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[solution] » Hi Shrugal, why did you use different monthly returns in solution

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Hi Shrugal, why did you use different monthly returns in solution
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Hi Shrugal,

why did you use different monthly returns in solution 1 and 2?

and also, why did you subtract the Tbill return from the stock return to get the excess monthly return?


Date

 

5/1/2009

 

6/1/2009

 

7/1/2009

 

8/3/2009

 

9/1/2009

 

10/1/2009

 

11/2/2009

 

12/1/2009

 

1/4/2010

 

2/1/2010

 

3/1/2010

 

4/1/2010

 

5/3/2010

 

6/1/2010

 

7/1/2010

 

8/2/2010

 

9/1/2010

 

10/1/2010

 

11/1/2010

 

12/1/2010

 

1/3/2011

 

2/1/2011

 

3/1/2011

 

4/1/2011

 

5/2/2011

 

6/1/2011

 

7/1/2011

 

8/1/2011

 

9/1/2011

 

10/3/2011

 

11/1/2011

 

12/1/2011

 

1/3/2012

 

2/1/2012

 

3/1/2012

 

4/2/2012

 

5/1/2012

 

6/1/2012

 

7/2/2012

 

8/1/2012

 

9/4/2012 Closing Price

 

S&P500 Apple 1,036.19 25.5 1,095.63 27.04 1,115.10

 

1,073.87

 

1,104.49

 

1,169.43

 

1,186.69

 

1,089.41

 

1,030.71

 

1,101.60

 

1,049.33

 

1,141.20

 

1,183.26

 

1,180.55

 

1,257.64

 

1,286.12

 

1,327.22

 

1,325.83

 

1,363.61

 

1,345.20

 

1,320.64

 

1,292.28

 

1,218.89

 

1,131.42

 

1,253.30

 

1,246.96

 

1,257.60

 

1,312.41

 

1,365.68

 

1,408.47

 

1,397.91

 

1,310.33

 

1,362.16

 

1,379.32

 

1,406.58

 

1,440.67

 

1,412.16

 

1,416.18

 

1,426.19

 

1,498.11

 

1,514.68 28.51

 

25.98

 

27.68

 

31.79

 

35.32

 

34.75

 

34.03

 

34.80

 

32.89

 

38.39

 

40.72

 

42.09

 

43.64

 

45.90

 

47.78

 

47.15

 

47.37

 

47.06

 

45.41

 

52.83

 

52.06

 

51.59

 

54.76

 

51.71

 

54.79

 

61.75

 

73.38

 

81.11

 

79.00

 

78.16

 

79.01

 

82.63

 

90.38

 

90.63

 

80.88

 

79.88

 

72.63

 

62.17

 

60.60 Monthly return (%)

 

Exxon

 

62.57

 

65.92

 

59.87

 

56.57

 

57.45

 

59.20

 

59.89

 

53.80

 

50.78

 

53.10

 

52.97

 

55.37

 

59.59

 

62.73

 

65.94

 

72.76

 

77.54

 

76.27

 

79.76

 

76.10

 

74.19

 

72.74

 

67.93

 

66.65

 

71.66

 

74.26

 

78.25

 

77.31

 

80.29

 

80.51

 

80.14

 

73.49

 

79.98

 

81.17

 

82.12

 

86.03

 

85.76

 

83.43

 

81.93

 

85.16

 

85.31 T Bill

 

0.05

 

0.05

 

0.05

 

0.07

 

0.12

 

0.15

 

0.16

 

0.15

 

0.17

 

0.14

 

0.14

 

0.16

 

0.11

 

0.16

 

0.12

 

0.14

 

0.14

 

0.09

 

0.04

 

0.04

 

0.01

 

0.09

 

0.01

 

0.01

 

0

 

0.01

 

0

 

0.05

 

0.08

 

0.06

 

0.09

 

0.06

 

0.08

 

0.1

 

0.09

 

0.09

 

0.1

 

0.08

 

0.04

 

0.06 S&P500

 

5.7364

 

1.7771

 

-3.6974

 

2.8514

 

5.8796

 

1.4759

 

-8.1976

 

-5.3882

 

6.8778

 

-4.7449

 

8.7551

 

3.6856

 

-0.2290

 

6.5300

 

2.2646

 

3.1957

 

-0.1047

 

2.8495

 

-1.3501

 

-1.8258

 

-2.1474

 

-5.6791

 

-7.1762

 

10.7723

 

-0.5059

 

0.8533

 

4.3583

 

4.0589

 

3.1332

 

-0.7497

 

-6.2651

 

3.9555

 

1.2598

 

1.9763

 

2.4236

 

-1.9789

 

0.2847

 

0.7068

 

5.0428

 

1.1061 Apple Exxon 6.0392

 

5.4364

 

-8.8741

 

6.5435

 

14.8483

 

11.1041

 

-1.6138

 

-2.0719

 

2.2627

 

-5.4885

 

16.7224

 

6.0693

 

3.3644

 

3.6826

 

5.1787

 

4.0959

 

-1.3185

 

0.4666

 

-0.6544

 

-3.5062

 

16.3400

 

-1.4575

 

-0.9028

 

6.1446

 

-5.5698

 

5.9563

 

12.7030

 

18.8340

 

10.5342

 

-2.6014

 

-1.0633

 

1.0875

 

4.5817

 

9.3792

 

0.2766

 

-10.7580

 

-1.2364

 

-9.0761

 

-14.4018

 

-2.5253 5.3540

 

-9.1778

 

-5.5119

 

1.5556

 

3.0461

 

1.1655

 

-10.1686

 

-5.6134

 

4.5687

 

-0.2448

 

4.5309

 

7.6215

 

5.2693

 

5.1172

 

10.3427

 

6.5695

 

-1.6379

 

4.5758

 

-4.5888

 

-2.5099

 

-1.9544

 

-6.6126

 

-1.8843

 

7.5169

 

3.6282

 

5.3730

 

-1.2013

 

3.8546

 

0.2740

 

-0.4596

 

-8.2980

 

8.8311

 

1.4879

 

1.1704

 

4.7613

 

-0.3138

 

-2.7169

 

-1.7979

 

3.9424

 

0.1761 T Bill

 

0.0042

 

0.0042

 

0.0042

 

0.0058

 

0.0100

 

0.0125

 

0.0133

 

0.0125

 

0.0142

 

0.0117

 

0.0117

 

0.0133

 

0.0092

 

0.0133

 

0.0100

 

0.0117

 

0.0117

 

0.0075

 

0.0033

 

0.0033

 

0.0008

 

0.0075

 

0.0008

 

0.0008

 

0.0000

 

0.0008

 

0.0000

 

0.0042

 

0.0067

 

0.0050

 

0.0075

 

0.0050

 

0.0067

 

0.0083

 

0.0075

 

0.0075

 

0.0083

 

0.0067

 

0.0033

 

0.0050 10/1/2012

 

11/1/2012

 

12/3/2012

 

1/2/2013

 

2/1/2013

 

3/1/2013

 

4/1/2013

 

5/1/2013

 

6/3/2013

 

7/1/2013

 

8/1/2013

 

9/3/2013

 

10/1/2013

 

11/1/2013

 

12/2/2013

 

1/2/2014

 

2/3/2014

 

3/3/2014

 

4/1/2014

 

5/1/2014 1,569.19

 

1,597.57

 

1,630.74

 

1,606.28

 

1,685.73

 

1,632.97

 

1,681.55

 

1,756.54

 

1,805.81

 

1,848.36

 

1,782.59

 

1,859.45

 

1,872.34

 

1,883.95

 

1,923.57

 

1,960.23

 

1,930.67

 

2,003.37

 

1,972.29 2,018.05 60.77

 

60.78

 

62.15

 

54.80

 

62.53

 

67.77

 

66.32

 

72.71

 

77.80

 

78.49

 

70.04

 

74.07

 

75.55

 

83.06

 

89.59

 

92.07

 

94.72

 

102.06

 

100.32

 

107.53 Average Mothly Return 85.84

 

84.78

 

86.78

 

86.67

 

89.93

 

84.18

 

83.10

 

86.56

 

90.90

 

98.41

 

89.62

 

94.28

 

95.66

 

100.29

 

99.12

 

99.27

 

97.55

 

98.75

 

93.58

 

96.02 0.1

 

0.06

 

0.05

 

0.03

 

0.03

 

0.03

 

0.02

 

0

 

0.03

 

0.05

 

0.06

 

0.01

 

0.04

 

0.03

 

0.02

 

0.03

 

0.02

 

0.02

 

0.02

 

0.01 3.5988

 

1.8086

 

2.0763

 

-1.4999

 

4.9462

 

-3.1298

 

2.9749

 

4.4596

 

2.8049

 

2.3563

 

-3.5583

 

4.3117

 

0.6932

 

0.6201

 

2.1030

 

1.9058

 

-1.5080

 

3.7655

 

-1.5514

 

2.3201

 

1.1878 4.5486 0.2805

 

0.0165

 

2.2540

 

-11.8262

 

14.1058

 

8.3800

 

-2.1396

 

9.6351

 

7.0004

 

0.8869

 

-10.7657

 

5.7539

 

1.9981

 

9.9404

 

7.8618

 

2.7682

 

2.8782

 

7.7492

 

-1.7049

 

7.1870

 

2.6798 0.6213

 

-1.2349

 

2.3590

 

-0.1268

 

3.7614

 

-6.3939

 

-1.2830

 

4.1637

 

5.0139

 

8.2618

 

-8.9320

 

5.1997

 

1.4637

 

4.8401

 

-1.1666

 

0.1513

 

-1.7326

 

1.2301

 

-5.2354

 

2.6074

 

0.8268 0.0083

 

0.0050

 

0.0042

 

0.0025

 

0.0025

 

0.0025

 

0.0017

 

0.0000

 

0.0025

 

0.0042

 

0.0050

 

0.0008

 

0.0033

 

0.0025

 

0.0017

 

0.0025

 

0.0017

 

0.0017

 

0.0017

 

0.0008

 

0.0056 Monthly return (%)

 

S&P500

 

0.0196

 

7.4142

 

3.3560

 

3.5723

 

-1.9762

 

5.7364

 

1.7771

 

-3.6974

 

2.8514

 

5.8796

 

1.4759

 

-8.1976

 

-5.3882

 

6.8778

 

-4.7449

 

8.7551

 

3.6856

 

-0.2290

 

6.5300

 

2.2646

 

3.1957

 

-0.1047

 

2.8495

 

-1.3501

 

-1.8258

 

-2.1474

 

-5.6791

 

-7.1762

 

10.7723

 

-0.5059

 

0.8533

 

4.3583

 

4.0589

 

3.1332

 

-0.7497

 

-6.2651

 

3.9555

 

1.2598

 

1.9763

 

2.4236

 

-1.9789

 

0.2847

 

0.7068 Apple

 

4.8764

 

14.7128

 

2.9519

 

10.1878

 

1.6990

 

6.0554

 

5.4113

 

-8.8621

 

6.5425

 

14.8481

 

11.0987

 

-1.6109

 

-2.0812

 

2.2710

 

-5.4986

 

16.7197

 

6.0728

 

3.3788

 

3.6685

 

5.1961

 

4.0915

 

-1.3300

 

0.4653

 

-0.6574

 

-3.4952

 

16.3290

 

-1.4468

 

-0.9135

 

6.1541

 

-5.5803

 

5.9675

 

12.7096

 

18.8306

 

10.5291

 

-2.5966

 

-1.0713

 

1.0866

 

4.5808

 

9.3890

 

0.2787

 

-10.7596

 

-1.2372

 

-9.0753 Excess return (%) Exxon T Bill

 

S&P500

 

Apple

 

Exxon

 

0.8029

 

0.0150

 

0.0046

 

4.8614

 

0.7879

 

0.6990

 

0.0142

 

7.4000 14.6986

 

0.6848

 

-1.1622

 

0.0108

 

3.3452

 

2.9411

 

-1.1731

 

-0.7839

 

0.0100

 

3.5623 10.1778

 

-0.7939

 

4.4609

 

0.0042 -1.9804

 

1.6949

 

4.4567

 

5.3419

 

0.0042

 

5.7322

 

6.0512

 

5.3378

 

-9.1548

 

0.0042

 

1.7729

 

5.4072

 

-9.1590

 

-5.5162

 

0.0058 -3.7033 -8.8679 -5.5221

 

1.5336

 

0.0100

 

2.8414

 

6.5325

 

1.5236

 

3.0553

 

0.0125

 

5.8671 14.8356

 

3.0428

 

1.1825

 

0.0133

 

1.4626 11.0854

 

1.1692

 

-10.1893

 

0.0125 -8.2101 -1.6234 -10.2018

 

-5.6085

 

0.0142 -5.4024 -2.0954 -5.6227

 

4.5825

 

0.0117

 

6.8661

 

2.2594

 

4.5709

 

-0.2414

 

0.0117 -4.7566 -5.5103 -0.2530

 

4.5226

 

0.0133

 

8.7418 16.7064

 

4.5093

 

7.6033

 

0.0092

 

3.6764

 

6.0636

 

7.5941

 

5.2788

 

0.0133 -0.2424

 

3.3654

 

5.2655

 

5.1242

 

0.0100

 

6.5200

 

3.6585

 

5.1142

 

10.3319

 

0.0117

 

2.2529

 

5.1844 10.3203

 

6.5727

 

0.0117

 

3.1840

 

4.0798

 

6.5610

 

-1.6404

 

0.0075 -0.1122 -1.3375 -1.6479

 

4.5766

 

0.0033

 

2.8462

 

0.4620

 

4.5733

 

-4.5865

 

0.0033 -1.3534 -0.6607 -4.5898

 

-2.5006

 

0.0008 -1.8266 -3.4960 -2.5015

 

-1.9535

 

0.0075 -2.1549 16.3215 -1.9610

 

-6.6143

 

0.0008 -5.6799 -1.4477 -6.6151

 

-1.8868

 

0.0008 -7.1770 -0.9143 -1.8876

 

7.5148

 

0.0000 10.7723

 

6.1541

 

7.5148

 

3.6324

 

0.0008 -0.5067 -5.5811

 

3.6315

 

5.3638

 

0.0000

 

0.8533

 

5.9675

 

5.3638

 

-1.1971

 

0.0042

 

4.3541 12.7054

 

-1.2012

 

3.8515

 

0.0067

 

4.0523 18.8240

 

3.8449

 

0.2702

 

0.0050

 

3.1282 10.5241

 

0.2652

 

-0.4532

 

0.0075 -0.7572 -2.6041 -0.4607

 

-8.2923

 

0.0050 -6.2701 -1.0763 -8.2973

 

8.8141

 

0.0067

 

3.9488

 

1.0799

 

8.8074

 

1.5041

 

0.0083

 

1.2514

 

4.5725

 

1.4958

 

1.1660

 

0.0075

 

1.9688

 

9.3815

 

1.1585

 

4.7545

 

0.0075

 

2.4161

 

0.2712

 

4.7470

 

-0.3095

 

0.0083 -1.9873 -10.7679 -0.3178

 

-2.7133

 

0.0067

 

0.2780

 

-1.2438

 

-2.7199

 

-1.8081

 

0.0033

 

0.7035

 

-9.0786

 

-1.8114 5.0428

 

1.1061

 

3.5988

 

1.8086

 

2.0763

 

-1.4999

 

4.9462

 

-3.1298

 

2.9749

 

4.4596

 

2.8049

 

2.3563

 

-3.5583

 

4.3117

 

0.6932

 

0.6201

 

2.1030 -14.4085

 

-2.5294

 

0.2873

 

0.0256

 

2.2424

 

-11.8290

 

14.1211

 

8.3790

 

-2.1489

 

9.6361

 

7.0060

 

0.8896

 

-10.7685

 

5.7511

 

1.9950

 

9.9389

 

7.8714 3.9596

 

0.1621

 

0.6241

 

-1.2405

 

2.3726

 

-0.1363

 

3.7656

 

-6.3918

 

-1.2766

 

4.1523

 

5.0234

 

8.2538

 

-8.9370

 

5.2041

 

1.4641

 

4.8444

 

-1.1699 Average Mothly Return 0.0050

 

0.0083

 

0.0050

 

0.0042

 

0.0025

 

0.0025

 

0.0025

 

0.0017

 

0.0000

 

0.0025

 

0.0042

 

0.0050

 

0.0008

 

0.0033

 

0.0025

 

0.0017

 

0.0017 5.0378

 

1.0977

 

3.5938

 

1.8044

 

2.0738

 

-1.5024

 

4.9437

 

-3.1315

 

2.9749

 

4.4571

 

2.8008

 

2.3513

 

-3.5591

 

4.3084

 

0.6907 -14.4135

 

-2.5378

 

0.2823

 

0.0215

 

2.2399

 

-11.8315

 

14.1186

 

8.3773

 

-2.1489

 

9.6336

 

7.0019

 

0.8846

 

-10.7693

 

5.7478

 

1.9925 3.9546

 

0.1537

 

0.6191

 

-1.2447

 

2.3701

 

-0.1388

 

3.7631

 

-6.3935

 

-1.2766

 

4.1498

 

5.0192

 

8.2488

 

-8.9378

 

5.2008

 

1.4616 0.6184 9.9373 4.8427 2.1014 7.8697 -1.1715 1.0530 2.9328 0.9371 Excess return (%) S&P500 Apple SUMMARY OUTPUT 0.0046 4.8614 7.4000 14.6986 3.3452 2.9411 Multiple R 0.4854 3.5623 10.1778 R Square 0.2357 -1.9804 1.6949 Adjusted R Square 0.2225 5.7322 6.0512 Standard Error 6.5125 1.7729 5.4072 Observations -3.7033 -8.8679 2.8414 6.5325 5.8671 14.8356 1.4626 11.0854 Regression -8.2101 -1.6234 -5.4024 -2.0954 6.8661 2.2594 -4.7566 -5.5103 8.7418 16.7064 3.6764 6.0636 -0.2424 3.3654 6.5200 Regression Statistics 60.0000 ANOVA

 

df SS MS 1.0000 758.4068 758.4068 Residual 58.0000 2459.9031 42.4121 Total 59.0000 3218.3099 Coefficients Standard Error t Stat Intercept 1.7248 0.8880 1.9424 X Variable 1 0.9252 0.2188 4.2287 3.6585 ALPHA 1.7248 Alpha is a positive figure whic 2.2529 5.1844 BETA 0.9252 Beta of 0.925 shows a good li 3.1840 4.0798 R square 0.2357 R squareof 0.236 shows that -0.1122 -1.3375 2.8462 0.4620 -1.3534 -0.6607 -1.8266 -3.4960 -2.1549 16.3215 -5.6799 -1.4477 -7.1770 -0.9143 10.7723 6.1541 Multiple R 0.485441811 -0.5067 -5.5811 R Square 0.2356537519 0.8533 5.9675 Adjusted R Square 0.2224753683 4.3541 12.7054 Standard Error 6.5124590096 4.0523 18.8240 Observations 3.1282 10.5241 -0.7572 -2.6041 -6.2701 -1.0763 3.9488 1.0799 Regression 1.2514 4.5725 Residual 58 1.9688 9.3815 Total 59 3218.30989885 2.4161 0.2712 -1.9873 -10.7679 0.2780 -1.2438 Intercept 1.7247594338 0.8879636097 1.9423762583 0.7035 -9.0786 X Variable 1 0.9251856356 0.2187876353 4.2286925153 5.0378 -14.4135 SUMMARY OUTPUT

 

Regression Statistics 60 ANOVA

 

df SS MS 1 758.406802446 758.40680245 Coefficients 2459.9030964 42.412122352 Standard Error t Stat 1.0977 -2.5378 3.5938 0.2823 1.8044 0.0215 2.0738 2.2399 -1.5024 -11.8315 4.9437 14.1186 -3.1315 8.3773 2.9749 -2.1489 4.4571 9.6336 2.8008 7.0019 2.3513 0.8846 -3.5591 -10.7693 4.3084 5.7478 0.6907 1.9925 0.6184 9.9373 2.1014 7.8697 F Significance F 17.8818 P-value 0.0001 Lower 95% Upper 95% Lower 95.0% Upper 95.0% 0.0570 -0.0527 3.5022 -0.0527 3.5022 0.0001 0.4872 1.3631 0.4872 1.3631 ha is a positive figure which shows the excess return over the S&P500. a of 0.925 shows a good linkage with market but its p value is less than zero show its significance level very low quareof 0.236 shows that only 23.6% variation in return of Apple stock can be explained by market variation F Significance F 17.8818403888 8.445658E-005 P-value Lower 95% Upper 95% Lower 95.0% Upper 95.0% 0.0569523526 -0.0526928491 3.5022117167 -0.052692849 3.5022117167 8.445658E-005 0.4872346008 1.3631366704 0.4872346008 1.3631366704 Monthly return (%)

 

Apple

 

4.8764

 

14.7128

 

2.9519

 

10.1878

 

1.6990

 

6.0554

 

5.4113

 

-8.8621

 

6.5425

 

14.8481

 

11.0987

 

-1.6109

 

-2.0812

 

2.2710

 

-5.4986

 

16.7197

 

6.0728

 

3.3788

 

3.6685

 

5.1961

 

4.0915

 

-1.3300

 

0.4653

 

-0.6574

 

-3.4952

 

16.3290

 

-1.4468

 

-0.9135

 

6.1541

 

-5.5803

 

5.9675

 

12.7096

 

18.8306

 

10.5291

 

-2.5966

 

-1.0713

 

1.0866

 

4.5808

 

9.3890

 

0.2787

 

-10.7596

 

-1.2372

 

-9.0753 S&P 500

 

0.0196

 

7.4142

 

3.3560

 

3.5723

 

-1.9762

 

5.7364

 

1.7771

 

-3.6974

 

2.8514

 

5.8796

 

1.4759

 

-8.1976

 

-5.3882

 

6.8778

 

-4.7449

 

8.7551

 

3.6856

 

-0.2290

 

6.5300

 

2.2646

 

3.1957

 

-0.1047

 

2.8495

 

-1.3501

 

-1.8258

 

-2.1474

 

-5.6791

 

-7.1762

 

10.7723

 

-0.5059

 

0.8533

 

4.3583

 

4.0589

 

3.1332

 

-0.7497

 

-6.2651

 

3.9555

 

1.2598

 

1.9763

 

2.4236

 

-1.9789

 

0.2847

 

0.7068 BETA 0.925 Total Risk of Apple 54.5619 Total Risk of S&P 500 15.02085 Systematic Risk of Apple 12.85221 Firm Specific Risk of Apple 41.70969 -14.4085

 

-2.5294

 

0.2873

 

0.0256

 

2.2424

 

-11.8290

 

14.1211

 

8.3790

 

-2.1489

 

9.6361

 

7.0060

 

0.8896

 

-10.7685

 

5.7511

 

1.9950

 

9.9389 5.0428

 

1.1061

 

3.5988

 

1.8086

 

2.0763

 

-1.4999

 

4.9462

 

-3.1298

 

2.9749

 

4.4596

 

2.8049

 

2.3563

 

-3.5583

 

4.3117

 

0.6932

 

0.6201 7.8714 2.103028 Excess return (%) S&P500

 

0.0046

 

7.4000

 

3.3452

 

3.5623

 

-1.9804

 

5.7322

 

1.7729

 

-3.7033

 

2.8414

 

5.8671

 

1.4626

 

-8.2101

 

-5.4024

 

6.8661

 

-4.7566

 

8.7418

 

3.6764

 

-0.2424

 

6.5200

 

2.2529

 

3.1840

 

-0.1122

 

2.8462

 

-1.3534

 

-1.8266

 

-2.1549

 

-5.6799

 

-7.1770

 

10.7723

 

-0.5067

 

0.8533

 

4.3541

 

4.0523

 

3.1282

 

-0.7572

 

-6.2701

 

3.9488

 

1.2514

 

1.9688

 

2.4161

 

-1.9873

 

0.2780

 

0.7035

 

5.0378 Exxon

 

0.8029

 

0.6990

 

-1.1622

 

-0.7839

 

4.4609

 

5.3419

 

-9.1548

 

-5.5162

 

1.5336

 

3.0553

 

1.1825

 

-10.1893

 

-5.6085

 

4.5825

 

-0.2414

 

4.5226

 

7.6033

 

5.2788

 

5.1242

 

10.3319

 

6.5727

 

-1.6404

 

4.5766

 

-4.5865

 

-2.5006

 

-1.9535

 

-6.6143

 

-1.8868

 

7.5148

 

3.6324

 

5.3638

 

-1.1971

 

3.8515

 

0.2702

 

-0.4532

 

-8.2923

 

8.8141

 

1.5041

 

1.1660

 

4.7545

 

-0.3095

 

-2.7133

 

-1.8081

 

3.9596 SUMMARY OUTPUT

 

Regression Statistics

 

Multiple R 0.6629 R Square 0.4395 Adjusted R Square 0.4298 Standard Error 3.5296 Observations 60.0000 ANOVA

 

df

 

Regression 1.0000 SS 566.4751 566.4751 Residual 58.0000 722.5741 Total 59.0000 1289.0492 Coefficients

 

Intercept

 

X Variable 1

 

ALPHA MS Standard Error F

 

45.4702 12.4582 t Stat P-value -0.1007 0.4813 -0.2092 0.8350 0.7996 0.1186 6.7432 0.0000 -0.1007 Alpha is negative for Exxon which sh BETA 0.7996 Beta of 0.80 shows a good positive r R square 0.4395 P value is almost zero so beta value R square of 0.44 shows that only 44% 1.0977

 

3.5938

 

1.8044

 

2.0738

 

-1.5024

 

4.9437

 

-3.1315

 

2.9749

 

4.4571

 

2.8008

 

2.3513

 

-3.5591

 

4.3084

 

0.6907

 

0.6184

 

2.1014 0.1621

 

0.6241

 

-1.2405

 

2.3726

 

-0.1363

 

3.7656

 

-6.3918

 

-1.2766

 

4.1523

 

5.0234

 

8.2538

 

-8.9370

 

5.2041

 

1.4641

 

4.8444

 

-1.1699 Significance F

 

0.0000 Lower 95% Upper 95% Lower 95.0% Upper 95.0% -1.0640 0.8627 -1.0640 0.8627 0.5622 1.0370 0.5622 1.0370 gative for Exxon which shows no abnormal profit although it is loss 0 shows a good positive relation with market movement but since its value is less than one so stock will come under defensive security almost zero so beta value is least significance f 0.44 shows that only 44% variation in the return on Exxon will be explained by the variation in market return ome under defensive security Monthly return (%)

 

Exxon S&P 500

 

0.0196

 

4.8764

 

7.4142

 

14.7128

 

3.3560

 

2.9519

 

3.5723

 

10.1878

 

-1.9762

 

1.6990

 

5.7364

 

6.0554

 

1.7771

 

5.4113

 

-8.8621

 

6.5425

 

14.8481

 

11.0987

 

-1.6109

 

-2.0812

 

2.2710

 

-5.4986

 

16.7197

 

6.0728

 

3.3788

 

3.6685

 

5.1961

 

4.0915

 

-1.3300

 

0.4653

 

-0.6574

 

-3.4952

 

16.3290

 

-1.4468

 

-0.9135

 

6.1541

 

-5.5803

 

5.9675

 

12.7096

 

18.8306

 

10.5291

 

-2.5966

 

-1.0713

 

1.0866

 

4.5808

 

9.3890

 

0.2787

 

-10.7596

 

-1.2372

 

-9.0753

 

-14.4085

 

-2.5294

 

0.2873

 

0.0256 -3.6974

 

2.8514

 

5.8796

 

1.4759

 

-8.1976

 

-5.3882

 

6.8778

 

-4.7449

 

8.7551

 

3.6856

 

-0.2290

 

6.5300

 

2.2646

 

3.1957

 

-0.1047

 

2.8495

 

-1.3501

 

-1.8258

 

-2.1474

 

-5.6791

 

-7.1762

 

10.7723

 

-0.5059

 

0.8533

 

4.3583

 

4.0589

 

3.1332

 

-0.7497

 

-6.2651

 

3.9555

 

1.2598

 

1.9763

 

2.4236

 

-1.9789

 

0.2847

 

0.7068

 

5.0428

 

1.1061

 

3.5988

 

1.8086 BETA 0.8 Total Risk of Exxon 54.5619 Total Risk of S&P 500 15.02085 Systematic Risk of Apple 9.613343 Firm Specific Risk of Apple 44.94856 2.0763

 

2.2424

 

-1.4999

 

-11.8290

 

4.9462

 

14.1211

 

-3.1298

 

8.3790

 

2.9749

 

-2.1489

 

4.4596

 

9.6361

 

2.8049

 

7.0060

 

2.3563

 

0.8896

 

-3.5583

 

-10.7685

 

4.3117

 

5.7511

 

0.6932

 

1.9950

 

0.6201

 

9.9389

 

7.8714 2.103028 Monthly return (%) Apple

 

4.88

 

14.71

 

2.95

 

10.19

 

1.70

 

6.06

 

5.41

 

-8.86

 

6.54

 

14.85

 

11.10

 

-1.61

 

-2.08

 

2.27

 

-5.50

 

16.72

 

6.07

 

3.38

 

3.67

 

5.20

 

4.09

 

-1.33

 

0.47

 

-0.66

 

-3.50

 

16.33

 

-1.45

 

-0.91

 

6.15

 

-5.58

 

5.97

 

12.71

 

18.83

 

10.53

 

-2.60

 

-1.07

 

1.09

 

4.58

 

9.39

 

0.28

 

-10.76

 

-1.24

 

-9.08

 

-14.41

 

-2.53

 

0.29 Exxon

 

0.80

 

0.70

 

-1.16

 

-0.78

 

4.46

 

5.34

 

-9.15

 

-5.52

 

1.53

 

3.06

 

1.18

 

-10.19

 

-5.61

 

4.58

 

-0.24

 

4.52

 

7.60

 

5.28

 

5.12

 

10.33

 

6.57

 

-1.64

 

4.58

 

-4.59

 

-2.50

 

-1.95

 

-6.61

 

-1.89

 

7.51

 

3.63

 

5.36

 

-1.20

 

3.85

 

0.27

 

-0.45

 

-8.29

 

8.81

 

1.50

 

1.17

 

4.75

 

-0.31

 

-2.71

 

-1.81

 

3.96

 

0.16

 

0.62 Covariance

 

Correlation Coeff. 10.02

 

0.30 0.03

 

2.24

 

-11.83

 

14.12

 

8.38

 

-2.15

 

9.64

 

7.01

 

0.89

 

-10.77

 

5.75

 

1.99

 

9.94

 

7.87 -1.24

 

2.37

 

-0.14

 

3.77

 

-6.39

 

-1.28

 

4.15

 

5.02

 

8.25

 

-8.94

 

5.20

 

1.46

 

4.84

 

-1.17

 







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