vv-3 - SUMMARY OUTPUT Regression Statistics Multiple R 0.61...

Info iconThis preview shows pages 1–5. Sign up to view the full content.

View Full Document Right Arrow Icon

Info iconThis preview has intentionally blurred sections. Sign up to view the full version.

View Full DocumentRight Arrow Icon

Info iconThis preview has intentionally blurred sections. Sign up to view the full version.

View Full DocumentRight Arrow Icon
This is the end of the preview. Sign up to access the rest of the document.

Unformatted text preview: SUMMARY OUTPUT Regression Statistics Multiple R 0.61 R Square 0.38 Does not control for degrees of freedom. Adjusted R Square 0.37 % of the variation of the dependent variable explained by th Standard Error 0.09 Observations 74 > 30 for central limit theory to hold (law of large numbers) ANOVA analysis of variance df SS MS F Significance F Regression 1 0.34 0.34 43.65 Residual 72 0.56 0.01 Total 73 0.89 Coefficients tandard Erro t Stat P-value Lower 95% Intercept 0.03 0.01 3.24 0.01 X Variable 1 (Beta) 1.44 0.22 6.61 1.01 This is your point estimate of a beta to be used in the CAPM Rule of thumb, t-stat>2 you can reject the null. P-value translated t-stat into a probability We are 1-pvalue sure that the coefficient rejects the null hypothesis for th 99.999999% This sure the market has some explanatory power on AAPL For every one percent the market moves, AAPL stock moves 1.44%. RESIDUAL OUTPUT PROBABILITY OUTPUT Observation Predicted Y Residualsndard Residuals Percentile 1 0.06 0.11 1.22 0.68 2 0.01-0.08-0.88 2.03 3-0.14-1.59 3.38 4 0.08 0.03 0.3 4.73 5 0.03-0.11-1.23 6.08 6 0.08 0.07 0.84 7.43 7 0.02 0.08 0.94 8.78 8 0.04 0.1 1.15 10.14 9 0.01 0.07 0.76 11.49 10 0.08 0.09 1.07 12.84 11 0.03 0.03 0.32 14.19 12 0.07-0.02-0.22 15.54 13 0.03-0.13-1.45 16.89 14 0.05-0.13-1.53 18.24 15 0.05 0.07 0.82 19.59 16-0.01-0.14-1.6 20.95 17 0.03-0.08-0.86 22.3 18 0.04 0.15 1.67 23.65 19 0.06-0.07-0.75 25 20 0.07 0.07 0.76 26.35 21 0.08-0.03-0.29 27.7 22 0.06 0.07 0.84 29.05 23 0.05-0.13-1.44 30.41 24 0.05-0.04-0.49 31.76 25-0.01-0.17 33.11 26 0.05 0.05 0.58 34.46 27 0.1-0.02-0.24 35.81 28 0.08 0.13 1.54 37.16 29 0.01-0.01 38.51 30-0.01 0.09 1.06 39.86 31 0.05-0.01 41.22 32 0.08 0.02 0.27 42.57 33 0.05 0.18 2.1 43.92 34-0.03-0.01-0.12 45.27 35 0.02 0.07 0.76 46.62 36-0.05-0.26-3 47.97 37-0.02-0.06-0.68 49.32 38 0.02 0.12 1.41 50.68 39 0.1 0.11 1.27 52.03 40 0.05 0.04 0.42 53.38 41-0.09-0.02-0.26 54.73 42 0.02-0.07-0.8 56.08 43 0.05 0.02 0.18 57.43 44-0.1-0.23-2.66 58.78 45-0.21 0.16 1.8 60.14 46-0.07-0.06-0.73 61.49 47 0.04-0.12-1.41 62.84 48-0.09 0.15 1.67 64.19 49-0.13 0.12 1.33 65.54 50 0.16 0.02 0.24 66.89 51 0.17 0.03 0.33 68.24 52 0.11-0.03-0.35 69.59 53 0.03 0.02 0.17 70.95 54 0.14 0.01 0.08 72.3 55 0.08-0.05-0.6 73.65 56 0.08 0.02 0.2 75 57 0.01 0.14 76.35 58 0.12-0.06-0.63 77.7 59 0.06-0.05 79.05 60-0.02-0.07-0.79 80.41 61 0.07-0.01-0.1 81.76 62 0.12 0.03 0.35 83.11 63 0.05 0.06 0.65 84.46 64-0.08 0.07 0.79 85.81 65-0.04 0.02 0.27 87.16 66 0.13-0.11-1.25 88.51 67-0.04-0.02-0.23 89.86 68 0.16 0.01 0.09 91.22 69 0.09-0.03-0.29 92.57 70 0.03 0.04 93.92 71 0.13-0.09-1.04 95.27 72 0.07-0.01-0.16 96.62 73 0.08-0.04-0.44 97.97 74 0.03-0.01-0.08 99.32 he model 99.9999994% 1-signif F is how sure we are that the model rejects the null hypothesis....
View Full Document

Page1 / 50

vv-3 - SUMMARY OUTPUT Regression Statistics Multiple R 0.61...

This preview shows document pages 1 - 5. Sign up to view the full document.

View Full Document Right Arrow Icon
Ask a homework question - tutors are online