The following equation has been estimated by OLS: = 0.567 + 1.045Rmt n=250 (0.33) (0.066) where R; and Rmt denote the excess return of a stock and the excess return of the market index for the London Stock Exchange. (a) Derive a 95% confidence interval for each coefficient. (b) Are these coefficients statistically significant? Explain the meaning of your findings with regard to the Capital Asset Pricing Model (CAPM) theory. (c) Test the hypotheses Ho: B =1 and Ha: ß < 1 at the 1% level of significance. If you reject Ho what does this indicate about this stock?
The following equation has been estimated by OLS: = 0.567 + 1.045Rmt n=250 (0.33) (0.066) where R; and Rmt denote the excess return of a stock and the excess return of the market index for the London Stock Exchange. (a) Derive a 95% confidence interval for each coefficient. (b) Are these coefficients statistically significant? Explain the meaning of your findings with regard to the Capital Asset Pricing Model (CAPM) theory. (c) Test the hypotheses Ho: B =1 and Ha: ß < 1 at the 1% level of significance. If you reject Ho what does this indicate about this stock?
MATLAB: An Introduction with Applications
6th Edition
ISBN:9781119256830
Author:Amos Gilat
Publisher:Amos Gilat
Chapter1: Starting With Matlab
Section: Chapter Questions
Problem 1P
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