Question

The following table shows historical beginning-of-year prices for a stock and the S&P 500. A B...

The following table shows historical beginning-of-year prices for a stock and the S&P 500.

A B C
1 Year Stock S&P 500
2 2011 32.67 577.69
3 2012 30.74 514.57
4 2013 30.11 436.52
5 2014 32.22 459.71
6 2015 29.92 384.76
7 2016 31.69 350.52
8 2017 29.46 309.2
9 2018 29.49 407.22
10 2019 30.37 460.6

Calculate the annual returns and regress the returns on the stock on the returns on the S&P 500.

What is the R2 of the regression?

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Homework Answers

Answer #1

1. Annual Returns = (Closing price - Opening price) / Opening Price

2. Regression of returns of stock

R2 of the regression = 0.21168

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