Question

Let Y and X be weekly excess returns of a US firm and S&P 500 index for the past two years, respectively. The regression output for this data set in shown in the table below: (You can actually download similar data from http://finance.yahoo.com/) Variable Coefficient Intercept -0.008194 1.690067 t-value p-value 0.0282 12.392<2×10-16 s.e. 0.003680-2.22 7 0.136379 n 103 R 0.6033 s 0.03734

Answer 1

(vii)

Misplacing Y and X will change the least square regression line but R^2 will remain same. It will not change.

So he can explain that 60.33% variation in dependent variable is explained by independent variable.