Sample (adjusted): 1993M12 1999M03 Included observations: 64 after adjustments V

Question

Sample (adjusted): 1993M12 1999M03 Included observations: 64 after adjustments Variable Coefficient Std. Error t-Statistic Prob. 0.006564 1.231945 RINDEX 0.005665 0.122017 0.2511 0.0000 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 It the monthly return on the market index increases by 20%, the monthly return on UTX stock will increase by a. b. c. 13.1259% 12.32% 24.64% d. 0.65% 8. The UTX stock i over the period under study. s a. not volatile b. passive c. aggressive d. volatile e. e and d 9. I order to obtain estimate of the UTX beta, one should use to test the CAPM for UTX stock because the numerical value of the intercept is statistically imprecise; regression-through-origin; significant a. 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 c. rejected; smaller than 2 d. accepted; smaller than 2 e. none of the above I1. Which of the following statements is FALSE about economic theory? Economic theory makes statement or hypothesis that are mostly qualitative in nature a.

Explanation / Answer

7) The correct answer is option c, because the coefficient for index tells than a 1% increase in the return on market index will result in 1.24% increase in return on UTX stock. Using this a 20% increase in market index will result in 20*1.24 =24.64%.

8) The correct option is a, because the volatile stock is one whose returns fluctuate more rapidly or have high variance.

9) The correct answer is option b, because the intercept of above equation is insignificant.

10) The correct option is b, because the t- value is equal to 1.231/0.122 = 10.09 > 2.

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