Excess market index return rmt rft X axis 230014607867722 243335887603648

Excess market index return rmt rft x axis

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Excess market index return = rmt - rft (X-axis) 2.30014607867722 2.43335887603648 -0.448858787792041 -3.13408057904702 5.4692511014554 -1.76961069137562 0.832081973012474 1.02913823933169 -2.12116723759005 1.94420296967213 -6.32808181672028 -2.66428315732271 8.27831177603941 -0.069513073927598 -1.98301851763144 -5.33353219729464 -0.722836043029912 6.30911145773651 0.039939848087326 1.26246023575726 -0.178907887902189 3.26098011252543 -0.421924313604803 -0.413445084432539 -2.27256792795575 2.96745221875705 1.31007621968952 1.27843581714646 3.19981603372791 -0.778919718808454 0.109120854931821 0.267625139134142 -0.498622490914456 0.864882611803061 -0.955356718891432 0.900297853324368 1.14881353303496 -0.857995698966336 2.11425573644229 4.20787044441331 -5.46473720618969 -4.38844986248251 -1.48812248683565 -15 -10 -5 f(x) = 0.4859198111527 EXcess return of stock -15 -10 f(x) = 0.355132238007 f(x) = 0.3551322380 EXcess return of stoc
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0.300834196529191 -1.41575639758134 1.64215562213672 0.996321146605453 -1.70057128973385 -9.19033560244295 -0.544064321115093 -11.5476894596564 5.49844016550367 0.582888912635221 -0.607574378818288 1.55134983956826 -8.92777311892869 4.72301639256122 -0.787184785002224 -3.75916272813267 -0.171882217079135
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0 5 10 -15 -10 -5 0 5 10 15 20 777 x + 0.815551321949184 against excess market index return (60 Months) Column C Linear (Column C) Linear (Column C) Linear (Column C) -5 0 5 10 -15 -10 -5 0 5 10 7487 x + 0.685273257879236 007487 x + 0.685273257879236 ck against excess market index return (36 Months)
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SUMMARY OUTPUT Regression Statistics Multiple R 0.43403192 R Square 0.18838371 18.8% of variance in MACD ret Adjusted R Square 0.17439033 Standard Error 3.61586264 Observations 60 ANOVA df SS MS Regression 1 176.012872127 176.012872 Residual 58 758.318831279 13.0744626 Total 59 934.331703406 Coefficients Standard Error t Stat Intercept 0.81555132 0.46784562215 1.74320606 Excess market index return = rmt - rft 0.48591981 0.13243546923 3.66910627 each 1% increase in S&P 500, MACD moves Beta = 0.4859 Alpha = 0.8156 α βi
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turns attributable to S&P returns Overall F testSignificance ass F statistic is a value you get when you run an ANOVA test or regress F Significance F Results are reliable(Statistically significant) since significance F is le 13.4623409 0.00053083508 there is a 0.05% probability that the relationship between stock ret Null hypothesis is that MACD's stock return and S&P 500 returns ar The p-value of 0.00053<0.05 results are highly statistically significa P-value Lower 95% Upper 95% Lower 95.0% Upper 95.0% 0.08659684 -0.1209434398 1.75204608 -0.12094344 1.75204608 0.00053084 0.22082141687 0.75101821 0.22082142 0.75101821 up by 0.48%
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sion analysis to find out if the means between the two populations are significantly different ess than 0.05 turn and market return is by chance re equivalent/no difference in means ant and we reject the null hypothesis
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Year Excess return of stock (Y) Excess return of market (X) Predicted Y 10/1/2014 -1.159106230124 2.30014607867722 1.93324097962926 11/1/2014 3.26603047156412 2.43335887603648 1.99796907786612 12/1/2014 -2.3868631895756 -0.448858787792041 0.59749951501185 1/1/2015 -1.37469223993932 -3.13408057904702 -0.7072497533589 2/1/2015 6.96831009232683 5.4692511014554 3.47310911019718 3/1/2015 -0.650025851941397 -1.76961069137562 -0.0442538349394 4/1/2015 -0.933418259366028 0.832081973012474 1.21990863068676 5/1/2015 -0.662134228940757 1.02913823933169 1.31565827049127 6/1/2015 -0.05523867921604 -2.12116723759005 -0.215075160745 7/1/2015 5.00838254633817 1.94420296967213 1.76028822296369 8/1/2015 -2.60353128506385 -6.32808181672028 -2.2592149547444 9/1/2015 2.10476624299443 -2.66428315732271 -0.4789751861431 10/1/2015 13.9047155191014 8.27831177603941 4.83803169197755 11/1/2015 1.58156059215441 -0.069513073927598 0.78182359737858 12/1/2015 4.06772719434297 -1.98301851763144 -0.1479486977171 1/1/2016 4.51399724777035 -5.33353219729464 -1.7759632946655 2/1/2016 -5.6339547131775 -0.722836043029912 0.46437396669177 3/1/2016 7.7670876205751 6.30911145773651 3.88119725731417 4/1/2016 0.414497737156508 0.039939848087326 0.83500677218563 5/1/2016 -3.77225272446229 1.26246023575726 1.42902942855445 6/1/2016 -1.67914080459293 -0.178907887902189 0.72866865726833 7/1/2016 -1.8167148074247 3.26098011252543 2.40011023667611 8/1/2016 -1.99144697457581 -0.421924313604803 0.61058697601943 9/1/2016 0.225775573319648 -0.413445084432539 0.61470703347423 10/1/2016 -2.74853426589574 -2.27256792795575 -0.2886407561937 11/1/2016 5.50185413938866 2.96745221875705 2.25748503309405 12/1/2016 2.33776052569053 1.31007621968952 1.45216603514714 1/1/2017 0.188328323000677 1.27843581714646 1.43679196355146 2/1/2017 3.62457133740532 3.19981603372791 2.37039061078839 3/1/2017 1.54279317637125 -0.778919718808454 0.43712290863097 4/1/2017 7.16236951913048 0.109120854931821 0.86862182341137 5/1/2017 6.94245136141806 0.267625139134142 0.94563905510528 6/1/2017 0.5244036015063 -0.498622490914456 0.57331933166467 7/1/2017 0.857759306142701 0.864882611803061 1.23584646107511 8/1/2017 2.1033203909058 -0.955356718891432 0.35139217029065 9/1/2017 -2.50555387259714 0.900297853324368 1.25305472693031 10/1/2017 5.45923361188683 1.14881353303496 1.37380849570169 11/1/2017 1.80158091810019 -0.857995698966336 0.39869988987226 12/1/2017 -0.636113196776146 2.11425573644229 1.84291686233731 1/1/2018 -1.97936315218365 4.20787044441331 2.86020424894043 2/1/2018 -9.3998496981695 -5.46473720618969 -1.8397158084876 3/1/2018 -1.93499683819779 -4.38844986248251 -1.3167477881803 4/1/2018 5.31250886704402 -1.48812248683565 0.09252128364656 5/1/2018 -6.29741777976281 0.300834196529191 0.96177533609353
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6/1/2018 -3.97485257032042 -1.41575639758134 0.12768396641523 7/1/2018 -0.778875046064541 1.64215562213672 1.61352341679623 8/1/2018 0.947037808452419 0.996321146605453 1.29971244513559 9/1/2018 1.63275449248358 -1.70057128973385 -0.0107075896817 10/1/2018 3.49451410687086 -9.19033560244295 -3.649984069227
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