3. Say I regress y on x. The returns are monthly. Let Harry’s portfolio be y...
3. Say I regress y on x. The returns are monthly. Let Harry’s portfolio be y and the market portfolio be x. I find that the intercept is 0.2 and the standard error on the intercept is 0.25? What can I conclude about Harry?
Homework Answers
Y:- Harry's portfolio
X:- market portfolio
Y = intercept + ( slope * X )
Y = 0.2 + ( slope * X )
If we take X = 0 then mean of response variable Y ( Harry's portfolio ) increased by 0.20
Standard error of intercept represents average distance that observed values fall from the regression line.
It minimizes the distance of data points from regression line by 0.25
Harry's portfolio is almost closes to market portfolio.
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3. Say I regress y on x. The returns are monthly. Let Harry’s
portfolio be y...
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Answer to question 3
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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 Suppose that the model satisfies the usual SLR model assumptions, and that the SST for Y is 0.355....
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Name: 3. The means and standard deviations for the monthly returns from three Fidelity mutual funds for the 60 months ending in January 2019 are given in the table below. X = monthly return on Magellan Fund Y = monthly return on Energy Fund z = monthly return on Japan Fund EDX) = 2.28% E(Y) = 4.54% EIZ) = 2.47% S00) - 3.98% SD(Y)= 7.06% SD(Z) = 5 20% Many advisers recommend roughly 20% foreign stocks to diversity portfolios of...
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Answer to question 3
Let Y and X be weekly excess returns of a US firm and S&P 500 index for the past two years, respectively. (You can actually download similar data from http://finance.yahoo.com/) The regression output for this data set in shown in the table below: Variable Coefficient t-value s.е. Intercept -0.008194 0.003680 1.690067 0.136379 p-value 0.0282 2 x 10-16 12.392 Sq-0.03734 n= 103 17=0.6033 Suppose that the model satisfies the usual SLR model assumptions, and that the SST...
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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 Suppose that the model satisfies the usual SLR model assumptions, and that the SST for Y is 0.355....
Q18. Use the following scenario analysis for Stocks X and Y to answer problems. Bear Market Normal Market 0.2 Probability Stock X Bull Market 0.3 50% 10% 0.5 18% 20% -20% -15% Stock Y a) What are the standard deviations of returns on Stocks X and Y? b) Assume that of your $10,000 portfolio, you invest $9,000 in Stock X and $1,000 in Stock Y. What is the expected return on your portfolio?
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6. Let X and Y denote the number of times Harry Potter and Ron Weasley manage to irritate Professor Snape in one day, respectively. Suppose that X and Y have the following joint probability distribution: x у 0 2 در 4 0 0.15 0.10 0.05 0 0 0.10 0.10 0.20 0.10 0 2 0 0 0.05 0.10 0.05 Px(x) 0.25 0.20 0.30 0.20 0.05 Recall Homework 4: E(X)= 1.6, SD(X)= 1.2. f) Find the probability that Harry Potter irritates Professor...
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