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: 
22.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& | 1.52 | 0.130 | 11.69 |
R2= 0.599 | | | |
The strength of the relationship, as measured by the correlation coefficient, between the return on Mid Cap stocks and the return on the S& 500 for the period under study was:
A) 0.599.
B) 2.950.
C) 0.130.
D) 0.774.
The correct answer was D)
You are given R2 or the coefficient of determination of 0.599 and are asked to find R or the coefficient of correlation. The square root of 0.599 = 0.774.
| 欢迎光临 CFA论坛 (http://forum.theanalystspace.com/) | Powered by Discuz! 7.2 |