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?
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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