Question

You run a regression for a stock's return on a market index and find the following Excel output: Multiple R 0.35 R-Square 0.12 Adjusted R-Square 0.02 Standard Error 38.45 Observations 12 Coefficients Standard Error t-Stat p-Value Intercept 4.05 15.44 0.26 0.80 Market 1.32 0.97 1.36 0.10 This stock has greater systematic risk than a stock with a beta of ___.

Answer 1

Answer:  1.32

Explanation:

                   coefficient       standard error      t-stat   p-value

intercept       4.05                  15.44                    0.26     0.80

market           1.32                    0.96                     1.36      0.10

SOLUTION:

Beta of the stock is gotten from the coefficient of the market  and is given from  the slope  as 1.32

The market beta is always 1, and  Beta is a measure of systematic risk  . When  compared to market the stock here has a higher beta, meaning that Higher the beta, higher the risk

This stock has greater systematic risk than a stock with a beta of  1.32 .