Question

After gathering 60 months of historical stock return data on Sheffler Industries and the Wilshire 5000 index (to approximate the market portfolio) and 60 months of historical data on Treasury bills (to approximate the risk-free rate), you run a linear regression that yields the following results: Alpha: 0.0024 (p-value: 0.0168) Beta: 1.348 (p-value: 0.0000) What can you conclude about this stock?

Answer 1

The stock has a positive alpha and a beta greater than 1.

Step-by-step explanation:

The given information is about running a linear regression on stock return data. The regression results include the alpha and beta values of the stock. Alpha represents the excess return above the risk-free rate, and in this case, it is 0.0024. The p-value associated with alpha is 0.0168, which indicates that it is statistically significant at a significance level of 0.05. Beta represents the sensitivity of the stock's returns to the market returns, and in this case, it is 1.348. The p-value associated with beta is 0.0000, indicating that it is also statistically significant.