OLS Examples OLS Regression â¢ Problem

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<strong>Problem</strong> 1: CAPM• Interpretation– Since this is a CAPM, the slope has theinterpretation of systematic risk• Since it is greater than 1.0, this indicates that thecyclical consumer goods sector is riskier that themarket as a whole• When the market rises, the excess returns in thissector will rise more than the marketPage 39<strong>Problem</strong> 1: CAPMModel PortfolioModelIntercept -0.477(0.2188)RendMark 1.17*(0.0000)R 2 0.5035F C 241.3363(0.0000)Notes: p-value in parenthese;*=significantPage 4020
Page 41Page 4221
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 and 14: Problem 1: CAPMbeta Interpretation
Page 15 and 16: 60Excess Returns DistributionsStock
Page 17 and 18: 403020100Excess ReturnsCyclical Con
Page 19: Page 37Problem 1: CAPM• Interpret
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