17 - 19. Performance Evaluation using Excel and One-Factor Model Regression Stat

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Question

17 - 19. Performance Evaluation using Excel and One-Factor Model

Regression Statistics

Coefficients

Standard Error

t Stat

P-value

Intercept

0.31%

0.10%

X.XX

0.11%

MKT

0.83

0.02

XX.XX

0.00%

17. a. Calculate the t-statistic for the null hypothesis that the intercept (?0) is equal to zero.

b. Provide the results of the test, assuming a t-critical value of 2.

c. Interpret this result.

18. a. Calculate the t-statistic for the null hypothesis that the slope coefficient (?1) is equal to zero.

b. Provide the results of the test, assuming a t-critical value of 2.

c. Interpret this result.

19. a. Calculate the t-statistic for the null hypothesis that the intercept (?1) is equal to one.

b. Provide the results of the test, assuming a t-critical value of 2.

c. Interpret this result.

Regression Statistics

Q 17 a) t =b0/Sb0 = 0.31/0.10 = 3.10

b) The calculated value of t is greater than critical value of 2 (i.e. 3.1> 2), Reject H0.

c) Interpretation : The intercept is significantly different from zero.

Q 18 a) t = b1/Sb1 = 0.83/0.02 = 41.50

b) The calculated value of t is greater than critical value of 2 (i.e. 41.5 > 2), Reject H0.

c) Interpretation : The slope is significantly different from zero.

Q 19

a) t =b0 - Beta0/Sb0 = 0.31 -1 /0.10 = -6.9

b) The calculated value of |t| is greater than critical value of 2 (i.e. |-6.5| > 2), Reject H0.

c) Interpretation : The intercept is significantly different from one.

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