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    Regression Statistics

    Uploaded by

    VIKRAM KUMAR
    The document contains monthly return data for the S&P 500 stock index and Dell stock from 2002-2017 in a spreadsheet. It describes how to calculate beta, which is the measure of a stock's volatility relative to the overall market. The output shows Dell's beta is estimated to be 1.76 based on regression analysis, meaning Dell's returns tend to be 1.76% more volatile than the market.

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    Regression Statistics

    Uploaded by

    VIKRAM KUMAR
    391 views1 page
    The document contains monthly return data for the S&P 500 stock index and Dell stock from 2002-2017 in a spreadsheet. It describes how to calculate beta, which is the measure of a stock's volatility relative to the overall market. The output shows Dell's beta is estimated to be 1.76 based on regression analysis, meaning Dell's returns tend to be 1.76% more volatile than the market.

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    175.docx

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    The document contains monthly return data for the S&P 500 stock index and Dell stock from 2002-2017 in a spreadsheet. It describes how to calculate beta, which is the measure of a stock's volatility relative to the overall market. The output shows Dell's beta is estimated to be 1.76 based on regression analysis, meaning Dell's returns tend to be 1.76% more volatile than the market.

    Copyright:

    © All Rights Reserved
    Download as DOCX, PDF, TXT or read online from Scribd
    Download as docx, pdf, or txt
    391 views1 page

    Regression Statistics

    Uploaded by

    VIKRAM KUMAR
    The document contains monthly return data for the S&P 500 stock index and Dell stock from 2002-2017 in a spreadsheet. It describes how to calculate beta, which is the measure of a stock's volatility relative to the overall market. The output shows Dell's beta is estimated to be 1.76 based on regression analysis, meaning Dell's returns tend to be 1.76% more volatile than the market.

    Copyright:

    © All Rights Reserved
    Download as DOCX, PDF, TXT or read online from Scribd
    Download as docx, pdf, or txt
    of 1

    The file Delldata.

    xlsx (available on the companion website) contains monthly returns for the


    Standard & Poor's stock index and for Dell stock. The beta of a stock is defined as the slope of
    the least-squares line used to predict the monthly return for a stock from the monthly return for
    the market. Use this file to perform the following exercises:

    SUMMARY OUTPUT

    Regression Statistics
    Multiple R 0.412649
    R Square 0.170279
    Adjusted R Square 0.164517
    Standard Error 0.152075
    Observations 146

    ANOVA
    df SS MS F Significance F
    Regression 1 0.683448 0.683448 29.55239 2.27017E-07
    Residual 144 3.33024 0.023127
    Total 145 4.013689

    Coefficients
    Standard Error t Stat P-value Lower 95% Upper 95%
    Intercept 0.03 0.01 2.14 0.03 0.00 0.06
    S and P return 1.76 0.32 5.44 0.00 1.12 2.41

    (a) Estimate the beta of Dell.

    The estimated beta of Dell is 1.76.


    (b) Interpret the meaning of Dell's beta.

    Based off the returns on Dells, it is evident that if the S&P returns were impacted by one
    percent, then the similar change in Dells return would be 1.76 percent in the same
    direction.
    (c) If you believe a recession is coming, would you rather invest in a high-beta or low-beta
    stock?

    If a recession was coming, I would honestly rather invest in low beta stocks. I say this
    because they don’t have as many risks.
    (d) During a month in which the market goes up 5 percent, you are 95 percent sure that Dell's
    stock price will increase between which range of values?

    Dell's stock price will increase between 1.12 and 2.41 return

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