b)
. regress disneyrf mktrf
Source SS df MS Number of obs = 132
F( 1, 130) = 57.94
Model .271710328 1 .271710328 Prob > F = 0.0000
Residual .609603956 130 .004689261 R-squared = 0.3083
Adj R-squared = 0.3030
Total .881314285 131 .00672759 Root MSE = .06848
disneyrf Coef. Std. Err. t P>|t| [95% Conf. Interval]
mktrf .9145949 .1201511 7.61 0.000 .6768902 1.1523
_cons -.0036599 .0069402 -0.53 0.599 -.0173903 .0100704
. regress gerf mktrf
Source SS df MS Number of obs = 132
F( 1, 130) = 80.86
Model .2396671 1 .2396671 Prob > F = 0.0000
Residual .38532113 130 .002964009 R-squared = 0.3835
Adj R-squared = 0.3787
Total .62498823 131 .004770903 Root MSE = .05444
gerf Coef. Std. Err. t P>|t| [95% Conf. Interval]
mktrf .8589738 .0955246 8.99 0.000 .6699897 1.047958
_cons -.0053236 .0055177 -0.96 0.336 -.0162398 .0055925
. regress gmrf mktrf
Source SS df MS Number of obs = 132
F( 1, 130) = 33.81
Model .427220952 1 .427220952 Prob > F = 0.0000
Residual 1.64283026 130 .012637156 R-squared = 0.2064
Adj R-squared = 0.2003
Total 2.07005122 131 .015801918 Root MSE = .11242
gmrf Coef. Std. Err. t P>|t| [95% Conf. Interval]
mktrf 1.146838 .1972424 5.81 0.000 .7566171 1.537058
_cons -.0072477 .0113931 -0.64 0.526 -.0297877 .0152923
. regress ibmrf mktrf
Source SS df MS Number of obs = 132
F( 1, 130) = 86.93
Model .428270007 1 .428270007 Prob > F = 0.0000
Residual .640436604 130 .004926435 R-squared = 0.4007
Adj R-squared = 0.3961
Total 1.06870661 131 .008158066 Root MSE = .07019
ibmrf Coef. Std. Err. t P>|t| [95% Conf. Interval]
mktrf 1.148245 .1231522 9.32 0.000 .904603 1.391887
_cons .0102072 .0071135 1.43 0.154 -.003866 .0242805
. regress msftrf mktrf
Source SS df MS Number of obs = 132
F( 1, 130) = 64.51
Model .51562509 1 .51562509 Prob > F = 0.0000
Residual 1.03901628 130 .007992433 R-squared = 0.3317
Adj R-squared = 0.3265
Total 1.55464138 131 .011867491 Root MSE = .0894
msftrf Coef. Std. Err. t P>|t| [95% Conf. Interval]
mktrf 1.259919 .1568611 8.03 0.000 .9495884 1.57025
_cons .0137367 .0090606 1.52 0.132 -.0041887 .0316621
. regress xomrf mktrf
Source SS df MS Number of obs = 132
F( 1, 130) = 27.10
Model .069109184 1 .069109184 Prob > F = 0.0000
Residual .331534582 130 .002550266 R-squared = 0.1725
Adj R-squared = 0.1661
Total .400643765 131 .003058349 Root MSE = .0505
xomrf Coef. Std. Err. t P>|t| [95% Conf. Interval]
mktrf .4612576 .0886071 5.21 0.000 .2859591 .6365561
_cons -.0079661 .0051181 -1.56 0.122 -.0180917 .0021595
c) .4
.2
0
-.2
-.4
-.2 -.1 0 .1
mkt-rf
msft-rf yhat
d)
. regress disneyrf mktrf, noconstant
Source SS df MS Number of obs = 132
F( 1, 131) = 84.70
Model .395012816 1 .395012816 Prob > F = 0.0000
Residual .610908059 131 .00466342 R-squared = 0.3927
Adj R-squared = 0.3881
Total 1.00592088 132 .007620613 Root MSE = .06829
disneyrf Coef. Std. Err. t P>|t| [95% Conf. Interval]
mktrf .9470557 .1029016 9.20 0.000 .7434917 1.15062
. regress gerf mktrf, noconstant
Source SS df MS Number of obs = 132
F( 1, 131) = 122.08
Model .361658598 1 .361658598 Prob > F = 0.0000
Residual .388080297 131 .002962445 R-squared = 0.4824
Adj R-squared = 0.4784
Total .749738895 132 .00567984 Root MSE = .05443
gerf Coef. Std. Err. t P>|t| [95% Conf. Interval]
mktrf .9061901 .0820153 11.05 0.000 .7439442 1.068436
. regress gmrf mktrf, noconstant
Source SS df MS Number of obs = 132
F( 1, 131) = 51.35
Model .646001857 1 .646001857 Prob > F = 0.0000
Residual 1.64794428 131 .012579727 R-squared = 0.2816
Adj R-squared = 0.2761
Total 2.29394614 132 .01737838 Root MSE = .11216
gmrf Coef. Std. Err. t P>|t| [95% Conf. Interval]
mktrf 1.211119 .1690073 7.17 0.000 .8767821 1.545456
. regress ibmrf mktrf, noconstant
Source SS df MS Number of obs = 132
F( 1, 131) = 99.21
Model .492716902 1 .492716902 Prob > F = 0.0000
Residual .650579873 131 .004966259 R-squared = 0.4310
Adj R-squared = 0.4266
Total 1.14329678 132 .008661339 Root MSE = .07047
ibmrf Coef. Std. Err. t P>|t| [95% Conf. Interval]
mktrf 1.057715 .1061902 9.96 0.000 .8476453 1.267785
. regress msftrf mktrf, noconstant
Source SS df MS Number of obs = 132
F( 1, 131) = 70.67
Model .57044026 1 .57044026 Prob > F = 0.0000
Residual 1.05738703 131 .008071657 R-squared = 0.3504
Adj R-squared = 0.3455
Total 1.62782729 132 .012332025 Root MSE = .08984
msftrf Coef. Std. Err. t P>|t| [95% Conf. Interval]
mktrf 1.138086 .135379 8.41 0.000 .8702739 1.405898
. regress xomrf mktrf, noconstant
Source SS df MS Number of obs = 132
F( 1, 131) = 48.33
Model .124605564 1 .124605564 Prob > F = 0.0000
Residual .33771267 131 .002577959 R-squared = 0.2695
Adj R-squared = 0.2639
Total .462318235 132 .003502411 Root MSE = .05077
xomrf Coef. Std. Err. t P>|t| [95% Conf. Interval]
mktrf .5319106 .0765082 6.95 0.000 .3805591 .683262
