Use simple linear regression to estimate the beta for ExxonMobil (XOM), using th

Question

Use simple linear regression to estimate the beta for ExxonMobil (XOM), using the following data. The "market" index for this problem is the S&P 500. In your response, please provide the Excel output from the linear regression, and provide a 95% confidence interval for your estimate of beta. Can you say that the beta for XOM is statistically significant (i.e., statistically different than zero at the 95% confidence level)? When running your regression, make sure that you check the "constant is zero" box. The returns data provided has already subtracted the risk free return from both XOM and the S&P 500.

Data:

0.012454372

I already ran the regression in excel and got:

But I need help with the 95% confidence interval for the estimate of beta. Can we say that the beta for XOM is statistically significant (i.e., statistically different than zero at the 95% confidence level)?

Date XOM S&P 2/17/17 -0.001589983 -0.006048066 2/16/17 0.006561373 -0.001678556 2/15/17 0.010341522 0.000864118 2/14/17 -0.004105337 -0.004992309 2/13/17 0.002168675 -0.004007335 2/10/17 -0.005816808 -0.005245845 2/9/17 -0.008308908 -0.00356605 2/8/17 -0.004418176 -0.005752546 2/7/17 0.015585285 -0.000693322 2/6/17 0.006481827 -0.000226829 2/3/17 0.002753208 0.002115357 2/2/17 -0.001078538 -0.007264758 2/1/17 -0.006148963 -0.000570309 1/31/17 0.011324318 -0.000298364 1/30/17 0.011430615 0.000889905 1/27/17 0.007601462 0.006009543 1/26/17 0.001051355 0.000866464 1/25/17 -0.003046661 0.000735384 1/24/17 -0.002938066 -0.008026091 1/23/17 -0.001412204 -0.006564594 1/20/17 0.010711352 0.002690125 1/19/17 -0.013690499 -0.003366238 1/18/17 0.01796472 0.003609309 1/17/17 0.01236266 -0.001763754 1/13/17 -0.011696619 0.002967503 1/12/17 -0.000115844 -0.001849841 1/11/17 0.005414146 0.002144809 1/10/17 -0.01024087 -0.002829638 1/9/17 0.012752769 0 1/6/17 0.016497164 0.003548594 1/5/17 0.000564687 -0.003516959 1/4/17 0.014907064 0.00077067 1/3/17 0.011002311 -0.005722274 12/30/16 -0.006979803 -0.008486575 12/29/16 0.000996082 0.00463705 12/28/16 -0.000553654 0.000293305 12/27/16 0.004958645 0.008356529 12/23/16 -0.000440977 -0.002248373 12/22/16 0.001760801 -0.001251715 12/21/16 -0.006535268 0.001862974 12/20/16 0.001658753 0.002457361 12/19/16 -0.000110617 -0.003637512 12/16/16 0.008335183 -0.001975121 12/15/16 -0.003190681 0.001750623 12/14/16 -0.003422356 -0.003883228 12/13/16 0.021602938 0.008117172 12/12/16 -0.017586271 -0.006539775 12/9/16 -0.022247225 0.001137435 12/8/16 -0.007699275 -0.005938985 12/7/16 -0.002838651 -0.002159343 12/6/16 -0.0058246 -0.013163242 12/5/16 -0.000914438 -0.003410888 12/2/16 -0.00505517 -0.005821305 12/1/16 0.002292492 -0.000397006 11/30/16 0.000687342 0.003515529 11/29/16 -0.016298032 0.002653404 11/28/16 0.00659187 -0.001335293 11/25/16 0.007460996 0.005254536 11/23/16 -0.002301024 -0.003914387 11/22/16 -0.002768782 -0.000808025 11/21/16 -0.002196809 -0.002165432 11/18/16 -0.014188544 -0.007461401 11/17/16 -0.000586601 0.002386798 11/16/16 0.006064105 -0.00467637 11/15/16 0.012324349 0.001582264 11/14/16 -0.018058173 -0.007480798 11/11/16 0.00455234 0.000115503 11/10/16 0.015853015 0.00139795 11/9/16 -0.009275397 -0.001950746 11/8/16 -0.011018662 -0.011077021 11/7/16 0.001638373 -0.003771974 11/4/16 -0.022496075 -0.022223544 11/3/16 0.001075831 0.001666131 11/2/16 -0.002516561 0.004423401 11/1/16 0.002390974 0.006525501 10/31/16 -0.003960658 0.006786883 10/28/16 0.017221031 0.000122277 10/27/16 0.02462033 0.003108299 10/26/16 0.001951981 0.002986727 10/25/16 -0.004266547 0.001740411 10/24/16 0.002186204 0.003797728 10/21/16 -0.003347968 -0.00474984 10/20/16 0.006765233 8.41417E-05 10/19/16 -0.000458885 0.001375724 10/18/16 -0.0046099 -0.002191971 10/17/16 -0.002657684 -0.006160403 10/14/16 0 0.003037994 10/13/16 0.000231019 -0.000201604 10/12/16 0.006541938 0.003099264 10/11/16 0.006952371 -0.001146589 10/10/16 0.007915016 0.012446472 10/7/16 -0.019598848 -0.004605905 10/6/16 0.003446726 0.003253484 10/5/16 -0.000459782 -0.00048156 10/4/16 -0.008695652 -0.004296691 10/3/16 0.009190155 0.004955562 9/30/16 0.002635151 0.003260696 9/29/16 -0.009484155 -0.007967969 9/28/16 0.005063326 0.009321411 9/27/16 -0.043969295 -0.005296554 9/26/16 -0.002167108 -0.00644417 9/23/16 0.004673445 0.008587762 9/22/16 0.001077376 0.005736775 9/21/16 -0.002881128 -0.006499785 9/20/16 -0.009207681 -0.010917162 9/19/16 0.015388297 -0.000299138 9/16/16 0.002380067 1.86031E-05 9/15/16 0.012341361 0.003772295 9/14/16 -0.005673806 -0.010109273 9/13/16 0.007158796 0.000587677 9/12/16 0.02382864 0.014830674 9/9/16 -0.005182002 -0.014677053 9/8/16 0.024817596 0.024522069 9/7/16 -0.009179567 0.002223014 9/6/16 0.003725889 0.000146385 9/2/16 -0.013154908 -0.002981679 9/1/16 -0.006678973 -0.004201041 8/31/16 0.00344277 4.13846E-05 8/30/16 0.004341842 0.002375864 8/29/16 0.003642976 0.001953681 8/26/16 -0.006531443 -0.005228047 8/25/16 0.002172445 0.001578817 8/24/16 0.006362168 0.001365227 8/23/16 -0.003419927 0.005240277 8/22/16 0.003068496 -0.001951769 8/19/16 -0.002163952 0.000563323 8/18/16 0.012484546 0.001440272 8/17/16 -0.009079594 -0.002199617 8/16/16 -0.00216109 -0.00186859 8/15/16 -0.001252705 0.005479077 8/12/16 0.000455322 -0.002792909 8/11/16 -0.013030408 0.000796046 8/10/16 -0.003587513 -0.004734588 8/9/16 0.025817284 0.002864686 8/8/16 -0.001241686 -0.000389794 8/5/16 -0.01176334 0.000907165 8/4/16 -0.000914438 -0.008603496 8/3/16 0.000114242 -0.000212572 8/2/16 -0.005170002 -0.003133943 8/1/16 -0.013743303 0.00636162 7/29/16 0.034738573 0.001269787 7/28/16 0.013858094 -0.001631309 7/27/16 0.007809999 -0.001606209 7/26/16 0.006773681 0.001198542 7/25/16 0.00726679 -0.000322785 7/22/16 0.019253324 0.003011475 7/21/16 -0.001704891 -0.004553965 7/20/16 0.000851719 0.003612529 7/19/16 0.005716111 -0.004270301 7/18/16 0.003691194 0.001435174 7/15/16 0.003153942 -0.002382295 7/14/16 -0.001790479 0.000928947 7/13/16 -0.000737774 -0.005259204 7/12/16 0.00073723 -0.000134768 7/11/16 -0.011289786 -0.007009293 7/8/16 -0.003741693 -0.003408616 7/7/16 -0.006239264 -0.015253349 7/6/16 0.012009746 0.000871578 7/5/16 -0.011502892 -0.005352963 7/1/16 0.008738268 0.006847477 6/30/16 -0.001066759 -0.001948602 6/29/16 -0.013843814 -0.013565044 6/28/16 -0.017049774 -0.017032673 6/27/16 -0.023070031 -0.017770165 6/24/16 0.005929053 0.018096502 6/23/16 0.026252766 0.0359198 6/22/16 -0.006910223 -0.013364079 6/21/16 0.003933148 0.001651564 6/20/16 -0.004499517 -0.002712061 6/17/16 -0.004409193 -0.005808185 6/16/16 0.005481254 0.003257965 6/15/16 -0.011756843 -0.003132991 6/14/16 0.002985691 0.001840713 6/13/16 0.001766155 0.001798886 6/10/16 -0.006779206 0.008115191 6/9/16 0.007609959 0.009175181 6/8/16 0.001321764 0.001717759 6/7/16 -0.000881953 -0.003309566 6/6/16 -0.015334711 -0.001289446 6/3/16 -0.010976496 -0.004897281 6/2/16 0.001807252 0.002911815 6/1/16 0.007956062 -0.002824678 5/31/16 -0.002471366 -0.001135042 5/27/16 0.010998833 0.001005263 5/26/16 -0.002338519 -0.004286857 5/25/16 0.005096377 0.000210444 5/24/16 -0.006579726 -0.00697474 5/23/16 -0.00078125 -0.013681383 5/20/16 0.001560062 0.002085459 5/19/16 0.004106126 -0.006019504 5/18/16 -0.00850591 0.003706708 5/17/16 0.00201051 -0.000205179 5/16/16 0.000446589 0.009411297 5/13/16 -0.010263884 -0.009796653 5/12/16 0.011263455 0.008478289 5/11/16 -0.009683594 0.000169465 5/10/16 0.013112568 0.009561518 5/9/16 -0.016032494 -0.012483644 5/6/16 -0.000677867 -0.000753497 5/5/16 -0.005338494 -0.003174639 5/4/16 -0.001137128 0.000239008 5/3/16 0.001929395 0.005936889 5/2/16 0.011443914 0.008676638 4/29/16 -0.008257862 -0.007809947 4/28/16 -0.004203147 0.005063088 4/27/16 0.004860954 0.009230768 4/26/16 -0.009471665 -0.001649353 4/25/16 -0.003435188 -0.001872752 4/22/16 0.002284897 0.001812046 4/21/16 -0.008526305 -4.78599E-05 4/20/16 0.00011523 0.005194027 4/19/16 -0.0068438 -0.000761545 4/18/16 -0.005012824 -0.003084485 4/15/16 -0.009532753 -0.006541026 4/14/16 0.005384514 0.000984285 4/13/16 -0.007072946 -0.000172927 4/12/16 -0.005690623 -0.010040137 4/11/16 -0.012361954 -0.009662134 4/8/16 -0.001321969 0.002739786 4/7/16 -0.010197839 -0.002786578 4/6/16 0.0112831 0.011975787 4/5/16 -0.013380355 -0.010507619 4/4/16 0.011423821 0.010144492 4/1/16 -0.002410861 0.003208322 3/31/16 0.007536751 -0.006330915 3/30/16 0.011003325 0.002039759 3/29/16 0.000118325 -0.004350315 3/28/16 -0.003680812 -0.008816652 3/24/16 -0.002857799 -0.000545256 3/23/16 -0.002746304 0.000378071 3/22/16 0.004398514 0.006386032 3/21/16 -0.005979431 0.000877388 3/18/16 0.00688829 -0.000985577 3/17/16 -0.001189049 -0.004405644 3/16/16 -0.014842464 -0.006595236 3/15/16 -0.000603755 -0.005600352 3/14/16 -0.004975076 0.001836942 3/11/16 -0.002676749 0.001260973 3/10/16 -0.000121708 -0.0163955 3/9/16 0.002669927 -0.000155805 3/8/16 0.002783432 -0.005052393 3/7/16 0.021667085 0.011240109 3/4/16 -0.02637013 -0.000885014 3/3/16 0.001334964 -0.003305892 3/2/16 0.003627509 -0.003498741 3/1/16 -0.017470448 -0.004094308 2/29/16 -0.014098527 -0.023868792 2/26/16 0.019571841 0.008120977 2/25/16 0.003170369 0.001870114 2/24/16 -0.006010856 -0.011348275 2/23/16 -0.003570036 -0.004439787 2/22/16 0.01407933

0.012454372

Explanation / Answer

Last row of output show the confidence interval. The 5% confidence interval for the estimate of beta is

(0.3056, 0.4448)

P-value of beta is 0.0000

Since p-value is less than 0.05 so we can say that the beta for XOM is statistically significant.

Related Questions

Navigate

• Browse (All)
• Browse U
• Subjects

---

---

Integrity-first tutoring: explanations and feedback only — we do not complete graded work. Learn more.