Logo
Home Study Material Contact Search
AI Chat FREE
  1. mathematics
  2. statistics
  3. you are interested in testing whether stock volati

You are interested in testing whether stock volatility, controlling for size and overall market returns, has...

70.2K

Verified Solution

Question

Statistics

You are interested in testing whether stock volatility,controlling for size and overall market returns, has an impact onreturns. You conduct a regression on 89 observations, using monthlyreturns, specified as follows: Ri = b0 + b1 Volatilityi + b2 Sizei+ b3 Rmarket + error Where Volatility is measured as standarddeviation of returns in the previous month, Size is the natural logof total assets, in millions, and Rmarket is the contemporaneousmarket index return.

Your regression results are as follows:

CoefficientStandard error
Incercept0.230.13
Volatility0.770.19
Size0.570.28
R market0.190.19

The regression sum of squares is 0.12 and the residual sum ofsquares is 1.92.

What is the F statistic for testing whether the threeindependent variables are jointly statistically related toreturns?

(Bonus question: is the regression statistically significant atthe 5% level? Use the FDIST function to find the p-value.)

The answer should be 1.77 and the hint professor gave was\"Review how to calculate the F statistic for a multipleregression.\" Please do the problem on excel and show all the steps.Thank you.

Answer & Explanation Solved by verified expert
3.6 Ratings (601 Votes)
The problem is solved in excel and the formula along withexplanation of the formula is givenFormulas to be    See Answer
Get Answers to Unlimited Questions

Join us to gain access to millions of questions and expert answers. Enjoy exclusive benefits tailored just for you!

Membership Benefits:
  • Unlimited Question Access with detailed Answers
  • Zin AI - 3 Million Words
  • 10 Dall-E 3 Images
  • 20 Plot Generations
  • Conversation with Dialogue Memory
  • No Ads, Ever!
  • Access to Our Best AI Platform: Flex AI - Your personal assistant for all your inquiries!
Become a Member

Other questions asked by students

Finance
1.2K views

A company is considering a 5-year project to open a new product line. A new machine...

Accounting
1.2K views

Why are debit cards called debit cards? Is the accounting term used correctly? What would the...

Physics
1.2K views

3 27x10 N Two point charges of 2C and 6C attract each other with a...

Calculus
1.2K views

Find the remainder when x + 6x + 4x - 3 is divided by x...

Algebra
1.2K views

2 Minimize P 15e 29y 1 given the following constraints y 3 y x 0...

Accounting
1.2K views

Jims Wholesale Foods had temporary differences related to the following future (deductible) or taxable amounts...

Accounting
1.2K views

Which of the following is calculated by taking the average annual profits expected from a...

Accounting
1.2K views

The lead consultant in your firm has asked you to conduct this review. The following...

Accounting
1.2K views

Explain the differences between relevant cost analysis and strategic cost analysis. No less than 250...

Accounting
1.2K views

Flora's Gifts reported the following current-month data for its only product. The company uses a...

Accounting
1.2K views

solve 3 plz Task 2 Question 2 For the last two...

Accounting
1.2K views

1. Name three common types of allowances that employers provide to employees. ...