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**According to the provided details, the
**

dependent variable is the total return for the stock and the independent variable is the

total return for the stock market.

Consider the provided data in the WEB file to compute the descriptive statistics for each

stocks and the S&P 500. To compute the descriptive statistics for each stocks and the

S&P 500 use Minitab software, the procedure is given as below:

1. Open the Provided Minitab file WEB file Beta. The screenshot of the Minitab

worksheet is given as below:

**2. Click on the Stat basic statistics and select Display descriptive statistics, a new
**

dialog box will appear. Select the variables as given below screenshot:

**3. Click on the Statistics option in the above dialog box, a new dialog box will appear.
**

Select the options as given below screenshot:

**4. Press Ok twice in the above dialog box. The screenshot of the obtained descriptive
**

statistics is given as below:

**According to the above descriptive statistics, the mean of the stock market S&P 500 is
**

0.01010. The mean monthly return of the stock market (S&P 500) is less than the mean

monthly return of the six stocks (Exxon Mobil, caterpillar, McDonalds, SanDisk,

Qualcomm and Procter & gamble) and greater than the two stocks (Microsoft and

Johnson & Johnson). The standard deviation is the measure dispersion of the data from

its mean. The highest standard deviation is 0.1954, so SanDisk can be consider as the

most volatile stock. The standard deviation of the stock market is 0.02633 which is less

than the standard deviation of seven stocks (Exxon Mobil, caterpillar, McDonalds,

Qualcomm, Procter & gamble, Microsoft and Johnson & Johnson). So, all of the stocks

are more volatility than the stock market (S&P 500).

(b)

Consider the provided details and the Minitab output to explain each of the parameter.

The estimated least squares regression equation is given by:

yˆ x

the screenshot of the obtained regression output is given as below: Similarly calculate the regression line for the response variable Exxon Mobil and the predictor ‘S&P 500’. Select the response variable as ‘Microsoft’ and the predictor variable as ‘S&P 500’. Click on the Ok option in the above dialog box. and select the Regression option. The dependent variable yˆ depends on the explanatory variable x . the screenshot of the obtained regression analysis is given as below: Similarly calculate the regression line for the response variable ‘Johnson & Johnson’ and the predictor ‘S&P 500’. To compute value of for each stock. the screenshot of the obtained regression analysis is given as below: . The procedure is given as below: 1. use Minitab software. the screenshot of the obtained regression analysis is given as below: Similarly calculate the regression line for the response variable ‘Caterpillar’ and the predictor ‘S&P 500’. a new dialog box will appear. The most important part of the above regression line is the slope which depicts the change in predicted value of yˆ due to one unit change in variable x . The screenshot is given as below: 2. Click on the Regression.where is the estimate of slope.

the screenshot of the obtained regression analysis is given as below: Similarly calculate the regression line for the response variable ‘SanDisk’ and the predictor ‘S&P 500’. the screenshot of the obtained regression analysis is given as below: Similarly calculate the regression line for the response variable ‘Qualcomm’ and the predictor ‘S&P 500’. the screenshot of the obtained regression analysis is given as below: Similarly calculate the regression line for the response variable ‘Procter & Gamble’ and the predictor ‘S&P 500’.Similarly calculate the regression line for the response variable ‘McDonalds’ and the predictor ‘S&P 500’. The screenshot of the obtained regression analysis is given as below: .

009) so it will market and the value of The value of perform best in downward market.123.1% 12.9% 0.50 2.41 0.49 0. the beta for the each stock is given as below: Stock Microsoft Exxon Mobil Caterpillar Johnson & Johnson McDonalds SanDisk Qualcomm Procter & Gamble Value of beta 0.329. The value of R -square for Exxon Mobil is 0.3% 18. which indicates the proportion of the total variation explained by the regression line.3% remains unexplained. The value of R -square for Caterpillar is 0.9% of the variation in the Procter & Gamble stocks is explained by the explanatory variables (Stock market) in the regression equation and rest 87.338 It means that 33. The value of R -square for McDonalds is 0.9 % remains unexplained.0. It means that 12. The values of beta of ‘Microsoft.9% of the variation in the Caterpillar stocks is explained by the explanatory variables (Stock market) in the regression equation and rest 67. It means that 0% of the variation in the Johnson & Johnson stocks is explained by the explanatory variables (Stock market) in the regression equation and rest 100% remains unexplained.1% remains unexplained. The value of R -square for Qualcomm is 0. Exxon Mobil and Proctor & Gamble’ less volatile than the market stock.60 1. McDonalds.7% 12. Exxon Mobil and Proctor & Gamble’ are less than 1 which indicates the stocks of ‘Microsoft.507 for the stock ‘SanDisk’ is highest (2.1% 32.121.3% of the variation in the SanDisk stocks is explained by the explanatory variables (Stock market) in the regression equation and rest 87.According to the above outputs. The calculated value of R 2 for each of the stock from part (b) is given as below: Stock Microsoft Exxon Mobil Caterpillar Johnson & Johnson McDonalds SanDisk Qualcomm Procter & Gamble Value of R-square 7. the value of R -square for Microsoft is 0.8% of the variation in the McDonalds stocks is explained by the explanatory variables (Stock market) in the regression equation and rest 66.9% The R -square is known as coefficient of determination.009 1. The value of R -square for SanDisk is 0. SanDisk and Qualcomm’ are greater than 1 which indicates the stocks of ‘Caterpillar. It means that 12. And the values of beta of ‘Caterpillar. (c) Consider the regression analysis obtained in the part (b) for each of the stock to explain the rerun for the individual stocks is explained by the market.7% of the variation in the Qualcomm stocks is explained by the explanatory variables (Stock market) in the regression equation and rest 81.187.7% remains unexplained. . It means that 18.60) so it will perform best in an up for the stock ‘Johnson & Johnson’ is least (0.8% 12. SanDisk and Qualcomm’ more volatile than the market stock.1% remains unexplained.1% of the variation in the Exxon Mobil stocks is explained by the explanatory variables (Stock market) in the regression equation and rest 87.731 1.129. The value of R -square for Procter & Gamble is 0. It means that 7. It means that 32. It means that 12.458 0.0% 33.9 % remains unexplained. McDonalds. The value of R -square for Johnson & Johnson is 0.071. According to the above table.1% of the variation in the Microsoft stocks is explained by the explanatory variables (Stock market) in the regression equation and rest 92.2% remains unexplained.

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