Chapter 10 - UN-8CTHE SECURITY MARKET LINE-A SIMPLE

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Unformatted text preview: UN-8CTHE SECURITY MARKET LINE--A SIMPLE EXAMPLEAMRBSGEHRMOUKSP5001974-0.3505-0.1154-0.4246-0.2107-0.07580.2331-0.264719750.70830.24720.37190.22270.02130.35690.372019760.73290.36650.25500.58150.12760.07810.23841977-0.2034-0.4271-0.0490-0.09380.0712-0.2721-0.071819780.1663-0.0452-0.05730.27510.1372-0.13460.06561979-0.26590.01580.08980.07930.02150.22540.184419800.01240.47510.3350-0.18940.20020.36570.32421981-0.0264-0.2042-0.0275-0.74270.09130.0479-0.049119821.0642-0.14930.6968-0.26150.22430.04560.214119830.19420.36800.31101.86820.20660.26400.2251Mean0.20320.05310.15010.15290.10250.12100.1238Beta1.48201.08401.31071.29910.26220.49391.0000=SLOPE(B4:B13,$H$4:$H$13)=COVAR(B4:B13,$H$4:$H$13)/VARP($H$4:$H$13)Regressing the means on the betas:Intercept0.0766 <-- =INTERCEPT(B15:G15,B16:G16)Slope0.0545 <-- =SLOPE(B15:G15,B16:G16)R-squared0.2793 <-- =RSQ(B15:G15,B16:G16)MeanBeta0.20321.48200.05311.08400.15011.31070.15291.29910.10250.26220.12100.4939ABCDEFGH1234567891011121314151617181920212223242526272829303132333435SUMMARY OUTPUTRegression StatisticsMultiple R0.5285R Square0.2793Adjusted R Square0.0991Standard Error0.0485Observations6ANOVAdfSSMSFSignificance FRegression10.00360.00361.55030.2811Residual40.00940.0023Total50.0130Coefficients Standard Errort StatP-valueLower 95%Upper 95%Lower 95.0% Upper 95.0%Intercept0.07660.04761.60940.1828-0.05550.2087-0.05550.2087X Variable 10.05450.04381.24510.2811-0.06700.1761-0.06700.1761Data for SP500Variance-covariance matrixMeansreturnsMinus1974-0.2647AMRBSGEHRMOUKMeansConstant19750.3720AMR0.20600.03750.10770.04930.02080.00590.20320.103219760.2384BS0.03750.07900.03550.10280.00890.04060.0531-0.04691977-0.0718GE0.10770.03550.08670.04430.01940.01480.15010.050119780.0656HR0.04930.10280.04430.44350.01930.02740.15290.052919790.1844MO0.02080.00890.01940.01930.0083-0.00150.10250.002519800.3242UK0.00590.04060.01480.0274-0.00150.03920.12100.02101981-0.049119820.214119830.2251Calculating two efficient portfoliosConstant10%Mean0.1238 <-- =AVERAGE(P4:P13)0....
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Chapter 10 - UN-8CTHE SECURITY MARKET LINE-A SIMPLE

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