Assignment3_econ326 - that are greater than 0.05 There is...

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This report is used to analyzing the summary statistics for Nike Incorporation which the market returns as benchmarks of market performance gives the return on the market. The following table shows the estimated result of intercept, beta, R-square and Jarque-Bera in three periods. Intercept Beta R-square Jarque- Bera Jan 1990- Dec 1999 (i) 0.0073 (0.0089) 1.169 (0.221) 0.1910 0.2571 (ii) 1.215 (0.021) 0.1864 Jan 1990- Dec 1994 (i) 0.015 (0.012) 1.510 (0.334) 0.2601 3.4126 (ii) 1.552 (0.334) 0.2416 Jan 1995- Dec 1999 (i) 0.002 (0.013) 0.972 (0.303) 0.1509 2.0258 (ii) 0.990 (0.278) 0.1505 Standard errors are reported in parentheses . Model (i) contains an intercept Model (ii)excludes the intercept
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We can find the normally distributed by comparing the calculated value of the p- value and the 5% significance level. The p- value in the table shows 0.363, 0.182, and 0.879 in three different periods
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Unformatted text preview: that are greater than 0.05. There is insufficient evidence from the residuals to conclude that the normal distribution is unreasonable. If we rescale the CAPM model estimation suppose that the data on the rate of return for the company stock, the return on the market portfolio, and the risk- free rate of return are multiplied by 100 to express the data as percentage returns. As a result, the intercept and slope are 100/1 of the original ones. The value of the slope estimate, intercept estimate, residuals are changed by the multiply of 100; however, the estimate of the error variance and the t-statistics and p-value are unchanged. Econ 326 Instructor: D. Whistler Assignment 3 Name: Anthony Cheng Student no: 81474066 Date: Feb 4, 2009...
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Assignment3_econ326 - that are greater than 0.05 There is...

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