Kizspy | Question: 65
(Choose 1 answer)
(See picture)
Α. -7.018
Β. -0.503
C. 0.072
D. 13.615
E. None of the other choices is correct
FUOVERFL
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
Standard Error
T Stat P-value 13.615 0.0000 -7.018 0.0000
Intercept S&P
4.8660 -0.5025
0.3574 0.0716
What is test statistic if we want to test the claim that the slope of regression line is negative?
