An investment specialist claims that if one holds a portfolio that moves in the opposite direction to the market index like the S&P 500, then it is possible to reduce the variability of the portfolio's return. In other words, one can create a portfolio with positive returns but less exposure to risk. A sample of 26 years of S&P 500 Index and a portfolio consisting of stocks of private prisons, which are believed to be negatively related to the S&P 500 Index, is collected. A regression analysis was performed by regressing the returns of the prison stocks portfolio (Y) on the returns of S&P 500 Index (X) to prove that the prison stocks portfolio is negatively related to the S&P 500 Index at a 5% level of significance. The results are given in the following Microsoft® Excel output. Standard Error T Stat P-value Coefficients 4.8660 0.3574 13.6136 Intercept S&P 8.7932E-13 -0.5025 0.0716 -7.0186 2.94942E-07 Note: 2.94942E-07 = 2.94942 * 10-/ Referring to Table 12-7, to test whether the prison stocks portfolio is negatively related to the S&P 500 Index, the measured value of the test statistic is Seleccione una: O A. -0.503 Ов. 0.357 О с. 0.072 O D. -7.019

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TABLE 12-7
An investment specialist claims that if one holds a portfolio that moves in the opposite direction to the market
index like the s&P 500, then it is possible to reduce the variability of the portfolio's return. In other words, one can
create a portfolio with positive returns but less exposure to risk. A sample of 26 years of S&P 500 Index and a
portfolio consisting of stocks of private prisons, which are believed to be negatively related to the S&P 500 Index,
is collected. A regression analysis was performed by regressing the returns of the prison stocks portfolio (Y) on the
returns of S&P 500 Index (X) to prove that the prison stocks portfolio is negatively related to the S&P 500 Index at
a 5% level of significance. The results are given in the following Microsoft® Excel output.
Standard Error
0.3574
T Stat
P-value
Coefficients
4.8660
Intercept
S&P
13.6136
8.7932E-13
-0.5025
0.0716
-7.0186
2.94942E-07
Note: 2.94942E-07 = 2.94942 * 10-/
Referring to Table 12-7, to test whether the prison stocks portfolio is negatively related to the S&P 500 Index, the
measured value of the test statistic is
Seleccione una:
O A.
-0.503
Ов.
0.357
Ос.
0.072
O D.
-7.019
Transcribed Image Text:TABLE 12-7 An investment specialist claims that if one holds a portfolio that moves in the opposite direction to the market index like the s&P 500, then it is possible to reduce the variability of the portfolio's return. In other words, one can create a portfolio with positive returns but less exposure to risk. A sample of 26 years of S&P 500 Index and a portfolio consisting of stocks of private prisons, which are believed to be negatively related to the S&P 500 Index, is collected. A regression analysis was performed by regressing the returns of the prison stocks portfolio (Y) on the returns of S&P 500 Index (X) to prove that the prison stocks portfolio is negatively related to the S&P 500 Index at a 5% level of significance. The results are given in the following Microsoft® Excel output. Standard Error 0.3574 T Stat P-value Coefficients 4.8660 Intercept S&P 13.6136 8.7932E-13 -0.5025 0.0716 -7.0186 2.94942E-07 Note: 2.94942E-07 = 2.94942 * 10-/ Referring to Table 12-7, to test whether the prison stocks portfolio is negatively related to the S&P 500 Index, the measured value of the test statistic is Seleccione una: O A. -0.503 Ов. 0.357 Ос. 0.072 O D. -7.019
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