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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.

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