Need help with parts d and k. Data: TSERofReturnAcmeRofReturn10.42478-0.4819421.61213-0.732843-0.98754-2.284454-0.30013-1.5531251.412150.6867460.68725-1.3113270.03733-0.832958-1.72494-1.7197590.337291.1444310-1.07502-1.79885110.862220.89736121.174681.6666413-0.38761-0.02658141.662120.9086151.099691.9993516-0.062660.4614817-1.96241-1.4100418-1.32499-0.3808619-1.51247-1.90904200.749740.9187321-0.38761-0.4971422-0.17514-1.3138523-3.41222-1.1568124-0.012662.11718250.162311.7876626-0.825061.3034427-0.41261-0.43377280.2623-1.7027429-1.162510.469230-1.050030.2767131-0.65008-0.63741320.624752.989533-0.687581.3613340.624750.79354350.099820.86949362.14956-1.132837-0.575091.58234380.187310.7689390.449780.03933401.0247-1.03319410.08732-2.28583420.64975-1.45154432.237053.0729844-0.25013-1.0381845-0.937540.5262846-1.175010.2798647-2.187380.2582848-1.21251-1.4574349-1.3-0.87202501.249671.1200451-2.0249-0.68836521.82461.50198531.362160.5425554-0.400110.05502551.23718-0.96582561.212180.85148571.712110.2685158-0.150141.28931591.53714-0.42865 The Capital Asset Price Model (CAPM) is a financial model that attempts to predict the rate of return on a financial instrument, such as a common stock, in such a way that it is linearly related to the rate of return on the overal market. Specifically,RStock A,i = Bo + Bị RMarket,i + eiYou are to study the relationship between the two variables and estimate the above model:RStock A.i - rate of return on Stock A for month i, i = 1,2, ... , 59.%3DRMarket,i - market rate of return for month i, i = 1,2, ...,59.%3DB, represent's the stocks 'beta' value, or its systematic risk. It measure's the stocks volatility related to the market volatility. Bo represents the risk-free interest rate.The data in the .csv file contains the data on the rate of return of a large energy company which will be referred to as Acme Oil and Gas and the corresponding rate of return on the Toronto Composite Index (TSE) for 59 randomly selected months.Therefore RAcme,irepresents the monthly rate of return for a common share of Acme Oil and Gas stock; RTSE; represents the monthly rate of return (increase or decrease) of the TSE Index for the same month, month i. The first column in this data file contains the monthly rateof return on Acme Oil and gas stock; the second column contains the monthly rate of return on the TSE index for the same month.(a) Use software to estimate this model. Use four-decimals in each of your least-squares estimatesyour answer.RAcme,i+ 0.3987RTSE,i0.0186(b) Find the coefficient of determination. Expresses as a percentage, and use two decimal places in your answer.p2 :13.65%(c) In the context of the data, interpret the meaning of the coefficient of determination.O A. The percentage found above is the percentage of variation in the monthly rate of return of the TSE Index that can be explained by its linear dependency with the monthly rate of return of Acme stock.O B. The percentage found above is the percentage of variation in the monthly rate of return of Acme stock that can be explained by its linear dependency with the monthly rate of return of the TSE Index.C. There is a weak, positive linear relationship between the monthly rate of return of Acme stock and the monthly rate of return of the TSE Index.D.There is a strong, positive linear relationship between the monthly rate of return of Acme stock and the monthly rate of return of the TSE Index.(d) Find the standard deviation of the prediction/regression, using two decimals in your answer.Se =0.13 (k) Last month, the TSE Index's monthly rate of return was 1.5%. This is, at the end of last month the value of the TSE Index was 1.5% higher than at the beginning of last month. With 95% confidence, find the last month's rate of return on Acme Oil and Gas stock.Lower Bound =0.109(use three decimals in your answer)Upper Bound =1.124(use three decimals in your answer)

Name: Need help with parts d and k. Data: TSERofReturnAcmeRofReturn10.42478-
Uploaded: 2024-03-20T07:07:12.000Z
Channel: Bartleby
Description: Need help with parts d and k. Data: TSERofReturnAcmeRofReturn10.42478-0.4819421.61213-0.732843-0.98754-2.284454-0.30013-1.5531251.412150.6867460.68725-1.3113270.03733-0.832958-1.72494-1.7197590.337291.1444310-1.07502-1.79885110.862220.89736121.174681

Question

Need help with parts d and k. Data: TSERofReturnAcmeRofReturn10.42478-0.4819421.61213-0.732843-0.98754-2.284454-0.30013-1.5531251.412150.6867460.68725-1.3113270.03733-0.832958-1.72494-1.7197590.337291.1444310-1.07502-1.79885110.862220.89736121.174681.6666413-0.38761-0.02658141.662120.9086151.099691.9993516-0.062660.4614817-1.96241-1.4100418-1.32499-0.3808619-1.51247-1.90904200.749740.9187321-0.38761-0.4971422-0.17514-1.3138523-3.41222-1.1568124-0.012662.11718250.162311.7876626-0.825061.3034427-0.41261-0.43377280.2623-1.7027429-1.162510.469230-1.050030.2767131-0.65008-0.63741320.624752.989533-0.687581.3613340.624750.79354350.099820.86949362.14956-1.132837-0.575091.58234380.187310.7689390.449780.03933401.0247-1.03319410.08732-2.28583420.64975-1.45154432.237053.0729844-0.25013-1.0381845-0.937540.5262846-1.175010.2798647-2.187380.2582848-1.21251-1.4574349-1.3-0.87202501.249671.1200451-2.0249-0.68836521.82461.50198531.362160.5425554-0.400110.05502551.23718-0.96582561.212180.85148571.712110.2685158-0.150141.28931591.53714-0.42865 The Capital Asset Price Model (CAPM) is a financial model that attempts to predict the rate of return on a financial instrument, such as a common stock, in such a way that it is linearly related to the rate of return on the overal market. Specifically,RStock A,i = Bo + Bị RMarket,i + eiYou are to study the relationship between the two variables and estimate the above model:RStock A.i - rate of return on Stock A for month i, i = 1,2, ... , 59.%3DRMarket,i - market rate of return for month i, i = 1,2, ...,59.%3DB, represent's the stocks 'beta' value, or its systematic risk. It measure's the stocks volatility related to the market volatility. Bo represents the risk-free interest rate.The data in the .csv file contains the data on the rate of return of a large energy company which will be referred to as Acme Oil and Gas and the corresponding rate of return on the Toronto Composite Index (TSE) for 59 randomly selected months.Therefore RAcme,irepresents the monthly rate of return for a common share of Acme Oil and Gas stock; RTSE; represents the monthly rate of return (increase or decrease) of the TSE Index for the same month, month i. The first column in this data file contains the monthly rateof return on Acme Oil and gas stock; the second column contains the monthly rate of return on the TSE index for the same month.(a) Use software to estimate this model. Use four-decimals in each of your least-squares estimatesyour answer.RAcme,i+ 0.3987RTSE,i0.0186(b) Find the coefficient of determination. Expresses as a percentage, and use two decimal places in your answer.p2 :13.65%(c) In the context of the data, interpret the meaning of the coefficient of determination.O A. The percentage found above is the percentage of variation in the monthly rate of return of the TSE Index that can be explained by its linear dependency with the monthly rate of return of Acme stock.O B. The percentage found above is the percentage of variation in the monthly rate of return of Acme stock that can be explained by its linear dependency with the monthly rate of return of the TSE Index.C. There is a weak, positive linear relationship between the monthly rate of return of Acme stock and the monthly rate of return of the TSE Index.D.There is a strong, positive linear relationship between the monthly rate of return of Acme stock and the monthly rate of return of the TSE Index.(d) Find the standard deviation of the prediction/regression, using two decimals in your answer.Se =0.13 (k) Last month, the TSE Index's monthly rate of return was 1.5%. This is, at the end of last month the value of the TSE Index was 1.5% higher than at the beginning of last month. With 95% confidence, find the last month's rate of return on Acme Oil and Gas stock.Lower Bound =0.109(use three decimals in your answer)Upper Bound =1.124(use three decimals in your answer)

Accepted Answer

TSERofReturn Xi
AcmeRofReturn Yi
Predicted AcmeRofReturn Y^i
Yi-Y^i2

0.42478
-0.48194
0.187993493…

	TSERofReturn	AcmeRofReturn
1	0.42478	-0.48194
2	1.61213	-0.73284
3	-0.98754	-2.28445
4	-0.30013	-1.55312
5	1.41215	0.68674
6	0.68725	-1.31132
7	0.03733	-0.83295
8	-1.72494	-1.71975
9	0.33729	1.14443
10	-1.07502	-1.79885
11	0.86222	0.89736
12	1.17468	1.66664
13	-0.38761	-0.02658
14	1.66212	0.9086
15	1.09969	1.99935
16	-0.06266	0.46148
17	-1.96241	-1.41004
18	-1.32499	-0.38086
19	-1.51247	-1.90904
20	0.74974	0.91873
21	-0.38761	-0.49714
22	-0.17514	-1.31385
23	-3.41222	-1.15681
24	-0.01266	2.11718
25	0.16231	1.78766
26	-0.82506	1.30344
27	-0.41261	-0.43377
28	0.2623	-1.70274
29	-1.16251	0.4692
30	-1.05003	0.27671
31	-0.65008	-0.63741
32	0.62475	2.9895
33	-0.68758	1.3613
34	0.62475	0.79354
35	0.09982	0.86949
36	2.14956	-1.1328
37	-0.57509	1.58234
38	0.18731	0.7689
39	0.44978	0.03933
40	1.0247	-1.03319
41	0.08732	-2.28583
42	0.64975	-1.45154
43	2.23705	3.07298
44	-0.25013	-1.03818
45	-0.93754	0.52628
46	-1.17501	0.27986
47	-2.18738	0.25828
48	-1.21251	-1.45743
49	-1.3	-0.87202
50	1.24967	1.12004
51	-2.0249	-0.68836
52	1.8246	1.50198
53	1.36216	0.54255
54	-0.40011	0.05502
55	1.23718	-0.96582
56	1.21218	0.85148
57	1.71211	0.26851
58	-0.15014	1.28931
59	1.53714	-0.42865