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DS101 HW3
DS101 HW3
DS101 HW3
DS101 – 07
Sudhir Thakur
0.26
0.16
JPM ROR
0.06
-0.04
-0.14
-0.07 -0.03 0.01 0.05 0.09
S&P ROR
Coefficients
Least Squares Standard T
Parameter Estimate Error Statistic P-Value
Intercept 0.00647753 0.00581827 1.11331 0.2702
Slope 1.11811 0.197376 5.66485 0.0000
Analysis of Variance
Source Sum of Squares Df Mean Square F-Ratio P-Value
Model 0.0613841 1 0.0613841 32.09 0.0000
Residual 0.110945 58 0.00191284
Total (Corr.) 0.172329 59
Slope – For every one unit increase in S&P500, JPM’s rate of return increases by 1.12
Rsquared – 35.62% variability in JPM’s rate of return accounted due to rate of return of S&P500. The model as
fitted explains 35.62% of variability
Hypothesis Test:
H0 : β1 = 0
Ha : β1 ≠ 0
Analysis/Conclusion: Since the Pvalue, .0000, is less than alpha, .05, we reject the null hypothesis. There is
sufficient evidence that shows a statistically significant relationship between the ROR of JPM and ROR of S&P500
at 95% confidence level.
0.34
0.24
BAC ROR
0.14
0.04
-0.06
-0.16
-0.07 -0.03 0.01 0.05 0.09
S&P500 ROR
Coefficients
Least Squares Standard T
Parameter Estimate Error Statistic P-Value
Intercept 0.0044933 0.00832644 0.539642 0.5915
Slope 1.291 0.282462 4.57054 0.0000
Analysis of Variance
Source Sum of Squares Df Mean Square F-Ratio P-Value
Model 0.0818359 1 0.0818359 20.89 0.0000
Residual 0.227215 58 0.00391751
Total (Corr.) 0.309051 59
Interpretation:
BAC ROR = 0.0044933 + 1.291*S&P500 ROR
Intercept – When S&P500 is 0, Bank of America’s minimum rate of return is .0045.
Slope – For every one unit increase in S&P500, BAC rate of return increases by 1.29
Rsquared – 26.48% variability in BAC ’s rate of return accounted due to rate of return of S&P500. There is a low
cause and effect relationship between BAC’s returns and S&P500’s returns.
Hypothesis Test:
H0 : β1 = 0
Ha : β1 ≠ 0
Analysis/Conclusion: Since the Pvalue, .0000, is less than alpha, .05, we reject the null hypothesis. There is
sufficient evidence that shows a statistically significant relationship between the ROR of BAC and ROR of S&P500
at a 95% confidence level.
0.17
0.12
0.07
WFC ROR
0.02
-0.03
-0.08
-0.13
-0.07 -0.03 0.01 0.05 0.09
S&P500 ROR
Coefficients
Least Squares Standard T
Parameter Estimate Error Statistic P-Value
Intercept -0.000331193 0.00591108 -0.0560292 0.9555
Slope 0.993237 0.200525 4.9532 0.0000
Analysis of Variance
Source Sum of Squares Df Mean Square F-Ratio P-Value
Model 0.0484391 1 0.0484391 24.53 0.0000
Residual 0.114512 58 0.00197435
Total (Corr.) 0.162951 59
Interpretation:
WFC ROR = -0.000331193 + 0.993237*S&P500 ROR
Slope – For every one unit increase in S&P500, WFC’s rate of return increases by .99.
Rsquared – 29.73% variability in WCF’s rate of return accounted due to rate of return of S&P500. The model as
fitted explains 29.73% of variability in WFC ROR. There is a low cause and effect relationship between BAC’s
returns and S&P500’s returns.
Hypothesis Test:
H0 : β1 = 0
Ha : β1 ≠ 0
Analysis/Conclusion: Since the Pvalue, .0000, is less than alpha, .05, we reject the null hypothesis. There is
sufficient evidence that shows a statistically significant relationship between the ROR of WFC and ROR of S&P500
at a 95% confidence level.