How are returns on common stocks in overseas markets related to returns in U. ma

Question

How are returns on common stocks in overseas markets related to returns in U. markets? Measure U· returns by the annual rate o return on the Standard & Poor's 500 Stock Index and overseas returns by the annual rate of return on the Morgan Stanley EAFE (Europe, Australasia, Far East) index. Both are recorded in percents. Regress the EAFE returns on the S&P; 500 returns for 27 years. Here is part of the output for this regression. Te regression equation is EAFE = 5.85 + 0.586 S&P.; (Round your answer for F to two decimal places and your answers for SS and MS to one decimal place.) for Analysis of Variance SourceDF Regression 1 Residual Error Total MS 1425.3 1425.3 26 13595.1 Complete the analysis of variance table by filling in the missing boxes. (Round your answer for s to two decimal places and your answer for 2 to three decimal places.) What is s? What is 2?

Explanation / Answer

completing above table:

s =(MSE)1/2 =22.06

r2 =SSR/SST =0.105

Source df SS MS F regression 1 1425.3 1425.3 2.93 residual 25 12169.8 486.8 total 26 13595.1

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