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    Regression Analysis with Excel

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    I need help constructing a regression analysis. Using the attached spreadsheet and Word Doc help develop the following 3 regressions. Please show what is used as the Y and X ranges and explain the steps.

    A. Estimate a one factor, or CAPM, regression analysis of the following form:

    Ri - Rf = ?j + ?i(RM - Rf)

    B. Estimate a three factor, or Fama-French, regression analysis of the following form:

    Ri - Rf = ?j + ?i(RM - Rf) + siSMB + hiHML

    C. Estimate a four factor regression analysis of the following form:

    Ri - Rf = ?j + ?i(RM - Rf) + siSMB + hiHML + uiUMD

    Discuss the results as they relate to exposures to the risk factors in each model. Is there evidence that this fund had particularly noteworthy performance during the 36-month period analyzed?

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    https://brainmass.com/statistics/regression-analysis/regression-analysis-with-excel-497371

    Attachments

    Solution Preview

    Dear Customer,

    I have attached two files:

    1. Excel file - with the data and the regression results

    SUMMARY OUTPUT

    Regression Statistics
    Multiple R 0.95636229
    R Square 0.914628829
    Adjusted R Square 0.903613194
    Standard Error 0.022471973
    Observations 36

    ANOVA
    df SS MS F Significance F
    Regression 4 0.167717251 0.041929313 83.03005978 4.13526E-16
    Residual 31 0.015654676 0.00050499
    Total 35 0.183371927

    Coefficients Standard Error t Stat P-value Lower 95% Upper 95% Lower 95.0% Upper 95.0%
    Intercept 0.007898099 0.004015866 1.966723787 0.058222084 -0.000292313 0.016088511 -0.000292313 0.016088511
    Rm - ...

    Solution Summary

    The solution provides an Excel file - with the data and the regression results. Complete details and rationale has been included.

    $2.19

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