CC Regression Analysis Worksheet

Description

I included all the files. there needs to be an excel sheet included and a write up. I uploaded the excel sheet i came up with in class. its supposed to look similar to that. the company name is apple and i can give the login to the Wharton websiteCompany that i was assigned is appleSteps 1-3 are on an execel sheet. i did most of it already and the last step are written explanations. please follow guidelines (2-3 PAGES

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Introduction
The Primary goal of the project is for students to gain comfort in using statistical software
packages to conduct an empirical analysis of a particular firm. Specific goals are for students to
(1) become familiar with sources of economic and financial information and in particular the
Wharton Research Data Services (WRDS) Database, (2) practice their writing skills, (3) develop
hands on, statistical estimation and modeling skills using excel (e.g., data analysis, regression
analysis). The project is an individual assignment and late submissions will not be accepted.
Please provide explanations for answers to all questions.
Background material: Chapter 4, 5 in McGuigan, Moyer and Harris
PLEASE FIRST SELECT PUBLIC COMPANY TO ANALYZE. USING YOUR WEB
BROWSER, ANSWER ALL OF THE QUESTIONS THAT FOLLOW FOR THAT
PARTICULAR COMPANY. THE CHOICE OF COMPANY IS UP TO YOU. BUT,
PLEASE EMAIL ME TO LET ME KNOW OF YOUR SELECTION AND MAKE SURE
THAT YOU HAVE ENOUGH DATA TO ANSWER ALL OF THE QUESTIONS.
COMPANY SELECTION IS FIRST COME FIRST SERVE. IT IS A GOOD IDEA TO
KEEP THREE OR FOUR COMPANIES IN MIND BECAUSE YOU ARE TO FIND A
COMPANY THAT HAS ENOUGH PUBLICALLY AVAILABLE DATA TO ANSWER
EACH QUESTION. THERE IS NO NEED TO INCLUDE DATA OR SPECIFIC
PROGRAMS USED TO ANSWER QUESTIONS, BUT, IN ALL YOUR RESPONSES,
PLEASE INCLUDE EXPLANATIONS OF STEPS CARRIED OUT. IT IS OKAY TO
WORK WITH OTHER PEOPLE, BUT YOUR EXPLANATIONS SHOULD BE IN
YOUR OWN WORDS.
1. Data collection from WRDS database
Using your web browser, please go to the WRDS URL (http://wrds.wharton.upenn.edu) and
collect data on the variables for the risk free rate, small minus big, high minus low, and the
excess market return for the firm your selected. When you collect the data, please select the
monthly frequency and the range spanning from 1980 through 2017. Using your class notes and
the descriptions provided by WRDS, please provide a brief description of each variable included
in the study. Please save these variables in an excel spreadsheet. Please download and save stock
prices for your firm spanning the same period and at the monthly frequency. Please compute
stock price returns as the ratio of the change in the stock price for each period with respect to the
previous period to the value in the previous period This will serve as the base case from which
we will complete the rest of the project.
2. Regression Analysis
For this question, you will need the data analysis tool pack in excel, please download it to your
version of excel for your operating system before answering the questions listed below.
a. Please, separately, determine the estimated regression line for a regression with the stock
return as the dependent variable and the following list as independent variables:
a. Excess market return
b. Small minus big
c. High minus low
b. Please determine the estimated regression line with the stock return as the dependent
variable and the risk free rate, excess market return, small minus big, and high minus low
as the independent variables in one single regression model.
c. Which regression coefficients are statistically significant? Is the overall model
significant?
d. What is the adjusted R-squared for the model? How does it compare to the adjusted Rsquared for each model estimated in a? Is your answer to part b different from your
answers to part a? Why or Why not?
3. Forecasting
a. Using only data covering the period 1980 through 2000, please determine the estimated
regression line with the stock return as the dependent variable and the risk free rate,
excess market return, small minus big, and high minus low as the independent variables
in one single regression model.
b. Please use the model to predict stock price return from 2001 to 2017 and compute the
root mean squared error using the deviation between the actual stock price return over
this period and the model-predicted stock price return over the same period.
4. Discussion
Using your web browser and your own judgement and your class notes, please interpret and
discuss the strength of the relationship between stock price returns for your firm and each of the
three variables. In particular, please consider whether or not you think that the three variables do
a good job in explaining and predicting stock returns for your firm. Please also explain why you
think the model produced all results from questions 2 and 3 that it did.
PERMNO
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Names Date Price or Bid/Ask Average
11/28/1980
12/31/1980
-34.1875
1/30/1981
-28.375
2/27/1981
-26.625
3/31/1981
-24.625
4/30/1981
-28.5
5/29/1981
-33.1875
6/30/1981
-26.0625
7/31/1981
-25.0625
8/31/1981
-20.1875
9/30/1981
-15.3125
10/30/1981
-20.0625
11/30/1981
-18.6875
12/31/1981
-22.1875
1/29/1982
-20.4375
2/26/1982
-18.3125
3/31/1982
-16.9375
4/30/1982
-14.8125
5/28/1982
-14.0625
6/30/1982
-12.8125
7/30/1982
-13.5625
8/31/1982
-18.0625
9/30/1982
-18.3125
10/29/1982
25.375
11/30/1982
31.875
12/31/1982
29.875
1/31/1983
40.875
2/28/1983
45.625
3/31/1983
42.25
4/29/1983
50.5
5/31/1983
57.75
6/30/1983
48.875
7/29/1983
34.875
8/31/1983
37.25
9/30/1983
23.125
10/31/1983
22.625
11/30/1983
20.375
12/30/1983
24.375
1/31/1984
24.75
2/29/1984
26.25
3/30/1984
24.75
4/30/1984
31.375
5/31/1984
29.375
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6/29/1984
7/31/1984
8/31/1984
9/28/1984
10/31/1984
11/30/1984
12/31/1984
1/31/1985
2/28/1985
3/29/1985
4/30/1985
5/31/1985
6/28/1985
7/31/1985
8/30/1985
9/30/1985
10/31/1985
11/29/1985
12/31/1985
1/31/1986
2/28/1986
3/31/1986
4/30/1986
5/30/1986
6/30/1986
7/31/1986
8/29/1986
9/30/1986
10/31/1986
11/28/1986
12/31/1986
1/30/1987
2/27/1987
3/31/1987
4/30/1987
5/29/1987
6/30/1987
7/31/1987
8/31/1987
9/30/1987
10/30/1987
11/30/1987
12/31/1987
1/29/1988
26.5
25.5
26.5
25.125
24.875
24.75
29.125
29
24.75
22.125
21.25
17.375
18
15.875
15
15.75
18.625
20.125
22
23.125
25
28.25
30.25
37
35.875
31.25
37
33.5
34.625
40
40.5
55.5
70
64.5
79.25
79
40.5
41.25
54
56.5
38.625
33
42
41.5
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2/29/1988
3/31/1988
4/29/1988
5/31/1988
6/30/1988
7/29/1988
8/31/1988
9/30/1988
10/31/1988
11/30/1988
12/30/1988
1/31/1989
2/28/1989
3/31/1989
4/28/1989
5/31/1989
6/30/1989
7/31/1989
8/31/1989
9/29/1989
10/31/1989
11/30/1989
12/29/1989
1/31/1990
2/28/1990
3/30/1990
4/30/1990
5/31/1990
6/29/1990
7/31/1990
8/31/1990
9/28/1990
10/31/1990
11/30/1990
12/31/1990
1/31/1991
2/28/1991
3/28/1991
4/30/1991
5/31/1991
6/28/1991
7/31/1991
8/30/1991
9/30/1991
43
40
41
41.5
46.25
44.375
39.875
43.25
38.625
37.625
40.25
37.75
36.25
35.625
39
47.75
41.25
39.75
44.5
44.5
46.5
44.25
35.25
34
34
40.25
39.375
41.25
44.75
42
37
29
30.75
36.75
43
55.5
57.25
68
55
47
41.5
46.25
53
49.5
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10/31/1991
11/29/1991
12/31/1991
1/31/1992
2/28/1992
3/31/1992
4/30/1992
5/29/1992
6/30/1992
7/31/1992
8/31/1992
9/30/1992
10/30/1992
11/30/1992
12/31/1992
1/29/1993
2/26/1993
3/31/1993
4/30/1993
5/28/1993
6/30/1993
7/30/1993
8/31/1993
9/30/1993
10/29/1993
11/30/1993
12/31/1993
1/31/1994
2/28/1994
3/31/1994
4/29/1994
5/31/1994
6/30/1994
7/29/1994
8/31/1994
9/30/1994
10/31/1994
11/30/1994
12/30/1994
1/31/1995
2/28/1995
3/31/1995
4/28/1995
5/31/1995
51.5
50.75
56.375
64.75
67.5
58.25
60.125
59.75
48
46.75
46
45.125
52.5
57.5
59.75
59.5
53
51.5
51.25
56.625
39.5
27.75
26.5
23.375
30.75
31.5
29.25
32.75
36.5
33.25
30
29.25
26.5
33.6875
36.1875
33.6875
43.1875
37.25
39
40.375
39.5
35.25
38.25
41.5625
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6/30/1995
7/31/1995
8/31/1995
9/29/1995
10/31/1995
11/30/1995
12/29/1995
1/31/1996
2/29/1996
3/29/1996
4/30/1996
5/31/1996
6/28/1996
7/31/1996
8/30/1996
9/30/1996
10/31/1996
11/29/1996
12/31/1996
1/31/1997
2/28/1997
3/31/1997
4/30/1997
5/30/1997
6/30/1997
7/31/1997
8/29/1997
9/30/1997
10/31/1997
11/28/1997
12/31/1997
1/30/1998
2/27/1998
3/31/1998
4/30/1998
5/29/1998
6/30/1998
7/31/1998
8/31/1998
9/30/1998
10/30/1998
11/30/1998
12/31/1998
1/29/1999
46.4375
45
43
37.25
36.3125
38.125
31.875
27.625
27.5
24.5625
24.375
26.125
21
22
24.25
22.1875
23
24.125
20.875
16.625
16.25
18.25
17
16.625
14.25
17.5
21.75
21.6875
17.03125
17.75
13.125
18.3125
23.625
27.5
27.375
26.625
28.6875
34.625
31.1875
38.125
37.125
31.9375
40.9375
41.1875
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2/26/1999
3/31/1999
4/30/1999
5/28/1999
6/30/1999
7/30/1999
8/31/1999
9/30/1999
10/29/1999
11/30/1999
12/31/1999
1/31/2000
2/29/2000
3/31/2000
4/28/2000
5/31/2000
6/30/2000
7/31/2000
8/31/2000
9/29/2000
10/31/2000
11/30/2000
12/29/2000
1/31/2001
2/28/2001
3/30/2001
4/30/2001
5/31/2001
6/29/2001
7/31/2001
8/31/2001
9/28/2001
10/31/2001
11/30/2001
12/31/2001
1/31/2002
2/28/2002
3/28/2002
4/30/2002
5/31/2002
6/28/2002
7/31/2002
8/30/2002
9/30/2002
34.8125
35.9375
46
44.0625
46.3125
55.6875
65.25
63.3125
80.125
97.875
102.8125
103.75
114.625
135.8125
124.0625
84
52.375
50.8125
60.9375
25.75
19.5625
16.5
14.875
21.625
18.25
22.06999969
25.48999977
19.95000076
23.25
18.79000092
18.54999924
15.51000023
17.55999947
21.29999924
21.89999962
24.71999931
21.70000076
23.67000008
24.27000046
23.29999924
17.71999931
15.26000023
14.75
14.5
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10/31/2002
11/29/2002
12/31/2002
1/31/2003
2/28/2003
3/31/2003
4/30/2003
5/30/2003
6/30/2003
7/31/2003
8/29/2003
9/30/2003
10/31/2003
11/28/2003
12/31/2003
1/30/2004
2/27/2004
3/31/2004
4/30/2004
5/28/2004
6/30/2004
7/30/2004
8/31/2004
9/30/2004
10/29/2004
11/30/2004
12/31/2004
1/31/2005
2/28/2005
3/31/2005
4/29/2005
5/31/2005
6/30/2005
7/29/2005
8/31/2005
9/30/2005
10/31/2005
11/30/2005
12/30/2005
1/31/2006
2/28/2006
3/31/2006
4/28/2006
5/31/2006
16.06999969
15.5
14.32999992
14.35999966
15.01000023
14.14000034
14.22000027
17.95000076
19.05999947
21.07999992
22.61000061
20.71999931
22.88999939
20.90999985
21.37000084
22.55999947
23.92000008
27.04000092
25.78000069
28.05999947
32.54000092
32.34000015
34.49000168
38.75
52.40000153
67.05000305
64.40000153
76.90000153
44.86000061
41.66999817
36.06000137
39.75930023
36.81000137
42.65000153
46.88999939
53.61000061
57.59000015
67.81999969
71.88999939
75.51000214
68.48999786
62.72000122
70.38999939
59.77000046
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6/30/2006
7/31/2006
8/31/2006
9/29/2006
10/31/2006
11/30/2006
12/29/2006
1/31/2007
2/28/2007
3/30/2007
4/30/2007
5/31/2007
6/29/2007
7/31/2007
8/31/2007
9/28/2007
10/31/2007
11/30/2007
12/31/2007
1/31/2008
2/29/2008
3/31/2008
4/30/2008
5/30/2008
6/30/2008
7/31/2008
8/29/2008
9/30/2008
10/31/2008
11/28/2008
12/31/2008
1/30/2009
2/27/2009
3/31/2009
4/30/2009
5/29/2009
6/30/2009
7/31/2009
8/31/2009
9/30/2009
10/30/2009
11/30/2009
12/31/2009
1/29/2010
57.27000046
67.95999908
67.84999847
76.98000336
81.08000183
91.66000366
84.83999634
85.73000336
84.61000061
92.91000366
99.80000305
121.1910019
122.0400009
131.7599945
138.4799957
153.4700012
189.9499969
182.2200012
198.0800018
135.3600006
125.0199966
143.5
173.9499969
188.75
167.4400024
158.9499969
169.5299988
113.6600037
107.5899963
92.66999817
85.34999847
90.12999725
89.30999756
105.1200027
125.8300018
135.8099976
142.4299927
163.3899994
168.2100067
185.3500061
188.5
199.9100037
210.7319946
192.0630035
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2/26/2010
3/31/2010
4/30/2010
5/28/2010
6/30/2010
7/30/2010
8/31/2010
9/30/2010
10/29/2010
11/30/2010
12/31/2010
1/31/2011
2/28/2011
3/31/2011
4/29/2011
5/31/2011
6/30/2011
7/29/2011
8/31/2011
9/30/2011
10/31/2011
11/30/2011
12/30/2011
1/31/2012
2/29/2012
3/30/2012
4/30/2012
5/31/2012
6/29/2012
7/31/2012
8/31/2012
9/28/2012
10/31/2012
11/30/2012
12/31/2012
1/31/2013
2/28/2013
3/28/2013
4/30/2013
5/31/2013
6/28/2013
7/31/2013
8/30/2013
9/30/2013
204.6199951
235
261.0899963
256.8800049
251.5299988
257.25
243.1000061
283.75
300.980011
311.1499939
322.5599976
339.3200073
353.2099915
348.5075073
350.1300049
347.8299866
335.6700134
390.480011
384.8299866
381.3200073
404.7799988
382.2000122
405
456.480011
542.4400024
599.5499878
583.9799805
577.7299805
584
610.7600098
665.2399902
667.1049805
595.3200073
585.2800293
532.1729126
455.4899902
441.3999939
442.6600037
442.7799988
449.7349854
396.5299988
452.5299988
487.2160034
476.75
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10/31/2013
11/29/2013
12/31/2013
1/31/2014
2/28/2014
3/31/2014
4/30/2014
5/30/2014
6/30/2014
7/31/2014
8/29/2014
9/30/2014
10/31/2014
11/28/2014
12/31/2014
1/30/2015
2/27/2015
3/31/2015
4/30/2015
5/29/2015
6/30/2015
7/31/2015
8/31/2015
9/30/2015
10/30/2015
11/30/2015
12/31/2015
1/29/2016
2/29/2016
3/31/2016
4/29/2016
5/31/2016
6/30/2016
7/29/2016
8/31/2016
9/30/2016
10/31/2016
11/30/2016
12/30/2016
1/31/2017
2/28/2017
3/31/2017
4/28/2017
5/31/2017
522.7020264
556.0700073
561.0200195
500.6000061
526.2399902
536.7399902
590.0900269
633
92.93000031
95.59999847
102.5
100.75
108
118.9300003
110.3799973
117.1600037
128.4600067
124.4300003
125.1500015
130.2799988
125.4250031
121.3000031
112.7600021
110.3000031
119.5
118.3000031
105.2600021
97.33999634
96.69000244
108.9899979
93.73999786
99.86000061
95.59999847
104.2099991
106.0999985
113.0500031
113.5400009
110.5199966
115.8199997
121.3499985
136.9900055
143.6600037
143.6499939
152.7599945
14593 6/30/2017
14593 7/31/2017
14593 8/31/2017
14593 9/29/2017
14593 10/31/2017
14593 11/30/2017
14593 12/29/2017
144.0200043
148.7299957
164
154.1199951
169.0399933
171.8500061
169.2299957
SUMMARY OUTPUT
Regression Statistics
Multiple R
0.24563033
R Square
0.06033426
Adjusted R Square
0.05607274
Standard Error 0.17722014
Observations
444
ANOVA
df
Regression
Residual
Total
Intercept
X Variable 1
X Variable 2
SS
2 0.88931438
441 13.8504768
443 14.7397912
Coefficients Standard Error
t Stat
P-value
-0.10265862 0.07883206 -1.30224459
0.1935125
2.9145E-06 2.1564E-06 1.35153088 0.17721828
0.98752734 0.19311125 5.11377424 4.7174E-07
RESIDUAL OUTPUT
Observation
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
MS
F
Significance F
0.44465719 14.1579113 1.0981E-06
0.03140698
Predicted Y
-0.06611424
-0.01063235
0.01898798
-0.03691739
-0.01490976
-0.03920842
-0.03102035
-0.085244
-0.08644035
0.03303914
0.01772406
-0.05141126
-0.04727787
-0.07306948
-0.03357097
0.01727537
-0.0543375
-0.04535358
-0.04625367
0.09535226
-0.00183175
Residuals
-0.10390404
-0.05104166
-0.09410535
0.19427779
0.17938344
-0.17548084
-0.00734896
-0.10926971
-0.15504571
0.27716494
-0.08625989
0.23870223
-0.03159537
-0.03090605
-0.04151436
-0.14273663
0.00370459
-0.04353531
0.10479026
0.23644498
0.01567258
Lower 95% Upper 95%
-0.25759182 0.05227458
-1.3237E-06 7.1527E-06
0.60799463 1.36706005
22
23
24
25
26
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49
50
51
52
53
54
55
56
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58
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60
61
62
63
64
65
66
67
68
0.09710426
0.03172446
-0.00887132
0.02133862
0.0114462
0.01380786
0.05191218
-0.00872749
0.0165419
-0.05388304
-0.01853213
-0.00452056
-0.04738765
0.00800132
-0.03081983
-0.0321091
-0.06066287
-0.0067552
-0.01792266
-0.0717513
0.0052616
-0.03967639
0.08899002
-0.0203464
-0.02064523
-0.02964305
0.00599828
0.06682156
4.7569E-05
-0.02021097
-0.02130274
0.03853301
0.00089107
-0.01886205
-0.02153969
-0.0562103
0.02841239
0.05279008
0.02720763
-0.00459915
0.05947423
0.03734521
-0.0236953
0.03495251
-0.00040937
-0.07418607
0.04953688
-2.48276979
0.22443318
-0.05387378
0.34686222
0.10476175
-0.08778046
0.14335409
0.15229184
-0.17022155
-0.23256198
0.08663249
-0.37467407
0.02576603
-0.10744883
0.22713885
0.04749372
0.12126893
-0.05038766
0.28559943
0.00800628
-0.10313394
0.00194054
-0.04977434
-0.03154039
0.01069499
0.02461792
0.17076939
-0.07111341
-0.14659929
-0.08584963
-0.01824528
-0.22088595
0.03508015
-0.09919351
-0.03357842
0.1062103
0.1541273
0.02774683
0.06596007
0.05573551
0.02160685
0.09265479
0.09449176
0.18818799
-0.02999603
-0.05473379
0.13446312
69
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114
115
-0.09524012
0.03579635
0.00141325
-0.04233678
0.11318746
0.03347685
0.00641312
-0.03053172
-0.0085241
0.02939146
0.02859304
0.02542455
-0.03482594
-0.2386629
-0.08580207
0.05826977
0.03267858
0.03810157
-0.0311325
-0.00310095
-0.01140167
0.03885215
-0.02070998
-0.04095686
0.02440613
0.00326464
-0.03061886
0.0067971
0.05241538
-0.02996155
0.00785234
0.03518971
0.02560812
-0.02071823
0.0638057
0.00701448
-0.0146266
-0.04327039
0.00323083
0.00459914
-0.08428089
0.00428316
0.01148079
-0.03968153
0.07673954
-0.01708979
-0.02499549
0.00064553
-0.00221426
0.1538214
0.05483678
0.25718291
0.22778441
-0.08498455
0.25921389
0.00536952
-0.51673324
-0.01007452
0.28366636
0.08112223
-0.07770878
-0.059829
0.21445751
-0.04458334
-0.001957
-0.03863495
0.02810095
0.02359679
0.07560568
-0.01983056
-0.06045159
0.06023337
-0.11020106
0.0047289
0.06297034
-0.11452718
-0.00977355
-0.02509372
0.05954714
0.19875086
-0.11540742
-0.10016934
0.11248238
0.0146266
0.08821421
-0.05161793
-0.20798897
0.0488199
-0.00428316
0.17234274
0.0179424
-0.0291205
0.10193827
-0.03645702
116
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153
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155
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161
162
-0.10637615
-0.06649719
-0.02492487
0.05683108
0.01850662
0.04061883
0.06538862
0.02063648
-0.00820189
0.03069828
-0.05404871
0.03670248
0.01782939
-0.02069258
0.00783855
-0.04619342
0.1023252
-0.01045883
0.00621324
-0.03072577
0.00619643
-0.00132301
-0.02730047
0.0331278
-0.02751478
0.00782738
0.00623602
0.03703847
0.01145311
0.00561247
-0.0023049
0.01931938
-0.0334259
0.02531483
-6.72E-05
-0.00639869
0.03368943
-0.00404543
0.01114826
-0.02134688
0.01370193
0.02584012
-0.02760226
-0.04953377
0.00446974
0.00357548
-0.03198682
-0.01267147
-0.14971902
0.08526969
0.13829087
0.15156141
0.25007885
-0.03385708
0.16713645
-0.18297458
-0.17615283
-0.06297256
0.07775535
0.12811656
-0.04534515
0.03256549
0.03163032
0.00851224
0.15901758
0.0362578
-0.10631126
0.02599241
-0.004914
-0.16935225
-0.05916947
0.011472
-0.02684912
0.15719888
0.05819962
0.02767732
-0.00979657
-0.1069388
-0.04762126
0.02857153
0.07956322
-0.30236106
-0.29106966
-0.07873447
-0.11387909
0.30435977
0.04573713
-0.08513051
0.093818
0.14210608
-0.03950733
-0.10221411
-0.02857548
-0.06203027
163
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209
0.02586805
0.0377158
-0.02460849
0.01152661
-0.04151493
0.00696135
0.01633737
0.03449072
0.02036068
0.01965226
0.02754991
0.02585979
0.03582542
0.00461115
0.03234643
-0.01565288
0.03855105
0.00970102
0.02194378
0.0128443
0.00700366
0.02023103
0.02328397
-0.01119789
-0.05879928
0.02759805
0.04980901
0.00891697
0.06222922
-0.01618594
0.04987123
-0.00406491
-0.04870955
0.04084787
0.06759854
0.04161817
0.07360565
-0.03967797
0.05423039
-0.03603801
0.03099795
0.01470117
0.00323454
0.07135678
0.04893442
0.0092245
-0.02821702
0.24535837
0.0364957
-0.04447614
0.2704771
-0.09596698
0.04001852
0.01891904
-0.05616255
-0.12795562
0.06545412
0.0590514
0.09143344
-0.066781
-0.04905559
-0.16606736
-0.0095149
0.01136289
-0.17363545
-0.15527712
-0.01736919
-0.11382184
-0.02786462
0.04851091
-0.18497436
0.10641833
0.07467468
-0.13486055
0.02770275
-0.01331617
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-0.25346405
-0.01849148
0.17178647
-0.10934102
-0.08965736
-0.18447531
0.15446453
0.28253511
-0.05710396
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0.01120388
-0.27526456
0.39200356
0.21874561
0.11508674
-0.01376996
0.00081976
210
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256
0.03359671
-0.02200949
-0.15642036
0.0631944
0.07295961
0.06287842
0.06356129
0.03737758
-0.03739538
0.0370616
0.04583928
-0.02113222
0.05036218
-0.03112014
-0.01019005
-0.02402675
0.06404646
0.03698272
0.08003051
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0.02816269
0.05541004
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0.03586006
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-0.1056497
0.04273476
0.07042635
257
258
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298
299
300
301
302
303
-0.00726389
-0.06475513
-0.07423797
0.01156684
-0.09548953
0.08423205
0.06575105
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0.01801404
0.08851217
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0.0220459
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-0.10910801
304
305
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0.01773484
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0.01719743
351
352
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0.07701534
0.03454034
-0.06304451
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0.08349066
-0.03195678
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0.06039122
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0.00852631
-0.0441173
0.05550998
0.02498989
0.04246072
0.04431988
7.608E-05
0.02524671
0.02928717
0.07272997
0.0305454
0.05768526
0.03329076
0.0457252
0.00630571
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0.06717761
0.08507141
-0.07714102
0.03658701
0.014323
-0.03754588
-0.09369929
398
399
400
401
402
403
404
405
406
407
408
409
410
411
412
413
414
415
416
417
418
419
420
421
422
423
424
425
426
427
428
429
430
431
432
433
434
435
436
437
438
439
440
441
442
443
0.06479011
0.02320681
0.01717157
0.03947837
0.04500012
-0.00082955
0.06127169
3.9506E-05
0.04446983
0.0448477
0.01916941
-0.01086274
0.0804664
0.00896393
0.02593808
0.03362656
0.00518028
0.03558772
-0.0391765
-0.0097595
0.09717839
0.02626552
-0.00060362
-0.03607009
0.02021057
0.08982284
0.03026071
0.03884671
0.02086239
0.06044801
0.02647449
0.02409311
0.00176659
0.06979591
0.03976376
0.04114081
0.05731911
0.02383353
0.03300038
0.0328003
0.03012266
0.04097706
0.02418069
0.04747211
0.0449978
0.05367672
-0.01357161
-0.00325394
0.08222485
0.0332393
-0.89819128
0.02956083
0.01090406
-0.01711268
0.02749046
0.05635601
-0.09106047
0.07228697
0.01598293
-0.04033561
-0.02015168
0.00736423
-0.04244614
-0.0684759
-0.03122746
-0.01205674
-0.01376954
-0.03630734
-0.10962461
-0.03917222
-0.02688813
0.03738778
-0.17018181
0.02644028
-0.06352214
0.02961476
-0.00833804
0.04141117
0.00256776
-0.0963945
0.00819139
0.00660569
0.07156435
0.02485614
-0.03307006
0.03061773
-0.08733653
-0.00827333
0.07848861
-0.10771604
0.05180988
-0.03705336
444 0.03341818 -0.04866409
X Variable 1 Line Fit Plot
Y
1
0
1/0/1900 5/18/1927 10/3/1954 2/18/1982 7/6/2009 11/21/2036
-1
-2
-3
X Variable 1
1
0
Y
Lower 95.0% Upper 95.0%
-0.25759182 0.05227458
-1.3237E-06 7.1527E-06
0.60799463 1.36706005
-1
0
100
200
300
400
-2
-3
X Variable 2X Variable
Line 2Fit Plot
500
e Fit Plot
11/21/2036
Y
Predicted Y
500
Y
Predicted Y
SUMMARY OUTPUT
Regression Statistics
Multiple R
0.26743679
R Square
0.07152243
Adjusted R Square0.0630625
Standard Error 0.17656276
Observations
444
ANOVA
df
Regression
Residual
Total
Intercept
X Variable 1
X Variable 2
X Variable 3
X Variable 4
SS
4 1.05422575
439 13.6855654
443 14.7397912
Coefficients Standard Error
0.01617834 0.01326291
0.8495802 0.20198025
0.02805752 0.29313656
-0.71264868 0.30851762
-2.81870296 2.97466709
MS
F
Significance F
0.26355644 8.45425614 1.4077E-06
0.03117441
t Stat
P-value
Lower 95% Upper 95%
1.2198184 0.22318863 -0.00988835 0.04224504
4.20625389
3.149E-05 0.45261177 1.24654864
0.09571484 0.92379073 -0.54806794 0.60418298
-2.30991243 0.02135606 -1.3190038 -0.10629356
-0.94756921
0.3438701 -8.6650615 3.02765559
Lower 95.0%
-0.00988835
0.45261177
-0.54806794
-1.3190038
-8.6650615
Upper 95.0%
0.04224504
1.24654864
0.60418298
-0.10629356
3.02765559
Date (SAS). Last Trading Day of the Month
Excess Return on the Market
1/31/1980
0.0551
2/29/1980
-0.0122
3/31/1980
-0.129
4/30/1980
0.0397
5/30/1980
0.0526
6/30/1980
0.0306
7/31/1980
0.0649
8/29/1980
0.018
9/30/1980
0.0219
10/31/1980
0.0106
11/28/1980
0.0959
12/31/1980
-0.0452
1/30/1981
-0.0504
2/27/1981
0.0057
3/31/1981
0.0356
4/30/1981
-0.0211
5/29/1981
0.0011
6/30/1981
-0.0236
7/31/1981
-0.0154
8/31/1981
-0.0704
9/30/1981
-0.0717
10/30/1981
0.0492
11/30/1981
0.0336
12/31/1981
-0.0365
1/29/1982
-0.0324
2/26/1982
-0.0586
3/31/1982
-0.0187
4/30/1982
0.0327
5/28/1982
-0.0399
6/30/1982
-0.0309
7/30/1982
-0.0319
8/31/1982
0.1114
9/30/1982
0.0129
10/29/1982
0.113
11/30/1982
0.0467
12/31/1982
0.0055
1/31/1983
0.036
2/28/1983
0.0259
3/31/1983
0.0282
4/29/1983
0.0667
5/31/1983
0.0052
6/30/1983
0.0307
7/29/1983
-0.0407
8/31/1983
9/30/1983
10/31/1983
11/30/1983
12/30/1983
1/31/1984
2/29/1984
3/30/1984
4/30/1984
5/31/1984
6/29/1984
7/31/1984
8/31/1984
9/28/1984
10/31/1984
11/30/1984
12/31/1984
1/31/1985
2/28/1985
3/29/1985
4/30/1985
5/31/1985
6/28/1985
7/31/1985
8/30/1985
9/30/1985
10/31/1985
11/29/1985
12/31/1985
1/31/1986
2/28/1986
3/31/1986
4/30/1986
5/30/1986
6/30/1986
7/31/1986
8/29/1986
9/30/1986
10/31/1986
11/28/1986
12/31/1986
1/30/1987
2/27/1987
3/31/1987
-0.005
0.0091
-0.0344
0.0216
-0.0178
-0.0192
-0.0482
0.0063
-0.0051
-0.0597
0.0182
-0.0274
0.1028
-0.008
-0.0084
-0.0176
0.0184
0.0799
0.0122
-0.0084
-0.0096
0.0509
0.0127
-0.0074
-0.0102
-0.0454
0.0402
0.0648
0.0388
0.0065
0.0713
0.0488
-0.0131
0.0462
0.0103
-0.0645
0.0607
-0.086
0.0466
0.0117
-0.0327
0.1247
0.0439
0.0164
4/30/1987
5/29/1987
6/30/1987
7/31/1987
8/31/1987
9/30/1987
10/30/1987
11/30/1987
12/31/1987
1/29/1988
2/29/1988
3/31/1988
4/29/1988
5/31/1988
6/30/1988
7/29/1988
8/31/1988
9/30/1988
10/31/1988
11/30/1988
12/30/1988
1/31/1989
2/28/1989
3/31/1989
4/28/1989
5/31/1989
6/30/1989
7/31/1989
8/31/1989
9/29/1989
10/31/1989
11/30/1989
12/29/1989
1/31/1990
2/28/1990
3/30/1990
4/30/1990
5/31/1990
6/29/1990
7/31/1990
8/31/1990
9/28/1990
10/31/1990
11/30/1990
-0.0211
0.0011
0.0394
0.0385
0.0352
-0.0259
-0.2324
-0.0777
0.0681
0.0421
0.0475
-0.0227
0.0056
-0.0029
0.0479
-0.0125
-0.0331
0.033
0.0115
-0.0229
0.0149
0.061
-0.0225
0.0157
0.0433
0.0335
-0.0135
0.072
0.0144
-0.0076
-0.0367
0.0103
0.0116
-0.0785
0.0111
0.0183
-0.0336
0.0842
-0.0109
-0.019
-0.1015
-0.0612
-0.0192
0.0635
12/31/1990
1/31/1991
2/28/1991
3/28/1991
4/30/1991
5/31/1991
6/28/1991
7/31/1991
8/30/1991
9/30/1991
10/31/1991
11/29/1991
12/31/1991
1/31/1992
2/28/1992
3/31/1992
4/30/1992
5/29/1992
6/30/1992
7/31/1992
8/31/1992
9/30/1992
10/30/1992
11/30/1992
12/31/1992
1/29/1993
2/26/1993
3/31/1993
4/30/1993
5/28/1993
6/30/1993
7/30/1993
8/31/1993
9/30/1993
10/29/1993
11/30/1993
12/31/1993
1/31/1994
2/28/1994
3/31/1994
4/29/1994
5/31/1994
6/30/1994
7/29/1994
0.0246
0.0469
0.0719
0.0265
-0.0028
0.0365
-0.0494
0.0424
0.0232
-0.0159
0.0129
-0.0419
0.1084
-0.0059
0.0109
-0.0266
0.0107
0.003
-0.0234
0.0377
-0.0238
0.0119
0.0102
0.0413
0.0153
0.0093