.043192 20.65742 3.23E-32 0.806153 0.978316 0.806153 0.978316 X Variable -0.011358 0.023534 -0.482614 0.630814 -0.05826 0.035545 -0.05826 0.035545 X Variable -14.02212 5.760726 -2.434088 0.017376 -25.50323 -2.541005 -25.50323 -2.541005 X Variable -0.002732 0.003748 -0.728882 0.468406 -0.010201 0.004738 -0.010201 0.004738 RESIDUAL OUTPUT ObservationPredicted Y Residuals 1 0.29041 -0.01141 2 0.264401 0.020599 3 0.278397 0.011603 4 0.283198 0.025802 5 0.307502 -0.006502 6 0.297717 0.002283 7 0.301797 -0.003797 8 0.296445 -0.002445 9 0.299204 -0.010204 10 0.295029 -0.017029 11 0.286332 0.007668 12 0.306242 -0.014242 13 0.303003 0.005997 14 0.314114 -0.005114 15 0.314114 -0.003114 16 0.314092 -0.009092 17 0.311491 0.000509 18 0.315062 0.010938 19 0.33414 -0.02214 20 0.325554 -0.012554 21 0.327162 -0.007162 22 0.332752 -0.016752 23 0.331518 -0.017518 24 0.332499 -0.011499 25 0.336627 0.039373 26 0.387869 0.021131 27 0.418677 0.039323 28 0.468746 -0.014746 29 0.465188 -0.010188 30 0.469056 -0.006056
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31 0.475752 0.014248 32 0.498987 -0.006987 33 0.501651 0.008349 34 0.51522 -0.00522 35 0.515406 -0.019406 36 0.503994 -0.002994 37 0.506073 -0.004073 38 0.503534 -0.001534 39 0.503672 0.015328 40 0.519351 0.000649 41 0.520243 -0.001243 42 0.518744 0.001256 43 0.51724 -0.01424 44 0.501249 0.001751 45 0.50227 0.05773 46 0.551079 0.016921 47 0.55777 0.00423 48 0.552071 0.009929 49 0.549985 -0.023985 50 0.519379 0.035621 51 0.546782 0.053218 52 0.584705 0.033295 53 0.601072 0.022928 54 0.606709 -0.030709 55 0.564391 -0.041391 56 0.515384 0.018616 57 0.525907 0.028093 58 0.539861 -0.122861 59 0.414142 -0.000142 60 0.410812 -0.022812 61 0.389347 0.016653 62 0.404945 -0.005945 63 0.400132 -0.010132 64 0.387204 -0.024204 65 0.362626 0.011374 66 0.372606 -0.010606 67 0.357807 0.005193 68 0.358524 0.007476 69 0.36147 0.00353 70 0.361455 0.021545 71 0.380165 -0.029165 72 0.350913 -0.006913 73 0.331206 -0.021206 74 0.299781 0.006219 75 0.297982 0.003018 76 0.292771 0.017229 77 0.301272 -0.002272 78 0.293021 0.009979
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% 0.200000 0 0.2 0.4 0.6 0.8 X Variable 1 Line Fit Plot Y 22.00 0 0.2 0.4 0.6 0.8 X Variable 2 Line Fit Plot Y 0.0040000 0.0060000 0.0080000 0.0100000 0 0.2 0.4 0.6 0.8 X Variable 3 Line Fit Plot Y Predicted Y X Variable 3 Y 7 8 9 10 11 12 13 14 0 0.2 0.4 0.6 0.8 X Variable 4 Line Fit Plot Y Predicted Y X Variable 4 Y
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Y
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ABC Stock estimate future beta Date Beta(t) Beta(t-1) ln[MV(t-1)] [D/P](t-1) [P/E](t-1) 1 0.299000 2 0.279000 0.299000 22.23 0.0086154 7.967 3 0.285000 0.279000 22.16 0.0093855 7.311 4 0.290000 0.285000 22.26 0.0085279 8.118 5 0.309000 0.290000 22.29 0.0083960 8.545 6 0.301000 0.309000 22.39 0.0076396 9.327 7 0.300000 0.301000 22.37 0.0078884 9.118 8 0.298000 0.300000 22.12 0.0079245 8.119 9 0.294000 0.298000 22.42 0.0079621 8.025 10 0.289000 0.294000 22.51 0.0073043 8.679 11 0.278000 0.289000 22.53 0.0072446 8.819 12 0.294000 0.278000 22.55 0.0071224 8.959 13 0.292000 0.294000 22.65 0.0064427 9.938 14 0.309000 0.292000 22.68 0.0065672 9.716 15 0.309000 0.309000 22.63 0.0070400 8.996 16 0.311000 0.309000 22.63 0.0070400 8.996 17 0.305000 0.311000 22.58 0.0073898 8.076 18 0.312000 0.305000 22.62 0.0071184 8.293 19 0.326000 0.312000 22.58 0.0074213 7.859 20 0.312000 0.326000 22.63 0.0068571 8.132 21 0.313000 0.312000 22.70 0.0064122 8.701 22 0.320000 0.313000 22.73 0.0062687 9.05 23 0.316000 0.320000 22.69 0.0065058 8.239 24 0.314000 0.316000 22.74 0.0062388 8.573
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25 0.321000 0.314000 22.81 0.0059291 8.866 26 0.376000 0.321000 22.81 0.0060845 8.814 27 0.409000 0.376000 22.89 0.0057793 9.265 28 0.458000 0.409000 22.90 0.0057219 9.019 29 0.454000 0.458000 22.95 0.0051646 9.338 30 0.455000 0.454000 22.95 0.0051810 9.258 31 0.463000 0.455000 23.04 0.0047442 10.019 32 0.490000 0.463000 23.06 0.0047543 10.05 33 0.492000 0.490000 23.04 0.0048798 9.816 34 0.510000 0.492000 23.06 0.0047679 9.972 35 0.510000 0.510000 23.00 0.0050887 9.508 36 0.496000 0.510000 23.02 0.0050272 9.668
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