6 pages Finance Question

Attachments

Sheet: IBM

Date

Adj Close

Year

Return By Price Change

Dividends

Rate of Return

IBM

S&P 500

Date

Adjusted Close

Year

Return By Price Change

Rate of Return

36526.0

68.961266

36892.0

69.128227

2000.0

0.16696100000000058

0.51

0.009816539620951864

-28.450000000000045

-0.02040216284439858

37257.0

66.918533

2001.0

-2.209693999999999

0.55

-0.024008918961569765

-235.80999999999995

-0.17262684753405902

37622.0

48.860226

2002.0

-18.058307

0.59

-0.26103840321783506

-274.5

-0.24287736683772781

37987.0

62.472309

2003.0

13.612083000000005

0.63

0.2914862284918618

37987.0

1131.13

2003.0

275.43000000000006

0.3218768259904173

38353.0

59.26865

2004.0

-3.203659000000002

0.7000000000000001

-0.040076300045192845

50.13999999999987

0.04432735406186722

38718.0

52.06414

2005.0

-7.204509999999999

0.78

-0.10839642880342304

98.80999999999995

0.08364726099875554

39083.0

64.347694

2006.0

12.283554000000002

1.0999999999999999

0.25705896611372053

158.16000000000008

0.12355477782638592

39448.0

70.491203

2007.0

6.143508999999995

1.5000000000000002

0.1187845053157615

-59.690000000000055

-0.041502113694515556

39814.0

61.372772

2008.0

-9.118431000000001

1.9

-0.10240186991843508

-552.67

-0.4009067498458525

40179.0

83.593674

2009.0

22.220901999999995

2.1500000000000004

0.39709632147624024

40179.0

1073.87

2009.0

247.9899999999999

0.3002736475032691

40544.0

112.764786

2010.0

29.171112000000008

2.5

0.37886972164903304

40544.0

1286.12

2010.0

212.25

0.19764962239377207

40909.0

136.332062

2011.0

23.567276000000007

2.9

0.2347122442993862

26.29000000000019

0.02044132740335287

41275.0

146.163132

2012.0

9.831069999999983

3.3

0.0963168150423778

185.69999999999982

0.14149541682858238

41640.0

129.63613900000001

2013.0

-16.526992999999976

3.6999999999999997

-0.08775806063050139

284.48

0.18989259800682196

42005.0

115.220001

2014.0

-14.416138000000018

4.25

-0.07842055524347279

212.4000000000001

0.11915246916004246

42370.0

96.848412

2015.0

-18.371589

5.0

-0.1160526721397963

-54.75

-0.027443746585195914

42736.0

140.604599

2016.0

43.75618700000001

5.499999999999999

0.5085905487020274

338.6299999999999

0.17452995505710628

43101.0

137.002747

2017.0

-3.601852000000008

5.9

0.016344756973418716

544.94

0.2391272867693199

43466.0

117.586418

2018.0

-19.416329000000005

6.21

-0.0963946292259381

-119.71000000000004

-0.04239307885445552

43831.0

131.760895

2019.0

14.17447700000001

6.430000000000001

0.17522837544043574

521.4200000000001

0.192825709108391

44197.0

114.917534

2020.0

-16.843361

6.51

-0.07842509721871578

488.7199999999998

0.15151665467893544

Regression in which S&P 500 is independent and IBM is dependent

SUMMARY OUTPUT

Regression Statistics

Multiple R

0.5825945062723332

R Square

0.33941635873870374

Adjusted R Square

0.30464879867231975

Standard Error

0.17189746289636001

Observations

21.0

ANOVA

df

SS

MS

F

Significance F

Regression

1.0

0.2884678980449005

0.2884678980449005

9.762444016509457

0.005581713989890132

Residual

19.0

0.5614260172539038

0.029548737750205466

Total

20.0

0.8498939152988043

Coefficients

Standard Error

t Stat

P-value

Lower 95%

Upper 95%

Lower 95.0%

Upper 95.0%

Intercept

0.0278778367354707

0.03997123302969305

0.6974475046782109

0.4939696716240518

-0.05578291548003679

0.11153858895097819

-0.05578291548003679

0.11153858895097819

X Variable 1

0.6699638309871861

0.214423351109762

3.1244910011887455

0.005581713989890142

0.22117059928761557

1.1187570626867567

0.22117059928761557

1.1187570626867567

Regression is significant as its p-value is less than 0.05

Intercept is not significant as its p-value is more than 0.05

PROBABILITY OUTPUT

Co-efficient of x is significant as its p-value is less than 0.05

Percentile

Y

Final Regresssion Equation

2.380952380952381

-0.26103840321783506

Rate of Return of IBM = (0.66996383)*(Rate of Return of S&P 500)

7.142857142857142

-0.1160526721397963

11.904761904761905

-0.10839642880342304

Co-efficient of x is less than 1, that means IBM security is less volatile than S&P 500

16.666666666666664

-0.10240186991843508

Note: If co-efficient is not significant, we do not include in final reegression equation

21.428571428571427

-0.0963946292259381

26.19047619047619

-0.08775806063050139

30.95238095238095

-0.07842509721871578

35.714285714285715

-0.07842055524347279

40.476190476190474

-0.040076300045192845

45.238095238095234

-0.024008918961569765

50.0

0.009816539620951864

54.76190476190476

0.016344756973418716

59.52380952380952

0.0963168150423778

64.28571428571429

0.1187845053157615

69.04761904761905

0.17522837544043574

73.80952380952381

0.2347122442993862

78.57142857142857

0.25705896611372053

83.33333333333333

0.2914862284918618

88.09523809523809

0.37886972164903304

92.85714285714286

0.39709632147624024

97.61904761904762

0.5085905487020274

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