3.A simple linear regression is run to quantify the relationship between the return on the common stocks of medium sized companies (Mid Caps) and the return on the S& 500 Index, using the monthly return on Mid Cap stocks as the dependent variable and the monthly return on the S& 500 as the independent variable. The results of the regression are shown below:
| Coefficient | Standard Error of coefficient | t-Value | Intercept | 1.71 | 2.950 | 0.58 | S& 500 | 1.52 | 0.130 | 11.69 | R2= .599 |
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Use the regression statistics presented above and assume this historical relationship still holds in the future period. If the expected return on the S& 500 over the next period were 11%, the expected return on Mid Cap stocks over the next period would be: A) 33.8% B) 25.6% C) 18.4% D) 20.3%
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发表于 2008-4-1 17:47
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