Question 26 Tiffany & Co. has been the world\'s premier jeweler since 1837. The

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Question 26

Tiffany & Co. has been the world's premier jeweler since 1837. The performance of Tiffany's stock is likely to be strongly influenced by the economy. Monthly data for Tiffany's risk-adjusted return and the risk-adjusted market return are collected for a five-year period (n = 60). The accompanying table shows the regression results when estimating the CAPM model for Tiffany's return.

When testing whether the beta coefficient is significantly greater than one, the value of the test statistic is ________.

1.98

4.33

9.58

?1.98

1 points

Question 27

4.77

4.27

5.74

7.47

1 points

Question 28

A sociologist wishes to study the relationship between happiness and age. He interviews 24 individuals and collects data on age and happiness, measured on a scale from 0 to 100. He estimates the following model: Happiness = ?0 + ?1Age + ?. The following table summarizes a portion of the regression results.

At the 1% significance level, which of the following is correct?

Do not reject the null hypothesis. At 1% significance level, we conclude that Age is significant in explaining Happiness.

Reject the null hypothesis. At 1% significance level, we conclude that Age is significant in explaining Happiness.

Reject the null hypothesis. At 1% significance level, we conclude that Age is not significant in explaining Happiness.

Do not reject the null hypothesis. At 1% significance level, we conclude that Age is not significant in explaining Happiness.

1 points

Question 29

Consider the following simple linear regression model: y = ?0 + ?1x + ?. The response variable is ________.

y

x

?

?0

1 points

Question 30

The alternative hypothesis for the test of joint significance is specified as: HA: At least two ?j ? 0.

True

False

   Coefficients Standard Error t-stat p-value Lower 95% Upper 95% Intercept 0.0198 0.010 1.98 0.0598 ?0.0008 0.0405 RM – Rf 1.827 0.191 9.58 1.494E-13 1.4456 2.2094

Explanation / Answer

26)value of the test statistic is =coefficient/std error=9.58

27)

here r=Sxy/(sx*sy)=447.68/(35.77*13.34)=0.938

hence test statistic t=r*sqrt((n-2)/(1-r2))=4.77

28)

Reject the null hypothesis. At 1% significance level, we conclude that Age is significant in explaining Happiness.

29)

response variable =y

30)

False

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