OLS Examples OLS Regression â¢ Problem

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<strong>Problem</strong> 1: CAPM• Excess returns are calculated as follows–Let p i be the closing price of the index at thelast trading day in month i and let r i be the onemonthinterest rate at the start of month i. Thenthe return v i of the index is v ( ) / i= pi− pi−1 pi−1and the excess return is v i –r i . The reportednumbers are 100(v i –r i ).Page 27Page 2814
60Excess Returns DistributionsStock Market Sectors (UK)1980 - 199940Excess Returns (%)200-20-40RENDTEL RENDNCCO RENDMARK RENDIT RENDCYCONote: Monthly dataPage 2920Excess ReturnsOverall Stock Market Index (UK)1980 - 199910Excess Returns (%)0-10-20-3080 82 84 86 88 90 92 94 96 98Note: Monthly dataPage 3015
Page 1 and 2: OLS ExamplesPage 1•ProblemOLS Reg
Page 3 and 4: Note Meanand Std. Dev.of PRICES XXS
Page 5 and 6: Equation for Ŷ :Estimated Price =
Page 7 and 8: t c and p-valuesBoth Highly Signifi
Page 9 and 10: SST = ∑Note:2( Y - Y) = S = 25681
Page 11 and 12: Problem 1: CAPM•Problem- Estimate
Page 13: Problem 1: CAPMbeta Interpretation
Page 17 and 18: 403020100Excess ReturnsCyclical Con
Page 19 and 20: Page 37Problem 1: CAPM• Interpret
Page 21 and 22: Page 41Page 4221
Page 23 and 24: Problem 2: Bank Wages•Problem- Fi
Page 25 and 26: 140000Distribution of CurrentYearly
Page 27 and 28: Problem 2: Bank Wages• Our model
Page 29 and 30: Other ExamplesProblem 3:Population
Page 31 and 32: Problem 3:Population and Economic G
Page 33 and 34: Problem 3:Population and Economic G
Page 35 and 36: .10Real GDP and PopulationAverage A

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OLS Examples OLS Regression â¢ Problem