ECON 4140 Study Guide - Quiz Guide: Null Hypothesis, Confidence Interval, Market Risk
23 Mar 2018
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First solution: percent of the variance in the excess returns on apple that is due to excess returns on the market. This p-value is for testing the null hypothesis that = 0, so that the null hypothesis is strongly rejected. We do not expect the beta of a stock to be zero, so the outcome of this test is no surprise. Since is not zero, then there is a statistically significant relationship between the excess returns on apple and the excess market returns. A, test the null hypothesis that 0: = 0. For apple, we find that (cid:2010) = 0. 80063. Since the standard error of (cid:2010) 0. 05596, a 95% confidence interval for (cid:2010) is 0. 80063 (2) (0. 05596) = (0. 68871, 0. 91255). For apple, the t-value for (cid:2010) is 35. 13 at df = 751 t-value = 14. 31 > 0. 025 at df 751 = 1. 96312779. B, notice that the 2 (r-sp) value for the regression is 21. 44%.
