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The Excel file Stock Data contains monthly data for several stocks and the S&P 500 Index...

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Question

Statistics

  1. The Excel file Stock Data contains monthlydata for several stocks and the S&P 500 Index (i.e., themarket).
    1. Compute Beta for NT and the S & P 500 using theCovariance/Variance relationship.
    2. Compute Beta for NT and the S & P 500 using the EXCEL slopefunction.
    3. Compute the equation: Ri= ai +biRMKT for NT.
      1. Compute R2 for this equation.
      2. Compute the t-statistic for a.
        1. Is the t-statistic for a Significant or Not Significant?
      3. Compute the t-statistic for β.
        1. Is the t-statistic for β Significant or Not Significant?
NT
-3.23%
16.66%
-0.72%
2.16%
13.38%
10.56%
-3.93%
5.85%
-2.76%
5.11%
1.08%
3.74%
2.06%
-4.55%
17.46%
-0.45%
-1.81%
-11.98%
-2.09%
12.84%
-2.37%
9.71%
-1.77%
5.86%
6.81%
11.55%
7.14%
-2.67%
8.90%
0.31%
-1.57%
6.69%
4.18%
3.15%
3.89%
2.94%
-6.75%
-9.47%
-4.00%
-5.77%
-5.10%
-2.51%
-6.62%
22.05%
7.42%
3.30%
0.58%
1.16%
-0.72%
2.16%
13.38%
3.74%
2.06%
-4.55%
6.81%
11.55%
7.14%
-6.75%
7.42%
-9.47%
S&P 500
2.40%
5.20%
4.00%
-0.50%
9.00%
1.90%
-0.40%
-2.30%
2.10%
2.40%
-6.70%
1.30%
2.60%
-2.50%
9.80%
-0.70%
-0.30%
-9.00%
-4.90%
-0.40%
6.40%
2.70%
4.40%
7.20%
2.40%
0.30%
4.30%
-4.60%
4.70%
2.40%
-1.60%
1.30%
-4.00%
11.40%
-1.90%
1.30%
-2.00%
2.90%
0.50%
-1.50%
4.00%
-2.00%
1.20%
0.40%
3.40%
1.30%
0.70%
1.40%
4.00%
-0.50%
9.00%
1.30%
2.60%
-2.50%
2.40%
0.30%
4.30%
-2.00%
3.40%
2.90%

Answer & Explanation Solved by verified expert
3.6 Ratings (295 Votes)
Ans a The first is to use the formula forbeta which is calculated as the covariance between the returnra of the stock and the return rb of theindex divided by the variance of the index over a period of threeyearsbeta formula in excel BETA COVARA2 A61 B2 B61 VAR B2 B61following results are    See Answer
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