Data: Answer 1 Answer 2 How are returns on common stocks in overseas markets rel
ID: 3359310 • Letter: D
Question
Data:
Answer 1
Answer 2
How are returns on common stocks in overseas markets related to returns in U.S. markets? Consider measuring U.S. returns by the annual rate of return on the Standard & Poor’s 500 stock index and overseas returns by the annual rate of return on the Morgan Stanley Europe, Australasia, Far East (EAFE) index. Both are recorded in percents. Here is part of the Minitab output for regressing the EAFE returns on the S&P 500 returns for the 25 years 1989 to 2013.
Data:
Year EAFE S&P 1989 10.4 31.69 1990 -23.57 -3.1 1991 12.2 30.47 1992 -12.22 7.62 1993 32.67 10.08 1994 7.75 1.32 1995 11.27 37.58 1996 6.14 22.96 1997 1.55 33.36 1998 20.09 28.58 1999 26.72 21.04 2000 -14.17 -9.1 2001 -21.44 -11.89 2002 -15.94 -22.1 2003 39.59 28.68 2004 20.25 10.88 2005 13.54 4.91 2006 26.34 15.79 2007 11.17 5.49 2008 -43.38 -37 2009 31.78 26.46 2010 7.75 15.06 2011 -12.14 2.11 2012 17.32 16 2013 22.78 32.39Use your answers to the previous exercise.
Fill in the blanks: A) The squared correlation r2 is _______% (give your answer to 4 decimal places).
B) The regression standard error s is _______ (give your answer to 3 decimal places).
Answer 1
Answer 2
Explanation / Answer
here we can first fill above ANOVA table:
A) squared correlation r2 =SSR/SST =(5587/9940.6)*100=56.2039%
B) regression std error s is =(MSE)1/2 =(189.29)1/2 =13.758
Source df SS MS F regression 1 5587.00 5587.00 29.52 error 23 4353.60 189.29 total 24 9940.60Related Questions
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