Question-2: You are interested in determining what factors influence the price of a stock. After some examination, a statistician hypothesized that a stock price (Y in S) would be affected by its quarterly dividends (X1 in $), its price/earnings ratio (X2), and the interest rate of treasury bills (X3 in %). The values of the relevant variables were observed for a period of 40 quarters. When the data were run on Excel, the following partial printout was created. Multiple Regression Analysis Parameter Estimate SE t-Statistic Constant 17.3925 ? ? 5.5054 5.5254 X1 7.5016 -0.4158 0.57091 X2 0.5228 ? 1.3982 X3 ? Analysis of Variance Source Sum of Squares Df Mean Square F-Ratio Model ? ? ? Residual 180.095 ? Total 697.040 ? R-squared ? Adjusted R-Squared = ? a) What is the value of b1? Carefully explain what this number means. b) What is the value of SSR? Carefully explain what this number means. c) Test at the 5% level of significance the hypothesis that there is a linear and negative relation between price/earning (X2) and the stock price. State your conclusions in the context of the problem. d) Test the following hypothesis, use a=99. State your conclusions in the context of the problem. Ho: B, = B, = B, = 0

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Question-2: You are interested in determining what factors influence the price of a stock. After some
examination, a statistician hypothesized that a stock price (Y in $) would be affected by its quarterly
dividends (X1 in $), its price/earnings ratio (X2), and the interest rate of treasury bills (X3 in %). The
values of the relevant variables were observed for a period of 40 quarters. When the data were run on
Excel, the following partial printout was created.
Multiple Regression Analysis
Parameter
Estimate
SE
t-Statistic
Constant
X1
17.3925
5.5254
?
?
7.5016
5.5054
-0.4158
0.57091
X2
0.5228
?
?
1.3982
X3
Analysis of Variance
Source
Sum of Squares Df Mean Square
F-Ratio
Model
Residual
?
?
?
180.095
?
Total
697.040
R-squared = ?
Adjusted R-Squared = ?
a) What is the value of b1? Carefully explain what this number means.
b) What is the value of SSR? Carefully explain what this number means.
c) Test at the 5% level of significance the hypothesis that there is a linear and negative relation between
price/earning (X2) and the stock price. State your conclusions in the context of the problem.
d) Test the following hypothesis, use a=.99. State your conclusions in the context of the problem.
Họ: B, = B2 = B, = 0
Transcribed Image Text:1:43 0 4G Question-2: You are interested in determining what factors influence the price of a stock. After some examination, a statistician hypothesized that a stock price (Y in $) would be affected by its quarterly dividends (X1 in $), its price/earnings ratio (X2), and the interest rate of treasury bills (X3 in %). The values of the relevant variables were observed for a period of 40 quarters. When the data were run on Excel, the following partial printout was created. Multiple Regression Analysis Parameter Estimate SE t-Statistic Constant X1 17.3925 5.5254 ? ? 7.5016 5.5054 -0.4158 0.57091 X2 0.5228 ? ? 1.3982 X3 Analysis of Variance Source Sum of Squares Df Mean Square F-Ratio Model Residual ? ? ? 180.095 ? Total 697.040 R-squared = ? Adjusted R-Squared = ? a) What is the value of b1? Carefully explain what this number means. b) What is the value of SSR? Carefully explain what this number means. c) Test at the 5% level of significance the hypothesis that there is a linear and negative relation between price/earning (X2) and the stock price. State your conclusions in the context of the problem. d) Test the following hypothesis, use a=.99. State your conclusions in the context of the problem. Họ: B, = B2 = B, = 0
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