16 - Chapter 2, Exercise Solutions, Principles of...

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Chapter 2, Exercise Solutions, Principles of Econometrics, 3e 16 EXERCISE 2.10 (a) The model is a simple regression model because it can be written as 12 y xe =β +β + where jf y rr =− , mf x , 1 j β =α and 2 j β =β . (b) Firm Microsoft General Electric General Motors IBM Disney Exxon- Mobil 2 ˆ j b 1.430 0.983 1.074 1.268 0.959 0.403 The stocks Microsoft, General Motors and IBM are aggressive with Microsoft being the most aggressive with a beta value of 2 ˆ 1.430 β= . General Electric, Disney and Exxon- Mobil are defensive with Exxon-Mobil being the most defensive since it has a beta value
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