vv-4 - SUMMARY OUTPUT Regression Statistics Multiple R 0.66...

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Unformatted text preview: SUMMARY OUTPUT Regression Statistics Multiple R 0.66 R Square 0.43 Without controling for the degrees of freedom. Adjusted R Square 0.42 The % of msft's stock return variability explained by the Standard Error 0.06 Observations 73 >30 by central limit theory and law of large numbers ANOVA Analysis of Variance df SS MS F Regression 1 0.18 0.18 53.46 Residual 71 0.23 0 Tests the n Total 72 0.41 Coefficients Standard Error t Stat P-value Intercept 0.01 0.24 0.81 X Variable 1 (beta) 1.04 0.14 7.31 Big boy Beta Rule of thumb is t-stat Null is the variable ha P-value is like Sign F For every 1% change in the market, MSFT moves 1.04% in the sa RESIDUAL OUTPUT Observation Predicted Y Residuals ndard Residuals 1 0.02-0.06-1.07 2-0.02-0.02-0.37 3-0.02 0.07 1.16 4 0.03-0.01-0.17 5-0.04-0.67 6 0.04-0.01-0.14 7-0.01 0.08 1.45 8 0.01-0.07-1.22 9-0.02 0.02 0.27 10 0.04 0.04 0.74 11-0.06-0.98 12 0.03 0.05 0.85 13-0.04-0.78 14 0.01-0.01 15 0.01-0.13-2.23 16-0.03-0.03-0.49 17 0.03 0.48 18 0.01 0.03 0.45 19 0.02 0.05 0.85 20 0.03 0.04 0.65 21 0.03 0.02 0.27 22 0.02 0.01 0.13 23 0.01 0.04 24 0.02 0.02 0.31 25-0.02-0.06-1.11 26 0.01-0.02-0.4 27 0.05 0.03 0.48 28 0.04-0.01-0.12 29-0.02-0.02-0.4 30-0.03 0.02 0.27 31 0.01-0.02-0.36 32 0.04-0.01-0.23 33 0.02 0.23 4.09 34-0.04-0.04-0.71 35-0.01 0.07 1.18 36-0.06-0.02-0.39 37-0.03-0.13-2.25 38 0.05 0.85 39 0.05-0.05-0.81 40 0.01-0.02-0.28 41-0.09 0.06 1.04 42-0.01-0.06-0.99 43 0.01 0.05 0.9 44-0.09 0.07 1.25 45-0.17 0.01 0.19 46-0.08-0.01-0.21 47 0.01-0.05-0.85 48-0.09-0.03-0.58 49-0.11 0.06 1.11 50 0.09 0.05 0.83 51 0.1 0.07 52 0.06-0.02-0.34 53 0.14 2.4 54 0.08-0.09-1.57 55 0.04 0.02 0.31 56 0.04 0.09 57-0.02 0.1 1.71 58 0.06 0.07 59 0.02 0.02 0.29 60-0.04-0.04-0.68 61 0.03-0.01-0.16 62 0.06-0.04-0.72 63 0.02 0.03 0.45 64-0.08-0.07-1.19 65-0.05-0.05-0.95 66 0.07 0.05 0.86 67-0.05-0.04-0.67 68 0.09-0.05-0.86 69 0.04 0.05 0.86 70-0.05-0.81 71 0.07 0.04 0.63 72 0.03-0.03-0.56 73 0.03-0.07-1.24 entire model Significance F 99.99999997% 0 We are 1-Sign F sure we can reject. null hypothesis that the model has NO explanatory power. Lower 95% Upper 95% We are 95% sure the beta is -0.01 0.01 somewhere between 0.76 0.76 1.32 and 1.32. t>2 we can reject the null for each variable. as NO explanatory power. only for each individual variable. 99.99999997% sure the market me direction. PROBABILITY OUTPUT has explanatory power. Percentile Y 0.68-0.16 2.05-0.16 3.42-0.15 4.79-0.12 6.16-0.11 7.53-0.11 8.9-0.09 10.27-0.09 11.64-0.08 13.01-0.08 14.38-0.08 15.75-0.08 17.12-0.07 18.49-0.06 19.86-0.06 21.23-0.06 22.6-0.05 23.97-0.05 25.34-0.04-0.2 -0.15-0.1 -0.05-0.2-0.1 0.1 0.2 0.3 X Variable 1 L X Variable 1 Y 20-0.2-0.1 0.1 0.2 0.3 Normal Y 26.71-0.04 28.08-0.04 29.45-0.04 30.82-0.04 32.19-0.04 33.56-0.04 34.93-0.03 36.3-0.02 37.67-0.02 39.04-0.01 40.41-0.01 41.78-0.01 43.15-0.01 44.52 45.89 47.26 48.63 0.01 50 0.02 51.37 0.02 52.74 0.02 54.11 0.02 55.48 0.03 56.85 0.03 58.22 0.03 59.59 0.03 60.96 0.03 62.33 0.03 63.7 0.03 65.07 0.04 66.44 0.040....
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This note was uploaded on 04/07/2011 for the course BUS M 301 taught by Professor Jimbrau during the Winter '11 term at BYU.

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vv-4 - SUMMARY OUTPUT Regression Statistics Multiple R 0.66...

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