(13)
(Choose 1 answer)
(See picture)
A. 0.072
B. 13.615
C. -7.018
D. -0.503
E. None of the other choices is correct
An investment specialist claims that if one holds a portfolio that moves in the opposite direction to the market index like the S&P 500, then it is possible to reduce the variability of the portfolio's return. In other words, one can create a portfolio with positive returns but less exposure to risk.
A sample of 26 years of S&P 500 index and a portfolio consisting of stocks of private prisons, which are believed to be negatively related to the S&P 500 index, is collected. A regression analysis was performed by regressing the returns of the prison stocks portfolio (Y) on the returns of S&P 500 index (X) to prove that the prison stocks portfolio is negatively related to the S&P 500 index at a 5%level of significance. The results are given in the following EXCEL output.
Coefficients
4.8660
-0.5025
Standard Error
0.3574
I Stat P-value
13.615 0.0000
0.0716
-7.018 0.0000
What is test statistic if we want to test the claim that the slope of regression line is negative?
Intercept
S&P
