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The regression analysis finds a moderate positive linear relationship between the dependent variable rmsft-rf and the independent variable rm-rf. The multiple R is 0.364, R-squared is 0.133, and the adjusted R-squared is 0.118. The regression coefficient for rm-rf is statistically significant with a p-value of 0.004. This indicates that approximately 12% of the variation in rmsft-rf can be explained by variation in rm-rf.

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Jo Kristianti
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40 views9 pages

PR Invest

The regression analysis finds a moderate positive linear relationship between the dependent variable rmsft-rf and the independent variable rm-rf. The multiple R is 0.364, R-squared is 0.133, and the adjusted R-squared is 0.118. The regression coefficient for rm-rf is statistically significant with a p-value of 0.004. This indicates that approximately 12% of the variation in rmsft-rf can be explained by variation in rm-rf.

Uploaded by

Jo Kristianti
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as XLSX, PDF, TXT or read online on Scribd
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SUMMARY OUTPUT

Regression Statistics
Multiple R
0.364208289
R Square
0.132647678
Adjusted R Square
0.117693328
Standard Error
0.077508167
Observations
60
ANOVA
df
Regression
Residual
Total

SS
MS
F
Significance F
1 0.053288 0.053288 8.870173 0.004226
58 0.348436 0.006008
59 0.401724

Coefficients Standard Error t Stat


P-value Lower 95% Upper 95%Lower 95.0%
0.017588009 0.010572 1.663607 0.101586 -0.00357 0.038751 -0.00357
1.041747098 0.349781 2.978284 0.004226 0.341584 1.74191 0.341584

Intercept
rm-rf

RESIDUAL OUTPUT
Observation
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22

Predicted rmsft-rf
0.058216146
0.087176715
0.037797902
0.014983641
0.057278573
-0.034395171
0.061237212
0.037277029
-0.00428868
0.027172082
-0.028561388
0.132701063
-0.005330427
0.02800548
-0.006372174
0.044569259
0.020296551
-0.000850915
0.056341001
-0.006163825
0.026859558
0.01894228

Residuals
0.24101
-0.03466
-0.01965
-0.08729
0.046658
-0.03869
0.012683
0.118123
0.043672
0.023229
0.060775
0.007237
0.080679
-0.00156
-0.03759
-0.11739
0.074318
-0.13451
-0.03087
0.034953
0.05457
0.081366

23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60

0.050298868
0.028318004
0.022796744
0.029359751
0.037381204
-0.010434988
0.043423337
0.018421406
0.010191604
0.054674205
0.007170538
0.036443631
0.005191218
0.02800548
0.049882169
-0.012726832
-0.030540707
0.028318004
0.031234896
-0.011372561
0.049152946
0.056132651
-0.011372561
0.037485378
-0.024498574
0.028213829
0.040298096
0.053840808
0.043631686
0.043319162
0.053111585
0.037172854
0.047590325
0.015504515
0.0567577
0.009045683
0.059049543
0.031755769

-0.00348
-0.11424
-0.01198
-0.06763
0.069498
-0.06764
0.037652
-0.0708
-0.17168
-0.04204
0.088472
-0.06749
-0.00919
-0.02256
0.003435
-0.02015
0.054507
0.061072
0.127727
-0.03117
-0.05447
0.068905
-0.02673
0.081109
0.018894
-0.06044
-0.07313
0.003122
0.080816
0.101585
-0.02255
0.025313
-0.05076
0.001895
-0.08268
0.091227
-0.19195
-0.02954

rm-rf Line Fit Plot

Upper 95.0%
0.038751
1.74191

40.00%

30.00%

rmsft-rf

20.00%

-6.00%

10.00%

-4.00%

0.00%
-2.00% 0.00%

2.00%

4.00%

-10.00%

-20.00%

rm-rf

rf Line Fit Plot

rmsft-rf
Predicted rmsft-rf

4.00%

6.00%

8.00%

10.00% 12.00%

Nonfactor risk ( 2 )

Factor Sensitivity ( )

Security
A
B

0.2
3.5

portfolio

49
100

2.18
Portfolio's factor risk
portfolio's non factor risk
portfolio's Standard deviation

a.
b.
c.

Soal lembar kedua


month

Close Price
Jan-91
Feb-91
Mar-91
Apr-91
May-91
Jun-91
Jul-91
Aug-91
Sep-91
Oct-91
Nov-91
Dec-91
Jan-92
Feb-92
Mar-92
Apr-92
May-92
Jun-92
Jul-92

Factor SD ( )
0.4
15
0.6

=C3*E3+C4*E4
1,069.29 =C8^2*F3^2
43.84 =E3^2*D3+E4^2*D4
33.36 =SQRT(E9+E10)

rm
21.81
23.06
23.58
22.00
24.39
22.71
24.50
28.42
29.67
31.29
32.42
37.08
40.00
41.17
39.50
36.75
40.33
35.00
36.00

proportion

rf
4.42%
7.16%
2.38%
0.28%
4.28%
-4.57%
4.68%
2.35%
-1.64%
1.34%
-4.04%
11.43%
-1.86%
1.28%
-1.96%
2.91%
0.54%
-1.45%
4.03%

0.52%
0.48%
0.44%
0.53%
0.47%
0.42%
0.49%
0.46%
0.46%
0.42%
0.39%
0.38%
0.34%
0.28%
0.34%
0.32%
0.28%
0.32%
0.31%

rm-rf (1)
3.90%
6.68%
1.94%
-0.25%
3.81%
-4.99%
4.19%
1.89%
-2.10%
0.92%
-4.43%
11.05%
-2.20%
1.00%
-2.30%
2.59%
0.26%
-1.77%
3.72%

M. Bima Adinugraha D.
1306497182

( + )

rmsft
price des 90
30.44%
16.72
5.73%
2.25%
-6.70%
10.86%
-6.89%
7.88%
16.00%
4.40%
5.46%
3.61%
14.37%
7.87%
2.93%
-4.06%
-6.96%
9.74%
-13.22%
2.86%

rmsft-rf (2)
29.92%
5.25%
1.81%
-7.23%
10.39%
-7.31%
7.39%
15.54%
3.94%
5.04%
3.22%
13.99%
7.53%
2.65%
-4.40%
-7.28%
9.46%
-13.54%
2.55%

Aug-92
Sep-92
Oct-92
Nov-92
Dec-92
Jan-93
Feb-93
Mar-93
Apr-93
May-93
Jun-93
Jul-93
Aug-93
Sep-93
Oct-93
Nov-93
Dec-93
Jan-94
Feb-94
Mar-94
Apr-94
May-94
Jun-94
Jul-94
Aug-94
Sep-94
Oct-94
Nov-94
Dec-94
Jan-95
Feb-95
Mar-95
Apr-95

37.13
40.25
44.38
46.56
42.69
43.25
41.69
46.25
42.75
46.31
44.00
37.00
37.56
41.25
40.06
40.00
40.31
42.56
41.25
42.35
46.25
53.75
51.63
51.50
58.13
56.13
63.00
62.88
61.13
59.38
63.00
71.13
81.75

-2.02%
1.15%
0.36%
3.37%
1.31%
0.73%
1.35%
2.15%
-2.45%
2.70%
0.33%
-0.47%
3.81%
-0.74%
2.03%
-0.94%
1.23%
3.35%
-2.70%
-4.35%
1.30%
1.63%
-2.47%
3.31%
4.07%
-2.41%
2.29%
-3.67%
1.46%
2.60%
3.88%
2.96%
2.91%

0.26%
0.26%
0.23%
0.23%
0.28%
0.23%
0.22%
0.25%
0.24%
0.22%
0.25%
0.24%
0.25%
0.26%
0.22%
0.25%
0.23%
0.25%
0.21%
0.27%
0.27%
0.32%
0.31%
0.28%
0.37%
0.37%
0.38%
0.37%
0.44%
0.42%
0.40%
0.46%
0.44%

-2.28%
0.89%
0.13%
3.14%
1.03%
0.50%
1.13%
1.90%
-2.69%
2.48%
0.08%
-0.71%
3.56%
-1.00%
1.81%
-1.19%
1.00%
3.10%
-2.91%
-4.62%
1.03%
1.31%
-2.78%
3.03%
3.70%
-2.78%
1.91%
-4.04%
1.02%
2.18%
3.48%
2.50%
2.47%

3.14%
8.40%
10.26%
4.91%
-8.31%
1.31%
-3.61%
10.94%
-7.57%
8.33%
-4.99%
-15.91%
1.51%
9.82%
-2.88%
-0.15%
0.78%
5.58%
-3.08%
2.67%
9.21%
16.22%
-3.94%
-0.25%
12.87%
-3.44%
12.24%
-0.19%
-2.78%
-2.86%
6.10%
12.90%
14.93%

2.88%
8.14%
10.03%
4.68%
-8.59%
1.08%
-3.83%
10.69%
-7.81%
8.11%
-5.24%
-16.15%
1.26%
9.56%
-3.10%
-0.40%
0.55%
5.33%
-3.29%
2.40%
8.94%
15.90%
-4.25%
-0.53%
12.50%
-3.81%
11.86%
-0.56%
-3.22%
-3.28%
5.70%
12.44%
14.49%

May-95
Jun-95
Jul-95
Aug-95
Sep-95
Oct-95
Nov-95
Dec-95

84.69
90.38
90.50
92.50
90.50
100.00
87.13
87.75

3.95%
2.35%
3.33%
0.27%
4.19%
-0.35%
4.40%
1.85%

0.54%
0.47%
0.45%
0.47%
0.43%
0.47%
0.42%
0.49%

3.41%
1.88%
2.88%
-0.20%
3.76%
-0.82%
3.98%
1.36%

3.60%
6.72%
0.13%
2.21%
-2.16%
10.50%
-12.87%
0.71%

SUMMARY OUTPUT
Regression Statistics
Multiple R
0.364208289
R Square
0.132647678
Adjusted R Square
0.117693328
Standard Error
0.077508167
Observations
60
ANOVA
df
Regression
Residual
Total

Intercept
rm-rf

3.a
3.b

1
58
59

SS
MS
0.053287707 0.053287707
0.348435923 0.006007516
0.401723629

Coefficients
0.017588009
1.041747098

Standard Error
t Stat
0.010572217 1.663606538
0.349781028
2.9782836

Adjusted R-square

1.041747098
0.117693328

F
Significance F
8.870173201
0.004226197

P-value
0.101585781
0.004226197

3.06%
6.25%
-0.32%
1.74%
-2.59%
10.03%
-13.29%
0.22%

length
Short term
Intermediate term
long term

rf
5.13%
5.50%
6.00%

rm-rf
8.40%
7.40%
7.00%

Re=rf+(rm-rf)
4
5
6
7
8

Required return on short term


Required return on intermediate
Required return on long term

13.88% =E102+(E98*F102)
13.21% =E103+(E98*F103)
13.29% =E104+(E98*F104)

Hasil yang didapat berbeda karena terdapat perbedaan nilai risk free rate dan market
risk premium diantara masing-masing periode waktu
Salah satu asumsi dasar penggunaan CAPM adalah semua investor berencana
menggunakan satu periode waktu tertentu

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