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Sep 14, 2015

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Asset Pricing Model

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33 visualizzazioni18 pagineAsset Pricing Model

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Submitted To:

Assistant Professor & Course teacher

FNB 501: QTF

Submitted by:

Lamia Nuzhat Shashi

Rajesh Paul

Mohsi Nihad Mosabbir Ornab

Md. Shariar-Al-Arman

M.A. Naim

Md. Rafiur Rahman

438

439

S. M. Kaiser Ahmed

Md. Shuaib Shahriar Rusho

456

457

MBA Program

Batch: 02

September 14,

2015

Student ID.

422

430

Jahangirnagar University, Savar, Dhaka

440

444

446

Abstract:

With the advancement of technology the world is changing every day and to cope up with the

changing environment we have to change our thinking, life style, behavioural pattern etc. and in case

of financial modelling the same thing also applicable new models are developed to eliminate the

limitations of old one. Over the last decades spontaneous and development which come under the

label of Arbitrage Pricing Model (APT), following the development of Capital Asset Pricing Model

(CAPM) model (Sharpe, 1964 Lintner, 1965) is to develop an accurate estimation model for

expected return. The asset pricing theory is spontaneously developing over several decades. We can

show a developing trend starting from Efficient Frontier and end with FF3 & other multifactor

model.

Efficient Frontier

CML

SML

CAPM

APT

FF3 & Others

The main purpose of our academic coursework is to test the CAPM model and APT model on given

secondary data and experience with hypothesis testing which makes selected models whether fits or

not for asset pricing. Using samples of monthly data (January 2008- December 2014), regression

model has developed to review the CAPM and APT model. The findings show that there are slight

differences between CAPM and APT. Two basic assumptions of APT are efficient markets

information and diversified investment. When portfolios investments are diversified this means

Market Risk Exposure includes most of micro-macroeconomics factors effects. But using APT have

better explanatory power (R2 and Adjusted R2) than CAPM which makes APT model more attractive

to the scholars to suggest use of APT in estimation of expected return. And if we incorporate more

and more independent variable the value of R2 and Adjusted R2 will change and the APT model will

get better explanatory power than before. And FTSE Market Excess Return makes the most

important factors apart from other small affecting factors in most researches. But scholars find that

accepting APT is better than CAPM but it is not error-free to estimate expected return in all

condition. As assumptions makes it difficult to predict actually in the markets. However, FF3 Model

(Fama and French, 1992) has developed further supportive model but in the end like all of the

scholars, it is expected that missing information (Aggelidis and Mandotinos, 2007) will further

improve through development and modification of arbitrage pricing model for the demand of the

time.

Introduction:

As the course work is based on CAPM and APT model testing so we should have a better

understanding of these models. The Capital Asset Pricing Model (CAPM) is widely accepted as an

appropriate technique for evaluating financial assets. It is used to construct portfolios, measure the

performance of investment managers, develop project screening rates for capital budgeting, and

value companies. In case of CAPM the market is considered as a single risk factor and CAPM

doesnt consider other macro economics factor which is the major limitations of CAPM and to

eliminate this limitation the APT model arrives which incorporates many other factors. The

Arbitrage Pricing Theory (APT)(S. A. Ross, 1976) which offers an alternative explanation of the

relationship between risk and return including Macro and Micro-economic factors, while CAPM has

the limitation especially in the emerging markets where the perfect market assumption do not apply,

are only superficially mentioned.

CAPM, APT and FF3 (modified theory of CAPM by using additional two Fama and French

Factors) models are applied for constructing portfolios, measuring the performance of

investment managers, developing project screening rates for capital budgeting, valuation of

companies, determining cost of capital and so forth. Therefore, asset pricing model has

definitely got a wide range of significant and practical implications as a research based

current issue especially in the domain of finance and investment. As APT model adjusted risk

factors and other micro and macro economics variables so we can say that this will provide a

better result than CAPM.

Objectives:

The main objective of this course work is to test the CAPM & APT model to calculate the

risk return relationship of TESCO share price

How we can use the CAPM and APT model in asset pricing and investment decision

Use of CAPM and APT model to estimate expected returns which depends on various

dependent factors including Market Index, Inflation and Retail Sales

Different statistical measurement and their interpretation also done in the course work.

Comparison between CAPM and APT Model is also included in the objective to realize how

these two models differ to give most predictable solution of return.

Literatures Review:

As we consider CAPM and APT model for our test there are thousands of literature are available on

this regard. After development of CAPM as a model of predicting assets return from the market by

Sharpe (1964) and Lintner (1965), in the introductory period this model was best in the world to

predict returns on investment. But for the time-being differences limitations occurred for which new

Asset Pricing Theory, which is developed by Ross (1976) is known as APT Model (or Arbitrage

Pricing Theory). And also CAPM model is expanded by FF3 model by Fama and French (1992,

1993, and 1996) by adding two new factors with the existing market index for more fitted model in

predicting the returns.

CAPM theoretically suggests that a security could be added to a portfolio, based only on its

systematic risk or beta. Fact is that the beta is only priced by the market because all non-systematic

risk is eliminated by diversification. CAPM basic equation is:

( ) = + [( ) ]

Where subscript i refers to individual price; E(ri) is expected return on ith security; (rf) is the return on

risk-free asset; E(Rm) is expected return on market portfolio and i is the measure of risk or

definition of market sensitivity.

An application of Arbitrage Pricing Theory on KSE-100 Index; A study from Pakistan (2000-2005)

by Anam Gul and Naeemullah Khan published in IOSR Journal of Business and Management

(IOSR-JBM) e-ISSN: 2278-487X. Volume 7, Issue 6 (Jan. - Feb. 2013), PP 78-84.In their research

paper they state that- Arbitrage Pricing Theory takes into account more influencing factors other than

the simple systematic risk, as defined in CAPM. In this study, we aim to evaluate stock returns using

Arbitrage Pricing Model considering four macroeconomic factors i.e. Money supply, Interest Rate,

Industrial Production and Foreign Exchange Rate. The prediction of stock returns is done by taking

values of stocks of 37 companies from KSE 100 index on monthly intervals for the period 20002005. The results that came out for this study proved that APT does not prove to be effective in

predicting stock prices in Pakistan.

(M.H.Ebrahimi Sarvolia , A.saleh Ardestani , J.Hajibozorgi , H.Ahmadinia, 2010) did research on

portfolio management in an Investment Company in Tehran stock exchange (TSE) using CAPM,

APT, Systematic and Unsystematic Risk indicators. They examined 12 firms since 21 March 2005 to

20 March 2009, selected from Tehran stock exchange and the results suggested that systematic &

unsystematic risk, CAPM & APT should be observed all together in performing evaluation

procedure of investment companys performances.

Another study was conducted in Australia (Gaoxiang Wang, 2008) in which he studied that whether

the macroeconomic variables defined through Arbitrage Pricing Theory (APT) can explain the

returns on the stock indexes in Australia. This research was based on the returns of stocks listed on

the Australian Stock Exchange (ASX) during the period from 31 March 2000 to 31 December 2007.

The research concluded that industry indices' returns can only be explained by three to five of the

thirteen macroeconomic variables selected in the research. Empirical results suggest that

macroeconomic variables, used in an APT framework, can explain consumer discretionary, energy,

financial, IT, and materials, price index returns, but cannot explain other index returns. Generally,

APT is a desirable model in examining the ASX200, as it explains half of the industry indices'

returns.

Another important study was conducted in Indonesia (Erie Febrian, Aldrin Herwany, January 2010)

in which the researchers wanted to investigate the ability of CAPM and APT in explaining the

additional returns of portfolio of stocks traded in Jakarta Stock Exchange (JKSE). They used data

from three important economic eras i.e. pre-crisis period (1992-1997), crisis period (1997-2001), and

post-crisis period (2001-2007). The results came out in the favour of APT as it proved that Beta is

not the only factor that can explain the portfolios additional returns. APT has proven to be right in

explaining the portfolio excess returns in the periods in which they observed i.e. they found out that

excess return averages are found to be consistently negative. They also found out that risk-premiums

vary over the observation periods in which the study was conducted.

Models like APT for more factors which affect returns. But in 2007, Aggelidis and Manditinos found

that APT is better than CAPM in Athens Stock Exchange but APT does not explain the overall

variance properly, maybe there is some missing information and that is why APT fails to explain

fully the returns covariance and means returns. There can be several possible explanations (Cheng,

1995). First, risk and expected return may not be stationary as it is assumed not to change during the

period; secondly, APT pricing relationship could hold only in some months of the year, and there is

evidence of a January effect on the capability of the APT to explain the return-risk-relationship

(Gultekin and Gultekin, 1987); and thirdly, there is a possibility of non-linear pricing relationships.

In the end, it is recommended that higher-order factor models would provide more accurate

predictions.

Similar problems arise in (Huberman and Wang, 2005; Aggelidis and Manditinos, 2007) in

Burmeister and McElory (1988) article where January effects also found, rejection of CAPM in favor

of the APT; however, it cannot reject the APT restrictions on the linear factor model.

The main purpose of this report is to assess the role and practical implementation of CAPM and APT

model as the mechanism for investment strategy. To serve the purpose the work has mainly

emphasised on quantitative analysis. In testing the models, the time series (historical) data have been

considered where the values of one or more variables are observed at different points in time. Data

has already been given and the process used in the research is the linear regression line.

The Asset Pricing Model is based on CAPM (Sharpe 1964, Linter 1965). CAPM states that it is only

degree of systematic risk as expressed by beta ( ) that will determine the degree of returns for

diversified portfolio. When we should no longer rely on /SD at portfolio (as per Marketing 1954,

Tofin 1959), CAPM does not consider Macro/Micro Factor, CAPM consider the market index is the

only risk as single risk factor. Basic CAPM equation as follows:

( ) = + ( )

In the basic model of CAPM can be measured by the formula:

=

(,)

Also it can be measured by the regression line and here we calculate the Beta by regression line

between Given TESCO share Excess Return and FTSE Market Index.

Annual Return & Excess Return Data:

Calculated Annual Return and Excess Return for TESCO share and FTSE market index table is

given below based on these two formulas:

Annual Rate of Return = (Pt Pt 1) / Pt 1 *100

Where,

Pt

= Current Price

Pt 1 = Beginning Price

Excess Rate of Return

= Rp - Rf (Treasury Bills Rate)

As in the early we stated that basic model of CAPM: ( ) = + ( ) where the p

can be measured by Regression model between TESCO Share Excess Return and FTSE Market

Index Excess Return (Data from Annual & Excess Return Table 01). Regression Model will be:

= + 1 1 +

[Where, = alpha or intercept between two data set, 1 is the coefficient between TESCO Excess

Return and FTSE Market Index Excess Return; and error terms]

As per Regression model for CAPM, it has been estimated from the Excel Output:

o R = .943a;

o R Square (R2) = .890;

o Adjusted R Square (R2) = .888

Sample Interpretations:

From output on dependent variable TESCO excess return, we can interpret the result as:

If FTSE excess return goes up by $1 TESCO share will also go up by $1.386.

Alpha TESCO:

From SPSS output we have got = - 1.202 which is the constant or intercept value between TESCO

Share Excess Return and FTSE Market Index Excess Return. But this is inclusive because of P-value

and t-value of the result, because:

As P-value of Alpha is .230 which is higher than 0.05 (at 95% interval) which mean it is

insignificant.

t-value of Alpha is -1.210 which is lower than 2. As t < 2 then it is inclusive with TESCO

Share Excess Return.

B TESCO (Beta):

There is only one beta result as CAPM model only consider the market index as market risk, no other

Macro or Micro factors. Beta represent degree of systematic risk. Beta for TESCO share is:

= 1.386

P-value of is 0.00 which lower than .05 so value is significant.

t-value of is 23.778 which higher than 2 (t > 2) which indicates there is relation between

TESCO Excess return and FTSE Market Index Excess return.

R Squared:

R Squared (R2) is an measure of

Overall goodness of fit of the model.

Explanatory power of the model indicating how closely the TESCO excess return is

associated with Market, Inflation and Retail Sales.

It represents whether the model fits the real data set

R2 = 1 represents linearly fits the data set

Here, R square (R2) =.890 which indicates that 89% of the variability in TESCO returns is

explained by explanatory variable Market Index (FTSE). R2 shows very good explanatory

power and linearly fits data set.

Correlation coefficient:

Correlation coefficient or Multiple Regression which is denoted by R refers to the degree of

relationship whose value range is 0 to +1. Near to 1 means there is a high degree of relationship

between variables. From the SPSS output, we get

R = 0. 943a

This result shows high degree of relationship between FTSE market Index and TESCO Share excess

return variables.

Arbitrage Pricing theory is proposed alternative in predicting require rate of return in spite of CAPM

in stock market. It is also the expansion of CAPM beta where CAPM consider only one beta (Stock

to Market Index), however APT consider multi-factor beta to determine the required rate of return

such as Market Index, Inflation, Retail Sales, Central Bank Rate etc. APT or Arbitrage Pricing theory

works through regression line where dependent variable expressed as of independent variables beta.

The regression equation of APT by most scholars is:

= + 1 1 + 2 2 + 3 3 + + +

Where,

Y = required rate of return for individual stock.

= incept between dependent and independent variables

1, 2, 2 n are the beta for different factors regarding returns

X1, X2 Xn is the individual stock which affect by beta from independent variables.

is the independent error terms.

SPSS Output:

As per multi-factor asset pricing model using Arbitrage Pricing Theory (APT), it has been estimated

from the SPSS Output:

TESCO excess return = - 4.512 + 1.343*FTSE excess return - .070*Inflation Rate + 1.026

*Retails Sales Rate +.

R =.946a;

R Square (R2) = .895;

Adjusted R Square (R2) = .891

Sample Interpretations:

From the SPSS output on dependent variable TESCO excess return, we can interpret the result as:

If FTSE excess return goes up by $1 TESCO share will also go up by $1.343 by holding

Inflation Rate and Retails Sales Rate constant.

Holding FTSE excess return and Retails Sales Rate constant, if Inflation rate goes up by $1

TESCO share will go down by 7 pence.

Holding FTSE excess return and Inflation rate unchanged, if retail sales rate goes by $1

TESCO share price will all go up by $1.026

Hypothesis Testing:

Hypothesis Testing is important for the reasons below:

Significance testing for accepting a result of a model based on a sample.

To infer the result of an operation based on sample.

Procedure used to accept/reject the null hypothesis or alternative hypothesis

Whether the variable support the model scientifically or not.

In the model i = + 1x1 + 2x2 + 3x2 + - the collective name for , 1, 2, 3 are the

Coefficients (or parameters). Testing of the results from these parameters is included in Hypothesis

testing. In every test, we have two hypothesis

H0 = null Hypothesis and H1 = alternative hypothesis

Where it is expected to have the null hypothesis rejected and alternative hypothesis is accepted

through different hypothesis testing.

In order to carry out the hypothesis test we need to consider the estimated coefficient in relation to

the size of its associated standard error.

In t-statistic (or t-ration) hypothesis ratio if the result is t 2 (equal or higher than 2) than it is

assumed that there is a relation but on the contrary there is no relation between dependent and

independent variables.

Hypothesis:

H1: 0 (or t 2, then there is relation between variables)

Parameters

Alpha

Hypothesis

H0: true = 0

H1: 0

-1.947< 2

H1 rejected &

H0 accepted

As intercept or

(alpha) is not

significant from

0, so it is not

meaningful

SPSS Result

Accept & Reject

Interpretation

FTSE Excess

Return

H0: true 1 = 0

H1: 1 0

21.633> 2

H0 rejected & H1

accepted

As FTSE Excess

Return is

significant from

0, so market

index has

relation with

TESCO

Inflation Rate

H0: true 2 = 0

H1: 2 0

-.122< 2

H1 rejected & H0

accepted

As Inflation (%)

is not significant

from 0, so

Inflation has no

relation with

TESCO

H0: true 3 = 0

H1: 2 0

1.823 < 2

H1 rejected & H0

accepted

As Retail Sales

(%) is not

significant from 0,

so it has no

relation with

TESCO

P-value:

For 95% interval if P > .05 then reject null hypothesis (H0) and P < .05 then accept the alternative

hypothesis (H1). So, hypothesis are:

H0: a = 0 (P > .05; no relation and reject)

H1: a 0 (P < .05; there is relation and accept)

Parameters

Hypothesis

SPSS Result

Accept &

Reject

Interpretation

Alpha

H0: true = 0

H1: 0

.056 > .05

H1 rejected &

H0 accepted

Intercept or

alpha value is

not meaningful

FTSE Excess

Return

H0: true 1 = 0

H1: 1 0

.000 < .05

H0 rejected & H1

accepted

FTSE Excess

Return has relation

with TESCO share

excess return

Inflation Rate

H0: true 2 = 0

H1: 2 0

.903 > .05

H0: true 3 = 0

H1: 2 0

.073 > .05

H1 rejected & H0

accepted

Inflation (%) has

no relation with

TESCO

H1 rejected & H0

accepted

Retail Sales (%) has

no relation with

TESCO

In the model summary of SPSS output, the R2 variable gives the proportion of variance that can be

predicted by the regression model using the data provided (Rahman, 2006). So, R2 is an measure of

Overall goodness of fit of the model.

Explanatory power of the model indicating how closely the TESCO excess return is

associated with Market, Inflation and Retail Sales.

It represents whether the model fits the real data set

R2 = 1 represents linearly fits the data set

On the other hand Adjusted R2 is the modified R2 that adjusts the degree of explanatory variables.

The relation between R2 and adjusted R2 is that if R2 increase, Adjusted R2 should be increased but

never exceeds R2.

Here, R square (R2) = .895 which indicates that 89.5% of the variability in TESCO returns is

explained by variations in explanatory variables like Market Index (FTSE), Inflation and

Retail Sales. R2 result shows very good explanatory power and linearly fits data set.

The F-test:

F-test is used to test the R2 which justify the reliability of overall model (but t-value is for individual

variable). The hypothesis for F-test are:

H0: the true R2 = 0 (no relationship)

H1: the true R2 0 (there is a relationship)

Here, significance F less than < .05 or Sig. F Change .00<.05 which means alternative hypothesis H1

is accepted and there is much evidence of overall relationship in the model.

Durbin-Watson d Test:

Auto-correlation is a concept if the variables have the tendency to follow negative or positive.

Normally error terms mean = 0 and no auto-correlation is good subject to biased negative or positive

tendency.

Auto-correlation complicates statistical analysis by altering the variance of variables, changing the

probabilities that statisticians commonly attach to making incorrect statistical decisions (Griffith

1987). The mechanism which has used for testing auto-correlation is DW d test which is calculated

from the residuals. So, Durbin-Watson (D.W) d test is:

To test the auto-correlation we have to test D.W d test

Auto-correlation complicates the statistical decisions by changing the values of variances.

Successive errors terms have the same sign error.

The Hypothesis for D.W d test are

H0: = 0 (means there is no auto-correlation)

H1: > 0 (means there is positive auto-correlation)

H1: < 0 (means there is negative auto-correlation)

Also it is important to see the result from Durbin-Watson table from which we can formulate, if

du > DW value, then H0: accepted.

dL < DW value, then H1: accepted.

dL > DW value, the test is inclusive.

In the model summary, the Durbin-Watson value is 1.046 which is higher than 0, so we could

have positive auto-correlation indicating that successive error terms have the same sign. Here,

the DW value = 1.05 less than dL = 1.525 (using DW table). Therefore, we would reject the null

hypothesis and conclude that there is positive auto-correlation.

The value of tolerance close to 0 indicates that a variable is almost a liner combination of the

other independent variables and such data are called multi-collinear (Norusis, 2005).

If the tolerance statistic is below .2, multicollinearity can be biasing the results (Menard,

1995). Also there is no-correlation between variables.

Strong relationship between two, then if one increases then other will increase but dependent

may not increase. So it may be biased.

H0: a = 0 (or H0 < .02 multicollinearity can bias the result)

H1: a 0 (or H1 > .02 multicollinearity cannot bias the result)

Since tolerance value of X variables (.863, .908, .789) all are close to 1, so H1 Hypothesis is

accepted which indicates X variables are independent and there is no room for

multicollinearity.

Conclusion:

The findings shows that there are some differences between CAPM and APT. As the assumptions of

arbitrage pricing model holds two basic assumptions of APT efficient markets information and

diversified investment. When portfolios investment are diversified this means Market Risk Exposure

includes most of micro-macroeconomics factors effects. But using APT and Extension of APT have

better explanatory power (R2 and Adjusted R2) then CAPM which makes APT model more attractive

to the scholars to suggest use of APT in estimation of expected return. But scholars find that

accepting APT is better than CAPM but it is not error-free to estimate expected return in all

condition. As assumptions makes it difficult to predict actually in the markets.

References:

Turgut Trsoy, Nil Gnsel & Husam Rjoub, 2008. Macroeconomic Factors, the APT and the

Istanbul Stock Market, International Research Journal of Finance and Economics, Issue 22, pp. 5056.

M.H.Ebrahimi Sarvolia , A.saleh Ardestani , J.Hajibozorgi , H.Ahmadinia, 2010. A Study of

Portfolio Management in Accepted Investment Company in Tehran stock exchange using of CAPM,

APT, Systematic and Unsystematic Risk Indicators", Working Paper Series

Erie Febrian, Aldrin Herwany, January 2010. CAPM and APT Validation Test Before, During, and

After Financial Crisis in Emerging Market: Evidence from Indonesia, The International Journal of

Business & Finance Research, Vol.10, No. 1.

[9] Gaoxiang Wang, 2008.Test of Macroeconomic Variables Through Arbitrage Pricing Theory in

Different Industry Indices in the

Australian Stock Market, Working Paper Series

Aggelidis, T. N. V. and Maditinos. D. (2007). Testing the relation between risk and returns using

CAPM and APT: The Case of Athens Stock Exchange (ASE).

Appendix

rate of

return(%)

32.2219

42.9810

44.7131

25.2287

19.6625

35.2375

8.5283

5.8824

17.2381

12.7188

25.1611

28.0985

23.9028

14.8935

23.1477

9.4569

18.4530

11.9330

19.5834

19.9627

18.2454

27.2817

23.2031

16.7503

18.0036

26.6303

30.6633

41.1331

25.0076

27.7223

13.9357

24.9561

30.4471

20.4998

18.9647

20.9191

18.1726

7.5177

-2.5475

2.7285

11.9481

1.1003

0.1770

-1.5413

-1.8684

1.7723

-9.5870

-14.5253

mkt return

(%)

34.8164312

27.75101362

26.57398659

18.28390167

11.83342391

13.05814555

7.156054785

7.238199483

12.03075375

8.106353247

9.246198852

9.213184862

11.61903891

11.23512867

11.86907422

7.13838755

12.78675272

14.8743421

20.642545

20.0985462

20.87098918

15.96145644

16.87865905

18.09685782

19.96296934

18.45992322

24.01524984

28.25180952

17.45625868

15.91339638

13.59410152

13.09787493

11.09516751

17.86781264

13.81952172

13.15059255

9.673013358

8.191819006

7.718277143

9.151470598

17.89087543

14.71097662

9.48114024

8.411277103

8.734805471

9.98735858

5.161145568

2.025504281

Excess

Return (Rp)

28.3919

39.0810

40.7331

21.1287

15.4725

30.8975

3.9483

1.2424

12.5181

8.0288

20.4811

23.4385

19.2228

10.2335

18.4577

4.6869

13.7530

7.2730

14.9634

15.5027

13.8354

22.8817

18.8031

12.3303

13.5736

22.2403

26.2833

36.7331

20.5876

23.2223

9.3957

20.4261

25.6971

15.6598

14.0247

15.9091

13.0926

2.2177

-7.8875

-2.6015

6.5181

-4.4497

-5.4930

-7.3113

-7.6584

-3.9177

-15.1970

-20.0253

Mkt acess

return (Rm)

30.99

23.85

22.59

14.18

7.64

8.72

2.58

2.60

7.31

3.42

4.57

4.55

6.94

6.58

7.18

2.37

8.09

10.21

16.02

15.64

16.46

11.56

12.48

13.68

15.53

14.07

19.64

23.85

13.04

11.41

9.05

8.57

6.35

13.03

8.88

8.14

4.59

2.89

2.38

3.82

12.46

9.16

3.81

2.64

2.94

4.30

-0.45

-3.47

-20.5887

-21.9558

-13.1370

-16.1539

-16.8092

-29.0510

-23.1270

-23.5400

-32.5430

-49.6175

-39.2977

-40.0608

-48.3239

-51.1159

-62.1582

-45.8430

-42.6720

-26.3433

-24.8736

-14.6876

3.0778

2.9914

9.6665

26.8650

-6.592482814

-5.792488463

-10.84792018

-7.61890571

-10.36554512

-16.11126452

-16.41502894

-12.01632888

-25.12051952

-36.78013503

-34.95658164

-32.7802913

-30.7049765

-35.95296414

-32.2126373

-29.89993355

-26.91596426

-23.93852274

-14.39468065

-12.13201845

6.084544243

7.774913106

18.11957882

19.25958113

-25.8887

-27.0758

-18.1570

-21.0339

-21.6392

-34.0010

-28.2370

-28.6200

-37.4930

-54.3575

-42.9777

-42.0508

-49.6139

-52.0059

-62.8782

-46.4430

-43.3020

-26.8733

-25.3736

-15.1276

2.6878

2.4914

9.2265

26.4750

-11.89

-10.91

-15.87

-12.50

-15.20

-21.06

-21.53

-17.10

-30.07

-41.52

-38.64

-34.77

-31.99

-36.84

-32.93

-30.50

-27.55

-24.47

-14.89

-12.57

5.69

7.27

17.68

18.87

Descriptive Statistics

Mean

TESCO EXCESS RETURN

FTSE EXCESS RETURN

Std. Deviation

-.7489

25.21511

72

.3271

17.16710

72

Correlations

Pearson Correlation

TESCO EXCESS

FTSE EXCESS

RETURN

RETURN

1.000

.943

.943

1.000

.000

.000

72

72

72

72

Sig. (1-tailed)

FTSE EXCESS RETURN

Variables Entered/Removedb

Variables

Model

Variables Entered

FTSE EXCESS

Removed

Method

. Enter

RETURNa

a. All requested variables entered.

Model Summaryb

Change Statistics

Mode

.943a

Square

.890

Square

.888

the Estimate

8.42871

b. Dependent Variable: TESCO EXCESS RETURN

R Square

Change

Change

.890

565.416

df1

df2

1

70

Sig. F

Durbin-Wats

Change

on

.000

.999

ANOVAb

Model

Sum of Squares

Regression

Mean Square

40168.918

40168.918

4973.017

70

71.043

45141.935

71

Residual

Total

df

Sig.

.000a

565.416

b. Dependent Variable: TESCO EXCESS RETURN

Coefficientsa

Standardiz

Model

1

Unstandardized

ed

95% Confidence

Coefficients

Coefficients

Interval for B

B

(Constant)

FTSE EXCESS

RETURN

Std. Error

Beta

Sig.

Correlations

Lower

Upper

Zero-ord

Bound

Bound

er

-1.202

.994

-1.210

.230

-3.184

.779

1.386

.058

.943 23.778

.000

1.269

1.502

RETURN

Coefficient Correlationsa

FTSE EXCESS

Model

1

RETURN

Correlations

1.000

Covariances

.003

Residuals Statisticsa

Minimum

Predicted Value

Maximum

Mean

Std. Deviation

-58.7297

41.7358

-.7489

23.78570

72

-1.60502E1

20.01771

.00000

8.36914

72

-2.438

1.786

.000

1.000

72

Std. Residual

-1.904

2.375

.000

.993

72

Residual

.943

Partial

.943

Part

.943

Descriptive Statistics

Mean

AEXCRT

Std. Deviation

-.7489

25.21511

72

.3271

17.16710

72

INFR

2.7624

1.80250

72

RETSAL

3.4290

1.98014

72

FTSEXCRT

Correlations

AEXCRT

Pearson Correlation

AEXCRT

Sig. (1-tailed)

FTSEXCRT

INFR

RETSAL

1.000

.943

.076

.415

FTSEXCRT

.943

1.000

.062

.367

INFR

.076

.062

1.000

.299

RETSAL

.415

.367

.299

1.000

AEXCRT

.000

.263

.000

FTSEXCRT

.000

.302

.001

INFR

.263

.302

.005

RETSAL

.000

.001

.005

AEXCRT

72

72

72

72

FTSEXCRT

72

72

72

72

INFR

72

72

72

72

RETSAL

72

72

72

72

Variables Entered/Removedb

Variables

Model

Variables Entered

RETSAL, INFR,

Removed

Method

. Enter

FTSEXCRTa

a. All requested variables entered.

b. Dependent Variable: AEXCRT

Model Summaryb

Change Statistics

Model

.946a

R Square

Adjusted R

Std. Error of

R Square

Square

the Estimate

Change

Change

.895

.891

FTSEXCRT

b. Dependent Variable: AEXCRT

8.33874

.895

193.734

df1

df2

3

68

Sig. F

Durbin-Wats

Change

on

.000

1.046

ANOVAb

Model

1

Sum of Squares

Regression

Mean Square

40413.580

13471.193

4728.355

68

69.535

45141.935

71

Residual

Total

df

Sig.

.000a

193.734

b. Dependent Variable: AEXCRT

Coefficientsa

Standardiz

ed

Model

1

Unstandardized

Coefficient

95% Confidence

Coefficients

Interval for B

(Constan

Std. Error

Beta

Sig.

Collinearity

Correlations

Lower

Upper

Zero-ord

Bound

Bound

er

Statistics

Toleran

Partial

Part

ce

VIF

-4.512

2.317

-1.947

.056

-9.136

.112

1.343

.062

.914 21.633

.000

1.219

1.466

.943

.934

.849

.863

1.159

INFR

-.070

.576

-.005

-.122

.903

-1.220

1.079

.076

-.015

-.005

.908

1.101

RETSAL

1.026

.563

.081

1.823

.073

-.097

2.149

.415

.216

.072

.789

1.268

t)

FTSEXC

RT

Collinearity Diagnosticsa

Variance Proportions

Dimensi

Model

on

Eigenvalue

2.692

1.000

.02

.00

.03

.02

1.007

1.635

.00

.83

.00

.00

.189

3.776

.09

.03

.93

.25

.112

4.896

.88

.14

.04

.72

Condition Index

(Constant)

FTSEXCRT

INFR

RETSAL

Residuals Statisticsa

Minimum

Predicted Value

Maximum

Mean

Std. Deviation

-59.4785

40.6214

-.7489

23.85803

72

-1.59243E1

17.71840

.00000

8.16067

72

-2.462

1.734

.000

1.000

72

Std. Residual

-1.910

2.125

.000

.979

72

Residual

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