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Normal Probability Plot: Regression Statistics

The document presents the results of a linear regression analysis examining the relationship between the return on a stock and the return on the market portfolio using data from 6 periods. The regression results show a weak positive relationship between the two variables (R^2=0.075) that is not statistically significant (p=0.32). Increasing returns on the market portfolio are associated with higher predicted returns on the stock, but the model only explains a small percentage of the variation in stock returns.

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Shyamsunder Singh
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67 views23 pages

Normal Probability Plot: Regression Statistics

The document presents the results of a linear regression analysis examining the relationship between the return on a stock and the return on the market portfolio using data from 6 periods. The regression results show a weak positive relationship between the two variables (R^2=0.075) that is not statistically significant (p=0.32). Increasing returns on the market portfolio are associated with higher predicted returns on the stock, but the model only explains a small percentage of the variation in stock returns.

Uploaded by

Shyamsunder Singh
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

Normal P
Regression Statistics 3000
Multiple R 0.623419 2500
2000
R Square 0.388651 1500
Adjusted R 0.312233 1000

Y
500
Standard E 582.4934 0
Observatio 10 5 15 25 35
Sample
ANOVA
df SS MS F Significance F
Regression 1 1725611 1725611 5.08582 0.054128
Residual 8 2714389 339298.6
Total 9 4440000

Coefficients
Standard Error t Stat P-value Lower 95%Upper 95%
Lower 95.0%
Upper 95.0%
Intercept -1975.32 1684.173 -1.17287 0.274584 -5859.03 1908.388 -5859.03 1908.388
X 0.175189 0.077683 2.255176 0.054128 -0.00395 0.354326 -0.00395 0.354326

RESIDUAL OUTPUT PROBABILITY OUTPUT

ObservationPredicted Y Residuals
Standard Residuals Percentile Y
1 1528.457 471.5429 0.858631 5 800
2 1878.835 221.165 0.402718 15 1000
3 1178.079 321.9209 0.586185 25 1200
4 2229.213 -1229.21 -2.23827 35 1500
5 1178.079 -378.079 -0.68844 45 1500
6 1528.457 -328.457 -0.59809 55 2000
7 1791.241 -291.241 -0.53032 65 2100
8 2054.024 445.976 0.812076 75 2500
9 2229.213 370.787 0.675165 85 2600
10 2404.402 395.598 0.720343 95 2800
Normal Probability Plot
3000
2500
2000
1500 Column G
1000
Y

500
0
5 15 25 35 45 55 65 75 85 95
Sample Percentile
SHARE PRICE OF BIRLA BSE SENSEX
DEPENDENT INDEPENDENT
Y X
1 2000 20000
2 2100 22000
3 1500 18000
4 1000 24000
5 800 18000
6 1200 20000
7 1500 21500
8 2500 23000
9 2600 24000
2016 2800 25000
2017
Column1

Mean 16.66667
Standard E 5.577734
Median 13
Mode #N/A
Standard D 13.6626
Sample Var186.6667
Kurtosis 0.845571
Skewness 1.058155
Range 38
Minimum 2
Maximum 40
Sum 100
Count 6
Confidence14.33802
Column1 Column2

Mean 16.66666667 Mean 83


Standard E 5.57773351 Standard E 7.6376261583
Median 13 Median 83
Mode #N/A Mode #N/A
Standard D 13.66260102 Standard D 18.708286934
Sample Var 186.6666667 Sample Var 350
Kurtosis 0.845571429 Kurtosis -1.2
Skewness 1.058154508 Skewness -1.332268E-16
Range 38 Range 50
Minimum 2 Minimum 58
Maximum 40 Maximum 108
Sum 100 Sum 498
Count 6 Count 6
Confidence 14.33802044 Confidence19.633143063
CLASS FREQUENCY
24-34 10 29
34-44 16 39
44-54 40 49
54-64 24 59
64-74 8 69
74-84 2 79
CHI SQUARE TEST
NUMBER TURNED UP OBSERVED FREQUENCY EXPECTED FREQUENCY (O-E)^2/E
1 30 20 5
2 25 20 1.25
3 18 20 0.2
4 10 20 5
5 22 20 0.2
6 15 20 1.25
12.9

P VALUE 0.0243341167

CHI SQUARE 12.9

AGE

GRADE POINT 20 AND UNDER 21-30 ABOVE 30

UPTO 5 3 5 2 10
5.1 TO 7.5 8 7 5 20
7.5 TO 10 4 8 8 20
TOTAL 15 20 15 50

AGE

GRADE POINT 20 AND UNDER 21-30 ABOVE 30


UPTO 5 3 4 3 10
5.1 TO 7.5 6 8 6 20
7.5 TO 10 6 8 6 20
TOTAL 15 20 15 50

CHI SQUARE P VALUE 0.5789570013

CHI SQUARE 2.875


D.F. N-1 5

IF TABLE VALUE IS NOT GIVEN COMPARE THE P VALUE WITH LEVEL OF SIGNIFICANCE IF
P VALUE IS GREATER THAN LEVEL OF SIGNIFICANCE THAN HYPOTHESIS IS ACCEPTED.
AND VICE VERSA

DF R-1*C-1
3-1*2-1
4
GNIFICANCE IF
S ACCEPTED.
Column1 Column2

Mean 4 Mean 4.2


Standard E 1 Standard E 0.860233
Median 4 Median 4
Mode #N/A Mode #N/A
Standard D2.236068 Standard D 1.923538
Sample Var 5 Sample Var 3.7
Kurtosis 0.2 Kurtosis -0.02191
Skewness 0 Skewness 0.590129
Range 6 Range 5
Minimum 1 Minimum 2
Maximum 7 Maximum 7
Sum 20 Sum 21
Count 5 Count 5
Confidence2.776445 Confidence2.388388
Column1 Column2

Mean 4 Mean 4.2


Standard E 1 Standard E 0.860233
Median 4 Median 4
Mode #N/A Mode #N/A
Standard D2.236068 Standard D 1.923538
Sample Var 5 Sample Var 3.7
Kurtosis 0.2 Kurtosis -0.02191
Skewness 0 Skewness 0.590129
Range 6 Range 5
Minimum 1 Minimum 2
Maximum 7 Maximum 7
Sum 20 Sum 21
Count 5 Count 5
Confidence2.776445 Confidence2.388388
Column1 Column2

Mean 4 Mean 4.2


Standard E 1 Standard E 0.860233
Median 4 Median 4
Mode #N/A Mode #N/A
Standard D2.236068 Standard D1.923538
Sample Var 5 Sample Var 3.7
Kurtosis 0.2 Kurtosis -0.02191
Skewness 0 Skewness 0.590129
Range 6 Range 5
Minimum 1 Minimum 2
Maximum 7 Maximum 7
Sum 20 Sum 21
Count 5 Count 5
Confidence2.776445 Confidence2.388388
XI FREQUENCY
1 4 4
5 3 15
7 7 49
4 5 20
3 2 6
21 94

4.47619
SUMMARY OUTPUT

Regression Statistics
Multiple R 0.27381
R Square 0.074972
Adjusted R Square 0.003816
Standard Error 8.618982
Observations 15

ANOVA
df SS MS F Significance F
Regression 1 78.27083 78.27083 1.05363 0.323394
Residual 13 965.7292 74.28686
Total 14 1044

Coefficients
Standard Error t Stat P-value Lower 95%Upper 95%
Lower 95.0%
Upper 95.0%
Intercept 6.8125 3.820401 1.78319 0.097907 -1.44097 15.06597 -1.44097 15.06597
RETURN ON MARKET PO 0.354167 0.345035 1.026465 0.323394 -0.39124 1.09957 -0.39124 1.09957
Upper 95.0%
PERIOD RETURN ON STOCK RETURN ON MARKET PORTFOLIO
1 10 12
2 15 14
3 18 13
4 14 10
5 16 9
6 16 13
7 18 14
8 4 7
9 -9 1
10 14 12
11 15 -11
12 14 16
13 6 8
14 7 7
15 -8 10
SUMMARY OUTPUT

Regression Statistics
Multiple R 0.896476
R Square 0.803669
Adjusted R 0.781854
Standard E 4.93608
Observatio 11

ANOVA
df SS MS F Significance F
Regression 1 897.6251 897.6251 36.84092 0.000186
Residual 9 219.284 24.36489
Total 10 1116.909

Coefficients
Standard Error t Stat P-value Lower 95%Upper 95%
Lower 95.0%
Upper 95.0%
Intercept 0.528699 2.823302 0.187263 0.855608 -5.85805 6.915452 -5.85805 6.915452
RETURN O 0.959187 0.15803 6.069673 0.000186 0.6017 1.316675 0.6017 1.316675
YEAR
1 RETURN ON TOTAL ELECTRICALS RETURN ON MARKET PORTFOLIO
2 15 12
3 -6 1
4 18 14
5 30 24
6 12 16
7 25 30
8 2 -3
9 20 24
10 18 15
24 22
8 12
SUMMARY OUTPUT

Regression Statistics
Multiple R 0.297532
R Square 0.088525
Adjusted R -0.02541
Standard E 10.93551
Observatio 10

ANOVA
df SS MS F Significance F
Regression 1 92.91636 92.91636 0.776987 0.403769
Residual 8 956.6836 119.5855
Total 9 1049.6

Coefficients
Standard Error t Stat P-value Lower 95%Upper 95%
Lower 95.0%
Upper 95.0%
Intercept -2.45348 11.0527 -0.22198 0.829891 -27.9411 23.0341 -27.9411 23.0341
RETURN O 0.953967 1.082247 0.881469 0.403769 -1.5417 3.449632 -1.5417 3.449632
RETURN ON STOCK RETURN ON MARKET
15 9
16 12
10 6
-15 4
-5 16
14 11
10 10
15 12
12 9
-4 8
SUMMARY OUTPUT

Regression Statistics
Multiple R 0.238335
R Square 0.056803
Adjusted R -0.179
Standard E 196.1975
Observatio 6

ANOVA
df SS MS F Significance F
Regression 1 9272.965 9272.965 0.240897 0.649267
Residual 4 153973.9 38493.47
Total 5 163246.8

Coefficients
Standard Error t Stat P-value Lower 95%Upper 95%
Lower 95.0%
Upper 95.0%
Intercept 49.02683 192.3005 0.254949 0.811334 -484.885 582.9386 -484.885 582.9386
72 3.197758 6.51523 0.490813 0.649267 -14.8914 21.28694 -14.8914 21.28694
SUMMARY OUTPUT

Regression Statistics
Multiple R 0.238335
R Square 0.056803
Adjusted R -0.179
Standard E 196.1975
Observatio 6

ANOVA
df SS MS F Significance F
Regression 1 9272.965 9272.965 0.240897 0.649267
Residual 4 153973.9 38493.47
Total 5 163246.8

Coefficients
Standard Error t Stat P-value Lower 95%Upper 95%
Lower 95.0%
Upper 95.0%
Intercept 49.02683 192.3005 0.254949 0.811334 -484.885 582.9386 -484.885 582.9386
72 3.197758 6.51523 0.490813 0.649267 -14.8914 21.28694 -14.8914 21.28694
119 72
500 30
71 25
33 19
44 21
55 14
106 52

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