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StatTools Assignment #5
– This assignment has only one part.
Part I.
See the class web site for more specific directions.
INTERPRET and COMMUNICATE.
Use StatTools to generate the required analyses to answer the questions below.
Note – these are the same
questions as are listed in the Moore and McCabe book, aside from the addition of part (f).
a.
Regress the MO returns on the market returns (i.e. – use StatTools to generate a regression
analysis using the market returns to predict the MO returns).
Make a scatterplot and draw the
leastsquares line on the plot.
Explain carefully what the slope and intercept of the line mean, in
terms understandable to an investor.
Also, give a measure of the strength of the relationship and
explain its meaning to an investor.
Multiple
RSquare
Adjusted
StErr of
Summary
R
RSquare
Estimate
0.5251
0.2757
0.2668
6.468314267
Degrees of
Sum of
Mean of
FRatio
pValue
ANOVA Table
Freedom
Squares
Squares
Explained
1
1290.114718
1290.114718
30.8352
< 0.0001
Unexplained
81
3388.966246
41.83908946
Coefficient
Standard
tValue
pValue
Confidence Interval 95%
Regression Table
Error
Lower
Upper
Constant
0.35368491
0.761229192
0.4646
0.6434
1.160922403
1.868292223
1.169539302
0.210616198
5.5529
< 0.0001
0.750479134
1.58859947
y = 1.1695x + 0.3537
R
2
= 0.2757
30
20
10
0
10
20
30
10
5
0
5
10
15
MO / Data Set #1
The slope of 1.1695 means that as the returns on the Standard & Poor’s 500stock index
increases by one percent the monthly returns on the common stock of Philip Morris will
increase by 1.1695 percent. The intercept means that if the returns on the Standard &
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View Full Document Poor’s 500stock index is 0 percent, the monthly returns on the common stock of Philip
Morris will be 0.3537 percent.
The coefficient of determination is R
2
which is 0.2757. The coefficient of determination is
the proportion of the variation in the response variable (y) that can be accounted for
(predicted, explained) by the predictor variable (x). This model is not very strong because
the strength of the model increases as R
2
increases from 0 to 1 and 0.2757 is close to 0.
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This note was uploaded on 02/16/2010 for the course BUS MGT 330 taught by Professor Schroeder during the Winter '08 term at Ohio State.
 Winter '08
 SCHROEDER

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