Sample (adjusted): 1993M12 1999MO3 Included observations: 64 after adjustments V

Question

Sample (adjusted): 1993M12 1999MO3 Included observations: 64 after adjustments Variable Prob. Coefficient Std. Error t-Statistic 0.2511 0.0000 RINDEX 0.006564 1.231945 0.005665 0.122017 R-squared Adjusted R-squared S.E. of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) 0.621813 Mean dependent var 0.615713 S.D. dependent var 0.041903 Akaike info criterion 0.108863 Schwarz criterion 113.2375 Hannan-Quinn criter 101.9399 Durbin-Watson stat 0.000000 0.028365 0.067595 3.476173 -3.408708 3.449595 2.018383 7. If the monthly return on the market index increases by 20%, the monthly return on UTX stock will increase by 13.1259% a. b. c. d. 12.32% 24.64% 0.65% 8 The UTX stockis a. not volatile over the period under study b. passive c. aggressive d. volatile e. c and d to 9. I order to obtain estimate of the UTX beta, one should use test the CAPM for UTX stock because the numerical value of the intercept is statistically a. imprecise; regression-through-origin; significant b. precise; regression-through-origin; insignificant c. precise; zero-intercept-regression; insignificant d. imprecise; zero-intercept-regression; significant e. B and C 10. The null hypothesis that there is no relationship between the return on UTX stock and because the absolute value of the t- the return on the market index is statistic IS a. accepted; greater than 2 b. rejected; greater than 2 c. rejected; smaller than 2 d. accepted; smaller than 2 e. none of the above

Explanation / Answer

Answer

Q7. : option C. It will increase by 24.64 %.

   As: 20% of coefficient value of RIndex 1.231945 is 24.64

Q8. : Option E: As it is both volatile as well as aggressive because on increasing its variable it is increasing more than one-to-one.

Q9. : Option E: because null hypothesis of intercept qual to zero gets accepted at 5% level of significance. So, intercept is insignificant. Hence option E because regression through origin and zero intercept regression are same.

Q10. : Option B. As: 1.23/.12 = 10.25. Hence it is rejected as greater than 2

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