Regression Analysis with Excel
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?
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.