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You are interested in testing whether stock volatility, controlling for size and overall market returns, has...

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Statistics

You are interested in testing whether stock volatility,controlling for size and overall market returns, has an impact onreturns. You conduct a regression on 89 observations, using monthlyreturns, specified as follows: Ri = b0 + b1 Volatilityi + b2 Sizei+ b3 Rmarket + error Where Volatility is measured as standarddeviation of returns in the previous month, Size is the natural logof total assets, in millions, and Rmarket is the contemporaneousmarket index return.

Your regression results are as follows:

CoefficientStandard error
Incercept0.230.13
Volatility0.770.19
Size0.570.28
R market0.190.19

The regression sum of squares is 0.12 and the residual sum ofsquares is 1.92.

What is the F statistic for testing whether the threeindependent variables are jointly statistically related toreturns?

(Bonus question: is the regression statistically significant atthe 5% level? Use the FDIST function to find the p-value.)

The answer should be 1.77 and the hint professor gave was\"Review how to calculate the F statistic for a multipleregression.\" Please do the problem on excel and show all the steps.Thank you.

Answer & Explanation Solved by verified expert
3.6 Ratings (601 Votes)
The problem is solved in excel and the formula along withexplanation of the formula is givenFormulas to be    See Answer
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