To set up the spreadsheet of the given data as per the Example 6.3 and to find the beta of Apple Introduction: The net loss or the net gain on any investment over a certain time period which is expressed as the investment's initial cost percentage is the rate of return or ROR.

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Answer 1

Question

Chapter 6, Problem 22PS

Summary Introduction

To determine:

To set up the spreadsheet of the given data as per the Example 6.3 and to find the beta of Apple

Introduction:

The net loss or the net gain on any investment over a certain time period which is expressed as the investment's initial cost percentage is the rate of return or ROR.

Expert Solution & Answer

Answer to Problem 22PS

The beta is 0.87

Explanation of Solution

Given Information:

The data is available in Connect. It shows a data for five year period.

From the Connect, the data is obtained as below:

	S&P		RF (T-bill)		Excess returns
Month	Return	Return	Return	Month		S&P
Jan-04	1.35	0.56	0.07	Jan-04	0.49	1.28
Feb-04	-1.32	0.00	0.06	Feb-04	-0.06	-1.38
Mar-04	-1.89	-3.19	0.09	Mar-04	-3.28	-1.98
Apr-04	1.70	0.00	0.08	Apr-04	-0.08	1.62
May-04	1.85	-0.25	0.06	May-04	-0.31	1.79
Jun-04	-3.22	2.39	0.08	Jun-04	2.31	-3.30
Jul-04	0.25	1.69	0.1	Jul-04	1.59	0.15
Aug-04	1.00	1.51	0.11	Aug-04	1.40	0.89
Sep-04	1.29	0.08	0.11	Sep-04	-0.03	1.18
Oct-04	4.46	-1.17	0.11	Oct-04	-1.28	4.35
Nov-04	3.01	1.97	0.15	Nov-04	1.82	2.86
Dec-04	-2.24	-3.02	0.16	Dec-04	-3.18	-2.40
Jan-05	2.09	-0.24	0.16	Jan-05	-0.40	1.93
Feb-05	-1.83	-15.28	0.16	Feb-05	-15.44	-1.99
Mar-05	-1.87	-7.84	0.21	Mar-05	-8.05	-2.08
Apr-05	3.22	2.25	0.21	Apr-05	2.04	3.01
May-05	0.15	4.91	0.24	May-05	4.67	-0.09
Jun-05	3.82	5.44	0.23	Jun-05	5.21	3.59
Jul-05	-0.93	-8.88	0.24	Jul-05	-9.12	-1.17
Aug-05	0.80	-5.37	0.3	Aug-05	-5.67	0.50
Sep-05	-2.36	-7.77	0.29	Sep-05	-8.06	-2.65
Oct-05	4.39	-7.52	0.27	Oct-05	-7.79	4.12
Nov-05	-0.19	-4.31	0.31	Nov-05	-4.62	-0.50
Dec-05	2.41	12.61	0.32	Dec-05	12.29	2.09
Jan-06	0.57	-3.43	0.35	Jan-06	-3.78	0.22
Feb-06	1.65	6.04	0.34	Feb-06	5.70	1.31
Mar-06	1.26	1.23	0.37	Mar-06	0.86	0.89
Apr-06	-3.01	6.39	0.36	Apr-06	6.03	-3.37
May-06	0.26	5.18	0.43	May-06	4.75	-0.17
Jun-06	0.45	4.63	0.4	Jun-06	4.23	0.05
Jul-06	2.18	-1.41	0.4	Jul-06	-1.81	1.78
Aug-06	2.70	6.11	0.42	Aug-06	5.69	2.28
Sep-06	3.16	3.60	0.41	Sep-06	3.19	2.75
Oct-06	1.99	0.61	0.41	Oct-06	0.20	1.58
Nov-06	0.77	0.52	0.42	Nov-06	0.10	0.35
Dec-06	1.51	6.70	0.4	Dec-06	6.30	1.11
Jan-07	-1.96	-0.16	0.44	Jan-07	-0.60	-2.40
Feb-07	1.16	-0.73	0.38	Feb-07	-1.11	0.78
Mar-07	4.42	-0.08	0.43	Mar-07	-0.51	3.99
Apr-07	3.39	1.87	0.44	Apr-07	1.43	2.95
May-07	-1.46	-0.24	0.41	May-07	-0.65	-1.87
Jun-07	-3.13	-6.32	0.4	Jun-07	-6.72	-3.53
Jul-07	1.28	-4.78	0.4	Jul-07	-5.18	0.88
Aug-07	3.88	8.79	0.42	Aug-07	8.37	3.46
Sep-07	1.35	-0.25	0.32	Sep-07	-0.57	1.03
Oct-07	-3.87	-6.86	0.32	Oct-07	-7.18	-4.19
Nov-07	-1.13	-5.59	0.34	Nov-07	-5.93	-1.47
Dec-07	-6.04	11.18	0.27	Dec-07	10.91	-6.31
Jan-08	-2.58	-3.13	0.21	Jan-08	-3.34	-2.79
Feb-08	-0.90	-9.60	0.13	Feb-08	-9.73	-1.03
Mar-08	4.77	8.78	0.17	Mar-08	8.61	4.60
Apr-08	1.51	-6.48	0.17	Apr-08	-6.65	1.34
May-08	-8.35	-15.56	0.17	May-08	-15.73	-8.52
Jun-08	-0.90	-11.01	0.17	Jun-08	-11.18	-1.07
Jul-08	1.55	-4.92	0.15	Jul-08	-5.07	1.40
Aug-08	-9.42	-29.61	0.12	Aug-08	-29.73	-9.54
Sep-08	-16.52	-13.77	0.15	Sep-08	-13.92	-16.67
Oct-08	-6.96	-26.04	0.08	Oct-08	-26.12	-7.04
Nov-08	0.99	-25.44	0.02	Nov-08	-25.46	0.97
Dec-08	-8.22	23.02	0.09	Dec-08	22.93	-8.31
					AVERAGE(F6:F65)	AVERAGE(G6:G65)
					-2.12	-0.55


Covariance matrix

S&P return		CORREL(F6:F65, G6:G65)
		0.3716121

Regression Statistics

Multiple R	0.37
R Square	B78*B78	0.1369
Adjusted R Square	0.12
Standard Error	8.32
Observation	60

	Coefficients	Standard Error	t Stat	P-value	P-value
Intercept	-1.65	1.08	-1.52	D85-B85	0.13
Spy	0.87	0.28	3.05		0

The Excel calculations given above give the price movement of S&P index and Apple. To get the covariance, the average of the excess returns is calculated.

Excel analysis is used on the given spreadsheet and the data is obtained from that.

From this, 0.37 is obtained as the multiple regressions. The R-Square is obtained as 0.14. The standard error value is 8.32.

Therefore, the beta is 0.87.

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Answer 2

Question

Chapter 6, Problem 22PS

Summary Introduction

To determine:

To set up the spreadsheet of the given data as per the Example 6.3 and to find the beta of Apple

Introduction:

The net loss or the net gain on any investment over a certain time period which is expressed as the investment's initial cost percentage is the rate of return or ROR.

Expert Solution & Answer

Answer to Problem 22PS

The beta is 0.87

Explanation of Solution

Given Information:

The data is available in Connect. It shows a data for five year period.

From the Connect, the data is obtained as below:

	S&P		RF (T-bill)		Excess returns
Month	Return	Return	Return	Month		S&P
Jan-04	1.35	0.56	0.07	Jan-04	0.49	1.28
Feb-04	-1.32	0.00	0.06	Feb-04	-0.06	-1.38
Mar-04	-1.89	-3.19	0.09	Mar-04	-3.28	-1.98
Apr-04	1.70	0.00	0.08	Apr-04	-0.08	1.62
May-04	1.85	-0.25	0.06	May-04	-0.31	1.79
Jun-04	-3.22	2.39	0.08	Jun-04	2.31	-3.30
Jul-04	0.25	1.69	0.1	Jul-04	1.59	0.15
Aug-04	1.00	1.51	0.11	Aug-04	1.40	0.89
Sep-04	1.29	0.08	0.11	Sep-04	-0.03	1.18
Oct-04	4.46	-1.17	0.11	Oct-04	-1.28	4.35
Nov-04	3.01	1.97	0.15	Nov-04	1.82	2.86
Dec-04	-2.24	-3.02	0.16	Dec-04	-3.18	-2.40
Jan-05	2.09	-0.24	0.16	Jan-05	-0.40	1.93
Feb-05	-1.83	-15.28	0.16	Feb-05	-15.44	-1.99
Mar-05	-1.87	-7.84	0.21	Mar-05	-8.05	-2.08
Apr-05	3.22	2.25	0.21	Apr-05	2.04	3.01
May-05	0.15	4.91	0.24	May-05	4.67	-0.09
Jun-05	3.82	5.44	0.23	Jun-05	5.21	3.59
Jul-05	-0.93	-8.88	0.24	Jul-05	-9.12	-1.17
Aug-05	0.80	-5.37	0.3	Aug-05	-5.67	0.50
Sep-05	-2.36	-7.77	0.29	Sep-05	-8.06	-2.65
Oct-05	4.39	-7.52	0.27	Oct-05	-7.79	4.12
Nov-05	-0.19	-4.31	0.31	Nov-05	-4.62	-0.50
Dec-05	2.41	12.61	0.32	Dec-05	12.29	2.09
Jan-06	0.57	-3.43	0.35	Jan-06	-3.78	0.22
Feb-06	1.65	6.04	0.34	Feb-06	5.70	1.31
Mar-06	1.26	1.23	0.37	Mar-06	0.86	0.89
Apr-06	-3.01	6.39	0.36	Apr-06	6.03	-3.37
May-06	0.26	5.18	0.43	May-06	4.75	-0.17
Jun-06	0.45	4.63	0.4	Jun-06	4.23	0.05
Jul-06	2.18	-1.41	0.4	Jul-06	-1.81	1.78
Aug-06	2.70	6.11	0.42	Aug-06	5.69	2.28
Sep-06	3.16	3.60	0.41	Sep-06	3.19	2.75
Oct-06	1.99	0.61	0.41	Oct-06	0.20	1.58
Nov-06	0.77	0.52	0.42	Nov-06	0.10	0.35
Dec-06	1.51	6.70	0.4	Dec-06	6.30	1.11
Jan-07	-1.96	-0.16	0.44	Jan-07	-0.60	-2.40
Feb-07	1.16	-0.73	0.38	Feb-07	-1.11	0.78
Mar-07	4.42	-0.08	0.43	Mar-07	-0.51	3.99
Apr-07	3.39	1.87	0.44	Apr-07	1.43	2.95
May-07	-1.46	-0.24	0.41	May-07	-0.65	-1.87
Jun-07	-3.13	-6.32	0.4	Jun-07	-6.72	-3.53
Jul-07	1.28	-4.78	0.4	Jul-07	-5.18	0.88
Aug-07	3.88	8.79	0.42	Aug-07	8.37	3.46
Sep-07	1.35	-0.25	0.32	Sep-07	-0.57	1.03
Oct-07	-3.87	-6.86	0.32	Oct-07	-7.18	-4.19
Nov-07	-1.13	-5.59	0.34	Nov-07	-5.93	-1.47
Dec-07	-6.04	11.18	0.27	Dec-07	10.91	-6.31
Jan-08	-2.58	-3.13	0.21	Jan-08	-3.34	-2.79
Feb-08	-0.90	-9.60	0.13	Feb-08	-9.73	-1.03
Mar-08	4.77	8.78	0.17	Mar-08	8.61	4.60
Apr-08	1.51	-6.48	0.17	Apr-08	-6.65	1.34
May-08	-8.35	-15.56	0.17	May-08	-15.73	-8.52
Jun-08	-0.90	-11.01	0.17	Jun-08	-11.18	-1.07
Jul-08	1.55	-4.92	0.15	Jul-08	-5.07	1.40
Aug-08	-9.42	-29.61	0.12	Aug-08	-29.73	-9.54
Sep-08	-16.52	-13.77	0.15	Sep-08	-13.92	-16.67
Oct-08	-6.96	-26.04	0.08	Oct-08	-26.12	-7.04
Nov-08	0.99	-25.44	0.02	Nov-08	-25.46	0.97
Dec-08	-8.22	23.02	0.09	Dec-08	22.93	-8.31
					AVERAGE(F6:F65)	AVERAGE(G6:G65)
					-2.12	-0.55


Covariance matrix

S&P return		CORREL(F6:F65, G6:G65)
		0.3716121

Regression Statistics

Multiple R	0.37
R Square	B78*B78	0.1369
Adjusted R Square	0.12
Standard Error	8.32
Observation	60

	Coefficients	Standard Error	t Stat	P-value	P-value
Intercept	-1.65	1.08	-1.52	D85-B85	0.13
Spy	0.87	0.28	3.05		0

The Excel calculations given above give the price movement of S&P index and Apple. To get the covariance, the average of the excess returns is calculated.

Excel analysis is used on the given spreadsheet and the data is obtained from that.

From this, 0.37 is obtained as the multiple regressions. The R-Square is obtained as 0.14. The standard error value is 8.32.

Therefore, the beta is 0.87.

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Answer 3

Question

Chapter 6, Problem 22PS

Summary Introduction

To determine:

To set up the spreadsheet of the given data as per the Example 6.3 and to find the beta of Apple

Introduction:

The net loss or the net gain on any investment over a certain time period which is expressed as the investment's initial cost percentage is the rate of return or ROR.

Expert Solution & Answer

Answer to Problem 22PS

The beta is 0.87

Explanation of Solution

Given Information:

The data is available in Connect. It shows a data for five year period.

From the Connect, the data is obtained as below:

	S&P		RF (T-bill)		Excess returns
Month	Return	Return	Return	Month		S&P
Jan-04	1.35	0.56	0.07	Jan-04	0.49	1.28
Feb-04	-1.32	0.00	0.06	Feb-04	-0.06	-1.38
Mar-04	-1.89	-3.19	0.09	Mar-04	-3.28	-1.98
Apr-04	1.70	0.00	0.08	Apr-04	-0.08	1.62
May-04	1.85	-0.25	0.06	May-04	-0.31	1.79
Jun-04	-3.22	2.39	0.08	Jun-04	2.31	-3.30
Jul-04	0.25	1.69	0.1	Jul-04	1.59	0.15
Aug-04	1.00	1.51	0.11	Aug-04	1.40	0.89
Sep-04	1.29	0.08	0.11	Sep-04	-0.03	1.18
Oct-04	4.46	-1.17	0.11	Oct-04	-1.28	4.35
Nov-04	3.01	1.97	0.15	Nov-04	1.82	2.86
Dec-04	-2.24	-3.02	0.16	Dec-04	-3.18	-2.40
Jan-05	2.09	-0.24	0.16	Jan-05	-0.40	1.93
Feb-05	-1.83	-15.28	0.16	Feb-05	-15.44	-1.99
Mar-05	-1.87	-7.84	0.21	Mar-05	-8.05	-2.08
Apr-05	3.22	2.25	0.21	Apr-05	2.04	3.01
May-05	0.15	4.91	0.24	May-05	4.67	-0.09
Jun-05	3.82	5.44	0.23	Jun-05	5.21	3.59
Jul-05	-0.93	-8.88	0.24	Jul-05	-9.12	-1.17
Aug-05	0.80	-5.37	0.3	Aug-05	-5.67	0.50
Sep-05	-2.36	-7.77	0.29	Sep-05	-8.06	-2.65
Oct-05	4.39	-7.52	0.27	Oct-05	-7.79	4.12
Nov-05	-0.19	-4.31	0.31	Nov-05	-4.62	-0.50
Dec-05	2.41	12.61	0.32	Dec-05	12.29	2.09
Jan-06	0.57	-3.43	0.35	Jan-06	-3.78	0.22
Feb-06	1.65	6.04	0.34	Feb-06	5.70	1.31
Mar-06	1.26	1.23	0.37	Mar-06	0.86	0.89
Apr-06	-3.01	6.39	0.36	Apr-06	6.03	-3.37
May-06	0.26	5.18	0.43	May-06	4.75	-0.17
Jun-06	0.45	4.63	0.4	Jun-06	4.23	0.05
Jul-06	2.18	-1.41	0.4	Jul-06	-1.81	1.78
Aug-06	2.70	6.11	0.42	Aug-06	5.69	2.28
Sep-06	3.16	3.60	0.41	Sep-06	3.19	2.75
Oct-06	1.99	0.61	0.41	Oct-06	0.20	1.58
Nov-06	0.77	0.52	0.42	Nov-06	0.10	0.35
Dec-06	1.51	6.70	0.4	Dec-06	6.30	1.11
Jan-07	-1.96	-0.16	0.44	Jan-07	-0.60	-2.40
Feb-07	1.16	-0.73	0.38	Feb-07	-1.11	0.78
Mar-07	4.42	-0.08	0.43	Mar-07	-0.51	3.99
Apr-07	3.39	1.87	0.44	Apr-07	1.43	2.95
May-07	-1.46	-0.24	0.41	May-07	-0.65	-1.87
Jun-07	-3.13	-6.32	0.4	Jun-07	-6.72	-3.53
Jul-07	1.28	-4.78	0.4	Jul-07	-5.18	0.88
Aug-07	3.88	8.79	0.42	Aug-07	8.37	3.46
Sep-07	1.35	-0.25	0.32	Sep-07	-0.57	1.03
Oct-07	-3.87	-6.86	0.32	Oct-07	-7.18	-4.19
Nov-07	-1.13	-5.59	0.34	Nov-07	-5.93	-1.47
Dec-07	-6.04	11.18	0.27	Dec-07	10.91	-6.31
Jan-08	-2.58	-3.13	0.21	Jan-08	-3.34	-2.79
Feb-08	-0.90	-9.60	0.13	Feb-08	-9.73	-1.03
Mar-08	4.77	8.78	0.17	Mar-08	8.61	4.60
Apr-08	1.51	-6.48	0.17	Apr-08	-6.65	1.34
May-08	-8.35	-15.56	0.17	May-08	-15.73	-8.52
Jun-08	-0.90	-11.01	0.17	Jun-08	-11.18	-1.07
Jul-08	1.55	-4.92	0.15	Jul-08	-5.07	1.40
Aug-08	-9.42	-29.61	0.12	Aug-08	-29.73	-9.54
Sep-08	-16.52	-13.77	0.15	Sep-08	-13.92	-16.67
Oct-08	-6.96	-26.04	0.08	Oct-08	-26.12	-7.04
Nov-08	0.99	-25.44	0.02	Nov-08	-25.46	0.97
Dec-08	-8.22	23.02	0.09	Dec-08	22.93	-8.31
					AVERAGE(F6:F65)	AVERAGE(G6:G65)
					-2.12	-0.55


Covariance matrix

S&P return		CORREL(F6:F65, G6:G65)
		0.3716121

Regression Statistics

Multiple R	0.37
R Square	B78*B78	0.1369
Adjusted R Square	0.12
Standard Error	8.32
Observation	60

	Coefficients	Standard Error	t Stat	P-value	P-value
Intercept	-1.65	1.08	-1.52	D85-B85	0.13
Spy	0.87	0.28	3.05		0

The Excel calculations given above give the price movement of S&P index and Apple. To get the covariance, the average of the excess returns is calculated.

Excel analysis is used on the given spreadsheet and the data is obtained from that.

From this, 0.37 is obtained as the multiple regressions. The R-Square is obtained as 0.14. The standard error value is 8.32.

Therefore, the beta is 0.87.

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Subscribe now to access step-by-step solutions to millions of textbook problems written by subject matter experts!

Answer 4

Question

Chapter 6, Problem 22PS

Summary Introduction

To determine:

To set up the spreadsheet of the given data as per the Example 6.3 and to find the beta of Apple

Introduction:

The net loss or the net gain on any investment over a certain time period which is expressed as the investment's initial cost percentage is the rate of return or ROR.

Expert Solution & Answer

Answer to Problem 22PS

The beta is 0.87

Explanation of Solution

Given Information:

The data is available in Connect. It shows a data for five year period.

From the Connect, the data is obtained as below:

	S&P		RF (T-bill)		Excess returns
Month	Return	Return	Return	Month		S&P
Jan-04	1.35	0.56	0.07	Jan-04	0.49	1.28
Feb-04	-1.32	0.00	0.06	Feb-04	-0.06	-1.38
Mar-04	-1.89	-3.19	0.09	Mar-04	-3.28	-1.98
Apr-04	1.70	0.00	0.08	Apr-04	-0.08	1.62
May-04	1.85	-0.25	0.06	May-04	-0.31	1.79
Jun-04	-3.22	2.39	0.08	Jun-04	2.31	-3.30
Jul-04	0.25	1.69	0.1	Jul-04	1.59	0.15
Aug-04	1.00	1.51	0.11	Aug-04	1.40	0.89
Sep-04	1.29	0.08	0.11	Sep-04	-0.03	1.18
Oct-04	4.46	-1.17	0.11	Oct-04	-1.28	4.35
Nov-04	3.01	1.97	0.15	Nov-04	1.82	2.86
Dec-04	-2.24	-3.02	0.16	Dec-04	-3.18	-2.40
Jan-05	2.09	-0.24	0.16	Jan-05	-0.40	1.93
Feb-05	-1.83	-15.28	0.16	Feb-05	-15.44	-1.99
Mar-05	-1.87	-7.84	0.21	Mar-05	-8.05	-2.08
Apr-05	3.22	2.25	0.21	Apr-05	2.04	3.01
May-05	0.15	4.91	0.24	May-05	4.67	-0.09
Jun-05	3.82	5.44	0.23	Jun-05	5.21	3.59
Jul-05	-0.93	-8.88	0.24	Jul-05	-9.12	-1.17
Aug-05	0.80	-5.37	0.3	Aug-05	-5.67	0.50
Sep-05	-2.36	-7.77	0.29	Sep-05	-8.06	-2.65
Oct-05	4.39	-7.52	0.27	Oct-05	-7.79	4.12
Nov-05	-0.19	-4.31	0.31	Nov-05	-4.62	-0.50
Dec-05	2.41	12.61	0.32	Dec-05	12.29	2.09
Jan-06	0.57	-3.43	0.35	Jan-06	-3.78	0.22
Feb-06	1.65	6.04	0.34	Feb-06	5.70	1.31
Mar-06	1.26	1.23	0.37	Mar-06	0.86	0.89
Apr-06	-3.01	6.39	0.36	Apr-06	6.03	-3.37
May-06	0.26	5.18	0.43	May-06	4.75	-0.17
Jun-06	0.45	4.63	0.4	Jun-06	4.23	0.05
Jul-06	2.18	-1.41	0.4	Jul-06	-1.81	1.78
Aug-06	2.70	6.11	0.42	Aug-06	5.69	2.28
Sep-06	3.16	3.60	0.41	Sep-06	3.19	2.75
Oct-06	1.99	0.61	0.41	Oct-06	0.20	1.58
Nov-06	0.77	0.52	0.42	Nov-06	0.10	0.35
Dec-06	1.51	6.70	0.4	Dec-06	6.30	1.11
Jan-07	-1.96	-0.16	0.44	Jan-07	-0.60	-2.40
Feb-07	1.16	-0.73	0.38	Feb-07	-1.11	0.78
Mar-07	4.42	-0.08	0.43	Mar-07	-0.51	3.99
Apr-07	3.39	1.87	0.44	Apr-07	1.43	2.95
May-07	-1.46	-0.24	0.41	May-07	-0.65	-1.87
Jun-07	-3.13	-6.32	0.4	Jun-07	-6.72	-3.53
Jul-07	1.28	-4.78	0.4	Jul-07	-5.18	0.88
Aug-07	3.88	8.79	0.42	Aug-07	8.37	3.46
Sep-07	1.35	-0.25	0.32	Sep-07	-0.57	1.03
Oct-07	-3.87	-6.86	0.32	Oct-07	-7.18	-4.19
Nov-07	-1.13	-5.59	0.34	Nov-07	-5.93	-1.47
Dec-07	-6.04	11.18	0.27	Dec-07	10.91	-6.31
Jan-08	-2.58	-3.13	0.21	Jan-08	-3.34	-2.79
Feb-08	-0.90	-9.60	0.13	Feb-08	-9.73	-1.03
Mar-08	4.77	8.78	0.17	Mar-08	8.61	4.60
Apr-08	1.51	-6.48	0.17	Apr-08	-6.65	1.34
May-08	-8.35	-15.56	0.17	May-08	-15.73	-8.52
Jun-08	-0.90	-11.01	0.17	Jun-08	-11.18	-1.07
Jul-08	1.55	-4.92	0.15	Jul-08	-5.07	1.40
Aug-08	-9.42	-29.61	0.12	Aug-08	-29.73	-9.54
Sep-08	-16.52	-13.77	0.15	Sep-08	-13.92	-16.67
Oct-08	-6.96	-26.04	0.08	Oct-08	-26.12	-7.04
Nov-08	0.99	-25.44	0.02	Nov-08	-25.46	0.97
Dec-08	-8.22	23.02	0.09	Dec-08	22.93	-8.31
					AVERAGE(F6:F65)	AVERAGE(G6:G65)
					-2.12	-0.55


Covariance matrix

S&P return		CORREL(F6:F65, G6:G65)
		0.3716121

Regression Statistics

Multiple R	0.37
R Square	B78*B78	0.1369
Adjusted R Square	0.12
Standard Error	8.32
Observation	60

	Coefficients	Standard Error	t Stat	P-value	P-value
Intercept	-1.65	1.08	-1.52	D85-B85	0.13
Spy	0.87	0.28	3.05		0

The Excel calculations given above give the price movement of S&P index and Apple. To get the covariance, the average of the excess returns is calculated.

Excel analysis is used on the given spreadsheet and the data is obtained from that.

From this, 0.37 is obtained as the multiple regressions. The R-Square is obtained as 0.14. The standard error value is 8.32.

Therefore, the beta is 0.87.

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Answer 5

Chapter 6, Problem 22PS

Summary Introduction

To determine:

To set up the spreadsheet of the given data as per the Example 6.3 and to find the beta of Apple

Introduction:

The net loss or the net gain on any investment over a certain time period which is expressed as the investment's initial cost percentage is the rate of return or ROR.

Expert Solution & Answer

Answer to Problem 22PS

The beta is 0.87

Explanation of Solution

Given Information:

The data is available in Connect. It shows a data for five year period.

From the Connect, the data is obtained as below:

	S&P		RF (T-bill)		Excess returns
Month	Return	Return	Return	Month		S&P
Jan-04	1.35	0.56	0.07	Jan-04	0.49	1.28
Feb-04	-1.32	0.00	0.06	Feb-04	-0.06	-1.38
Mar-04	-1.89	-3.19	0.09	Mar-04	-3.28	-1.98
Apr-04	1.70	0.00	0.08	Apr-04	-0.08	1.62
May-04	1.85	-0.25	0.06	May-04	-0.31	1.79
Jun-04	-3.22	2.39	0.08	Jun-04	2.31	-3.30
Jul-04	0.25	1.69	0.1	Jul-04	1.59	0.15
Aug-04	1.00	1.51	0.11	Aug-04	1.40	0.89
Sep-04	1.29	0.08	0.11	Sep-04	-0.03	1.18
Oct-04	4.46	-1.17	0.11	Oct-04	-1.28	4.35
Nov-04	3.01	1.97	0.15	Nov-04	1.82	2.86
Dec-04	-2.24	-3.02	0.16	Dec-04	-3.18	-2.40
Jan-05	2.09	-0.24	0.16	Jan-05	-0.40	1.93
Feb-05	-1.83	-15.28	0.16	Feb-05	-15.44	-1.99
Mar-05	-1.87	-7.84	0.21	Mar-05	-8.05	-2.08
Apr-05	3.22	2.25	0.21	Apr-05	2.04	3.01
May-05	0.15	4.91	0.24	May-05	4.67	-0.09
Jun-05	3.82	5.44	0.23	Jun-05	5.21	3.59
Jul-05	-0.93	-8.88	0.24	Jul-05	-9.12	-1.17
Aug-05	0.80	-5.37	0.3	Aug-05	-5.67	0.50
Sep-05	-2.36	-7.77	0.29	Sep-05	-8.06	-2.65
Oct-05	4.39	-7.52	0.27	Oct-05	-7.79	4.12
Nov-05	-0.19	-4.31	0.31	Nov-05	-4.62	-0.50
Dec-05	2.41	12.61	0.32	Dec-05	12.29	2.09
Jan-06	0.57	-3.43	0.35	Jan-06	-3.78	0.22
Feb-06	1.65	6.04	0.34	Feb-06	5.70	1.31
Mar-06	1.26	1.23	0.37	Mar-06	0.86	0.89
Apr-06	-3.01	6.39	0.36	Apr-06	6.03	-3.37
May-06	0.26	5.18	0.43	May-06	4.75	-0.17
Jun-06	0.45	4.63	0.4	Jun-06	4.23	0.05
Jul-06	2.18	-1.41	0.4	Jul-06	-1.81	1.78
Aug-06	2.70	6.11	0.42	Aug-06	5.69	2.28
Sep-06	3.16	3.60	0.41	Sep-06	3.19	2.75
Oct-06	1.99	0.61	0.41	Oct-06	0.20	1.58
Nov-06	0.77	0.52	0.42	Nov-06	0.10	0.35
Dec-06	1.51	6.70	0.4	Dec-06	6.30	1.11
Jan-07	-1.96	-0.16	0.44	Jan-07	-0.60	-2.40
Feb-07	1.16	-0.73	0.38	Feb-07	-1.11	0.78
Mar-07	4.42	-0.08	0.43	Mar-07	-0.51	3.99
Apr-07	3.39	1.87	0.44	Apr-07	1.43	2.95
May-07	-1.46	-0.24	0.41	May-07	-0.65	-1.87
Jun-07	-3.13	-6.32	0.4	Jun-07	-6.72	-3.53
Jul-07	1.28	-4.78	0.4	Jul-07	-5.18	0.88
Aug-07	3.88	8.79	0.42	Aug-07	8.37	3.46
Sep-07	1.35	-0.25	0.32	Sep-07	-0.57	1.03
Oct-07	-3.87	-6.86	0.32	Oct-07	-7.18	-4.19
Nov-07	-1.13	-5.59	0.34	Nov-07	-5.93	-1.47
Dec-07	-6.04	11.18	0.27	Dec-07	10.91	-6.31
Jan-08	-2.58	-3.13	0.21	Jan-08	-3.34	-2.79
Feb-08	-0.90	-9.60	0.13	Feb-08	-9.73	-1.03
Mar-08	4.77	8.78	0.17	Mar-08	8.61	4.60
Apr-08	1.51	-6.48	0.17	Apr-08	-6.65	1.34
May-08	-8.35	-15.56	0.17	May-08	-15.73	-8.52
Jun-08	-0.90	-11.01	0.17	Jun-08	-11.18	-1.07
Jul-08	1.55	-4.92	0.15	Jul-08	-5.07	1.40
Aug-08	-9.42	-29.61	0.12	Aug-08	-29.73	-9.54
Sep-08	-16.52	-13.77	0.15	Sep-08	-13.92	-16.67
Oct-08	-6.96	-26.04	0.08	Oct-08	-26.12	-7.04
Nov-08	0.99	-25.44	0.02	Nov-08	-25.46	0.97
Dec-08	-8.22	23.02	0.09	Dec-08	22.93	-8.31
					AVERAGE(F6:F65)	AVERAGE(G6:G65)
					-2.12	-0.55


Covariance matrix

S&P return		CORREL(F6:F65, G6:G65)
		0.3716121

Regression Statistics

Multiple R	0.37
R Square	B78*B78	0.1369
Adjusted R Square	0.12
Standard Error	8.32
Observation	60

	Coefficients	Standard Error	t Stat	P-value	P-value
Intercept	-1.65	1.08	-1.52	D85-B85	0.13
Spy	0.87	0.28	3.05		0

The Excel calculations given above give the price movement of S&P index and Apple. To get the covariance, the average of the excess returns is calculated.

Excel analysis is used on the given spreadsheet and the data is obtained from that.

From this, 0.37 is obtained as the multiple regressions. The R-Square is obtained as 0.14. The standard error value is 8.32.

Therefore, the beta is 0.87.

Answer 6

Chapter 6, Problem 22PS

Summary Introduction

To determine:

To set up the spreadsheet of the given data as per the Example 6.3 and to find the beta of Apple

Introduction:

The net loss or the net gain on any investment over a certain time period which is expressed as the investment's initial cost percentage is the rate of return or ROR.

Expert Solution & Answer

Answer to Problem 22PS

The beta is 0.87

Explanation of Solution

Given Information:

The data is available in Connect. It shows a data for five year period.

From the Connect, the data is obtained as below:

	S&P		RF (T-bill)		Excess returns
Month	Return	Return	Return	Month		S&P
Jan-04	1.35	0.56	0.07	Jan-04	0.49	1.28
Feb-04	-1.32	0.00	0.06	Feb-04	-0.06	-1.38
Mar-04	-1.89	-3.19	0.09	Mar-04	-3.28	-1.98
Apr-04	1.70	0.00	0.08	Apr-04	-0.08	1.62
May-04	1.85	-0.25	0.06	May-04	-0.31	1.79
Jun-04	-3.22	2.39	0.08	Jun-04	2.31	-3.30
Jul-04	0.25	1.69	0.1	Jul-04	1.59	0.15
Aug-04	1.00	1.51	0.11	Aug-04	1.40	0.89
Sep-04	1.29	0.08	0.11	Sep-04	-0.03	1.18
Oct-04	4.46	-1.17	0.11	Oct-04	-1.28	4.35
Nov-04	3.01	1.97	0.15	Nov-04	1.82	2.86
Dec-04	-2.24	-3.02	0.16	Dec-04	-3.18	-2.40
Jan-05	2.09	-0.24	0.16	Jan-05	-0.40	1.93
Feb-05	-1.83	-15.28	0.16	Feb-05	-15.44	-1.99
Mar-05	-1.87	-7.84	0.21	Mar-05	-8.05	-2.08
Apr-05	3.22	2.25	0.21	Apr-05	2.04	3.01
May-05	0.15	4.91	0.24	May-05	4.67	-0.09
Jun-05	3.82	5.44	0.23	Jun-05	5.21	3.59
Jul-05	-0.93	-8.88	0.24	Jul-05	-9.12	-1.17
Aug-05	0.80	-5.37	0.3	Aug-05	-5.67	0.50
Sep-05	-2.36	-7.77	0.29	Sep-05	-8.06	-2.65
Oct-05	4.39	-7.52	0.27	Oct-05	-7.79	4.12
Nov-05	-0.19	-4.31	0.31	Nov-05	-4.62	-0.50
Dec-05	2.41	12.61	0.32	Dec-05	12.29	2.09
Jan-06	0.57	-3.43	0.35	Jan-06	-3.78	0.22
Feb-06	1.65	6.04	0.34	Feb-06	5.70	1.31
Mar-06	1.26	1.23	0.37	Mar-06	0.86	0.89
Apr-06	-3.01	6.39	0.36	Apr-06	6.03	-3.37
May-06	0.26	5.18	0.43	May-06	4.75	-0.17
Jun-06	0.45	4.63	0.4	Jun-06	4.23	0.05
Jul-06	2.18	-1.41	0.4	Jul-06	-1.81	1.78
Aug-06	2.70	6.11	0.42	Aug-06	5.69	2.28
Sep-06	3.16	3.60	0.41	Sep-06	3.19	2.75
Oct-06	1.99	0.61	0.41	Oct-06	0.20	1.58
Nov-06	0.77	0.52	0.42	Nov-06	0.10	0.35
Dec-06	1.51	6.70	0.4	Dec-06	6.30	1.11
Jan-07	-1.96	-0.16	0.44	Jan-07	-0.60	-2.40
Feb-07	1.16	-0.73	0.38	Feb-07	-1.11	0.78
Mar-07	4.42	-0.08	0.43	Mar-07	-0.51	3.99
Apr-07	3.39	1.87	0.44	Apr-07	1.43	2.95
May-07	-1.46	-0.24	0.41	May-07	-0.65	-1.87
Jun-07	-3.13	-6.32	0.4	Jun-07	-6.72	-3.53
Jul-07	1.28	-4.78	0.4	Jul-07	-5.18	0.88
Aug-07	3.88	8.79	0.42	Aug-07	8.37	3.46
Sep-07	1.35	-0.25	0.32	Sep-07	-0.57	1.03
Oct-07	-3.87	-6.86	0.32	Oct-07	-7.18	-4.19
Nov-07	-1.13	-5.59	0.34	Nov-07	-5.93	-1.47
Dec-07	-6.04	11.18	0.27	Dec-07	10.91	-6.31
Jan-08	-2.58	-3.13	0.21	Jan-08	-3.34	-2.79
Feb-08	-0.90	-9.60	0.13	Feb-08	-9.73	-1.03
Mar-08	4.77	8.78	0.17	Mar-08	8.61	4.60
Apr-08	1.51	-6.48	0.17	Apr-08	-6.65	1.34
May-08	-8.35	-15.56	0.17	May-08	-15.73	-8.52
Jun-08	-0.90	-11.01	0.17	Jun-08	-11.18	-1.07
Jul-08	1.55	-4.92	0.15	Jul-08	-5.07	1.40
Aug-08	-9.42	-29.61	0.12	Aug-08	-29.73	-9.54
Sep-08	-16.52	-13.77	0.15	Sep-08	-13.92	-16.67
Oct-08	-6.96	-26.04	0.08	Oct-08	-26.12	-7.04
Nov-08	0.99	-25.44	0.02	Nov-08	-25.46	0.97
Dec-08	-8.22	23.02	0.09	Dec-08	22.93	-8.31
					AVERAGE(F6:F65)	AVERAGE(G6:G65)
					-2.12	-0.55


Covariance matrix

S&P return		CORREL(F6:F65, G6:G65)
		0.3716121

Regression Statistics

Multiple R	0.37
R Square	B78*B78	0.1369
Adjusted R Square	0.12
Standard Error	8.32
Observation	60

	Coefficients	Standard Error	t Stat	P-value	P-value
Intercept	-1.65	1.08	-1.52	D85-B85	0.13
Spy	0.87	0.28	3.05		0

The Excel calculations given above give the price movement of S&P index and Apple. To get the covariance, the average of the excess returns is calculated.

Excel analysis is used on the given spreadsheet and the data is obtained from that.

From this, 0.37 is obtained as the multiple regressions. The R-Square is obtained as 0.14. The standard error value is 8.32.

Therefore, the beta is 0.87.

Answer 7

Chapter 6, Problem 22PS

Summary Introduction

To determine:

To set up the spreadsheet of the given data as per the Example 6.3 and to find the beta of Apple

Introduction:

The net loss or the net gain on any investment over a certain time period which is expressed as the investment's initial cost percentage is the rate of return or ROR.

Answer 8

Expert Solution & Answer

Answer to Problem 22PS

The beta is 0.87

Answer 9

Expert Solution & Answer

Answer 10

Expert Solution & Answer

Answer 11

Explanation of Solution

Given Information:

The data is available in Connect. It shows a data for five year period.

From the Connect, the data is obtained as below:

	S&P		RF (T-bill)		Excess returns
Month	Return	Return	Return	Month		S&P
Jan-04	1.35	0.56	0.07	Jan-04	0.49	1.28
Feb-04	-1.32	0.00	0.06	Feb-04	-0.06	-1.38
Mar-04	-1.89	-3.19	0.09	Mar-04	-3.28	-1.98
Apr-04	1.70	0.00	0.08	Apr-04	-0.08	1.62
May-04	1.85	-0.25	0.06	May-04	-0.31	1.79
Jun-04	-3.22	2.39	0.08	Jun-04	2.31	-3.30
Jul-04	0.25	1.69	0.1	Jul-04	1.59	0.15
Aug-04	1.00	1.51	0.11	Aug-04	1.40	0.89
Sep-04	1.29	0.08	0.11	Sep-04	-0.03	1.18
Oct-04	4.46	-1.17	0.11	Oct-04	-1.28	4.35
Nov-04	3.01	1.97	0.15	Nov-04	1.82	2.86
Dec-04	-2.24	-3.02	0.16	Dec-04	-3.18	-2.40
Jan-05	2.09	-0.24	0.16	Jan-05	-0.40	1.93
Feb-05	-1.83	-15.28	0.16	Feb-05	-15.44	-1.99
Mar-05	-1.87	-7.84	0.21	Mar-05	-8.05	-2.08
Apr-05	3.22	2.25	0.21	Apr-05	2.04	3.01
May-05	0.15	4.91	0.24	May-05	4.67	-0.09
Jun-05	3.82	5.44	0.23	Jun-05	5.21	3.59
Jul-05	-0.93	-8.88	0.24	Jul-05	-9.12	-1.17
Aug-05	0.80	-5.37	0.3	Aug-05	-5.67	0.50
Sep-05	-2.36	-7.77	0.29	Sep-05	-8.06	-2.65
Oct-05	4.39	-7.52	0.27	Oct-05	-7.79	4.12
Nov-05	-0.19	-4.31	0.31	Nov-05	-4.62	-0.50
Dec-05	2.41	12.61	0.32	Dec-05	12.29	2.09
Jan-06	0.57	-3.43	0.35	Jan-06	-3.78	0.22
Feb-06	1.65	6.04	0.34	Feb-06	5.70	1.31
Mar-06	1.26	1.23	0.37	Mar-06	0.86	0.89
Apr-06	-3.01	6.39	0.36	Apr-06	6.03	-3.37
May-06	0.26	5.18	0.43	May-06	4.75	-0.17
Jun-06	0.45	4.63	0.4	Jun-06	4.23	0.05
Jul-06	2.18	-1.41	0.4	Jul-06	-1.81	1.78
Aug-06	2.70	6.11	0.42	Aug-06	5.69	2.28
Sep-06	3.16	3.60	0.41	Sep-06	3.19	2.75
Oct-06	1.99	0.61	0.41	Oct-06	0.20	1.58
Nov-06	0.77	0.52	0.42	Nov-06	0.10	0.35
Dec-06	1.51	6.70	0.4	Dec-06	6.30	1.11
Jan-07	-1.96	-0.16	0.44	Jan-07	-0.60	-2.40
Feb-07	1.16	-0.73	0.38	Feb-07	-1.11	0.78
Mar-07	4.42	-0.08	0.43	Mar-07	-0.51	3.99
Apr-07	3.39	1.87	0.44	Apr-07	1.43	2.95
May-07	-1.46	-0.24	0.41	May-07	-0.65	-1.87
Jun-07	-3.13	-6.32	0.4	Jun-07	-6.72	-3.53
Jul-07	1.28	-4.78	0.4	Jul-07	-5.18	0.88
Aug-07	3.88	8.79	0.42	Aug-07	8.37	3.46
Sep-07	1.35	-0.25	0.32	Sep-07	-0.57	1.03
Oct-07	-3.87	-6.86	0.32	Oct-07	-7.18	-4.19
Nov-07	-1.13	-5.59	0.34	Nov-07	-5.93	-1.47
Dec-07	-6.04	11.18	0.27	Dec-07	10.91	-6.31
Jan-08	-2.58	-3.13	0.21	Jan-08	-3.34	-2.79
Feb-08	-0.90	-9.60	0.13	Feb-08	-9.73	-1.03
Mar-08	4.77	8.78	0.17	Mar-08	8.61	4.60
Apr-08	1.51	-6.48	0.17	Apr-08	-6.65	1.34
May-08	-8.35	-15.56	0.17	May-08	-15.73	-8.52
Jun-08	-0.90	-11.01	0.17	Jun-08	-11.18	-1.07
Jul-08	1.55	-4.92	0.15	Jul-08	-5.07	1.40
Aug-08	-9.42	-29.61	0.12	Aug-08	-29.73	-9.54
Sep-08	-16.52	-13.77	0.15	Sep-08	-13.92	-16.67
Oct-08	-6.96	-26.04	0.08	Oct-08	-26.12	-7.04
Nov-08	0.99	-25.44	0.02	Nov-08	-25.46	0.97
Dec-08	-8.22	23.02	0.09	Dec-08	22.93	-8.31
					AVERAGE(F6:F65)	AVERAGE(G6:G65)
					-2.12	-0.55


Covariance matrix

S&P return		CORREL(F6:F65, G6:G65)
		0.3716121

Regression Statistics

Multiple R	0.37
R Square	B78*B78	0.1369
Adjusted R Square	0.12
Standard Error	8.32
Observation	60

	Coefficients	Standard Error	t Stat	P-value	P-value
Intercept	-1.65	1.08	-1.52	D85-B85	0.13
Spy	0.87	0.28	3.05		0

The Excel calculations given above give the price movement of S&P index and Apple. To get the covariance, the average of the excess returns is calculated.

Excel analysis is used on the given spreadsheet and the data is obtained from that.

From this, 0.37 is obtained as the multiple regressions. The R-Square is obtained as 0.14. The standard error value is 8.32.

Therefore, the beta is 0.87.

Answer 12

Ch. 6.5 - Prob. 1EQ Ch. 6.5 - In light of each firm’s exposure to the financial...Ch. 6 - Prob. 1PS Ch. 6 - When adding a risky asset to a portfolio of many...Ch. 6 - A portfolio’s expected return is 12%, its standard...Ch. 6 - An investor ponders various allocations to the...Ch. 6 - The standard deviation of the market-index...Ch. 6 - Suppose that the returns on the stock fund...Ch. 6 - Use the rate-of-return data for the stock and bond...Ch. 6 - Prob. 8PS

To set up the spreadsheet of the given data as per the Example 6.3 and to find the beta of Apple Introduction: The net loss or the net gain on any investment over a certain time period which is expressed as the investment's initial cost percentage is the rate of return or ROR.

To determine: To set up the spreadsheet of the given data as per the Example 6.3 and to find the beta of Apple Introduction: The net loss or the net gain on any investment over a certain time period which is expressed as the investment's initial cost percentage is the rate of return or ROR.

Answer to Problem 22PS

Explanation of Solution

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Chapter 6 Solutions

To determine:

To set up the spreadsheet of the given data as per the Example 6.3 and to find the beta of Apple

Introduction:

The net loss or the net gain on any investment over a certain time period which is expressed as the investment's initial cost percentage is the rate of return or ROR.