6.13计算出后如何查表

问题如下：

A regression of a stock’s return (in percent) on an industry index’s return (in percent) provides the following results:

Coefficient Standard Error

Intercept 2.1 2.01

Industry index 1.9 0.31

Degrees of Freedom SS

Explained 1 92.648

Residual 3 24.512

Total 4 117.160

Which of the following statements regarding the regression is correct?

I.The correlation coefficient between the X and Y variables is 0.889.

II.The industry index coefficient is significant at the 99% confidence interval.

III.If the return on the industry index is 4%, the stock’s expected return is 10.3%.

IV.The variability of industry returns explains 21% of the variation of company returns

选项：

A.

III only

B.

I and II only

C.

II and IV only

D.

I, II, and IV

解释：

The R2 of the regression is calculated as ESS/TSS = (92.648/117.160) = 0.79, which means that the variation in industry returns explains 79% of the variation in the stock return. By taking the square root of R², we can calculate that the correlation coefficient (r) = 0.889. The t-statistic for the industry return coefficient is 1.91/0.31 = 6.13, which is sufficiently large enough for the coefficient to be significant at the 99% confidence interval. Since we have the regression coefficient and intercept, we know that the regression equation is Rstock = l.9X + 2.1. Plugging in a value of 4% for the industry return, we get a stock return of 1.9 (4) + 2.1 = 9.7%.