hw2a - Month 1/31/2000 2/29/2000 3/31/2000 4/28/2000...

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Excess Returns Correlations Month IBM AAPL Market T-Bil IBM AAPL Portfolio Market Mean Std. Dev IBM AAPL Market 1/31/2000 0.040556 0.009119 -0.039744 0.004343 0.036213 0.004776 0.014207 -0.044087 IBM 0.380% 8.556% 1 0.491 0.637 2/29/2000 -0.083563 0.104819 0.031769 0.004295 -0.087858 0.100524 0.044009 0.027474 AAPL 2.721% 14.699% 0.491 1 0.563 3/31/2000 0.148418 0.184842 0.053553 0.004377 0.144041 0.180465 0.169538 0.049176 Market -0.084% 4.931% 0.637 0.563 1 4/28/2000 -0.055085 -0.086516 -0.059466 0.004595 -0.059680 -0.091111 -0.081682 -0.064061 Portfolio 2.018% 11.764% 5/31/2000 -0.035830 -0.322922 -0.039047 0.004782 -0.040612 -0.327704 -0.241576 -0.043829 IBM 6/30/2000 0.020373 0.247024 0.051649 0.003744 0.016629 0.243280 0.175285 0.047905 SUMMARY OUTPUT 7/31/2000 0.026241 -0.029833 -0.017106 0.004772 0.021469 -0.034605 -0.017783 -0.021878 8/31/2000 0.175142 0.199262 0.075811 0.005002 0.170140 0.194260 0.187024 0.070809 Regression Statistics 9/29/2000 -0.147727 -0.577436 -0.051138 0.005093 -0.152820 -0.582529 -0.453616 -0.056231 Multiple R 0.6367 10/31/2000 -0.124444 -0.240291 -0.024564 0.005217 -0.129661 -0.245508 -0.210754 -0.029781 R Square 0.4054 11/30/2000 -0.049442 -0.156550 -0.102545 0.004966 -0.054408 -0.161516 -0.129384 -0.107511 Adjusted R Square 0.4003 12/29/2000 -0.090909 -0.098485 0.020345 0.004909 -0.095818 -0.103394 -0.101121 0.015436 Standard Error 0.0663 1/31/2001 0.317647 0.453782 0.039531 0.005243 0.312404 0.448539 0.407699 0.034288 Observations 120 2/28/2001 -0.106875 -0.156069 -0.099267 0.003653 -0.110528 -0.159722 -0.144964 -0.102920 3/30/2001 -0.037237 0.209315 -0.070291 0.004320 -0.041557 0.204995 0.131029 -0.074611 ANOVA 4/30/2001 0.197130 0.154961 0.083906 0.003864 0.193266 0.151097 0.163748 0.080042 df SS MS F Significance F 5/31/2001 -0.027792 -0.217340 0.010562 0.003183 -0.030975 -0.220523 -0.163659 0.007379 Regression 1 0.3532 0.3532 80.4439 0.000 6/29/2001 0.010733 0.165413 -0.017480 0.002778 0.007955 0.162635 0.116231 -0.020258 Residual 118 0.5180 0.0044 7/31/2001 -0.068938 -0.191828 -0.018321 0.002999 -0.071937 -0.194827 -0.157960 -0.021320 Total 119 0.8712 8/31/2001 -0.048665 -0.012773 -0.059080 0.002996 -0.051661 -0.015769 -0.026537 -0.062076 9/28/2001 -0.082341 -0.163881 -0.091539 0.002730 -0.085071 -0.166611 -0.142149 -0.094269 Coefficients Standard Error t Stat P-value Lower 95% Upper 95% 10/31/2001 0.178260 0.132173 0.027967 0.002154 0.176106 0.130019 0.143845 0.025813 Alpha 0.0047 0.0060 0.78 0.436 -0.0073 0.0167 11/30/2001 0.070880 0.212984 0.078734 0.001749 0.069131 0.211235 0.168604 0.076985 Beta 1.1047 0.1232 8.97 0.000 0.8608 1.3486 12/31/2001 0.046457 0.028169 0.017842 0.001484 0.044973 0.026685 0.032171 0.016358 1/31/2002 -0.108052 0.128767 -0.016060 0.001390 -0.109442 0.127377 0.056331 -0.017450 2/28/2002 -0.089258 -0.122168 -0.021706 0.001285 -0.090543 -0.123453 -0.113580 -0.022991 AAPL 3/28/2002 0.059927 0.090783 0.044693 0.001341 0.058586 0.089442 0.080185 0.043352 SUMMARY OUTPUT 4/30/2002
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