Im intentionally not posting the data, I would just like someone to explain how
ID: 2796170 • Letter: I
Question
Im intentionally not posting the data, I would just like someone to explain how to do each step, not actually do it for me. Thanks
1. Calculate monthly returns for SP500, JPMorgan Chase & Co., Bank of America Corporation, Wells Fargo & Company, and Citigroup Inc.
2. Estimate a regression line using returns of JPMorgan Chase & Co. as dependent variable and returns of SP500, Bank of America Corporation, Wells Fargo & Company, and Citigroup Inc.as independent variables.
3. Interpret the estimated coefficients of your regression line and discuss their finance implications, in writing, in 6 lines
Explanation / Answer
1. Monthly data can be extracted from number of websites like finance.yahoo, google finance, reuters etc. So, download the monthly historical data of each for the specified time period in excel sheet.
2. Regression is done by using two set of data. Here set all the monthly data of each company column wise in excel sheet. Then go to data tab at the top ribbon of excel sheet. On click, select the regression from the list. Then, select the JP Morgan Chase & Co data as a dependent variable and other remaining data as independent variable by selecting all at a time. Finally run the regression. The output will come in next excel sheet.
3. In result, look at the figures mentioned in coefficient heading and corresponding p values. If p value is less than 0.05 then it concludes that corresponding coefficient is significant. It means, the corresponding variable has significant relation with dependent variable (JP Morgan Chase & Co). If p value is greater than 0.05, it means that variable has no siginificant relation with dependent variable.
So in this way, we can find which set of data of variable has significant relation with JP Morgan Chase & Co and which which one has not.
Significant relation means, by changing the value of independent variable, the value of dependent variable also changes significantly.