AAPL Daily Data Regression Analysis

  1. In a seperate excel sheet: Report the summary statistics (mean, median, standard deviation, skewness, kurtosis, minimum, maximum, 25th percentile, 75th percentile) for AAPL daily holding perdiod return from February 1, 2017 to December 29, 2017; [Hint: Express return in percentage with 2 decimals, round skewness and kurtosis to 2 decimals] Comment on the summary statistics.
  2. In a separate excel sheet: Estimate the CAPM relationship using the data given, and report the regression output.
  3. In the regression output sheet: What is alpha and beta values from the regression output; Interpret the financial meaning of the alpha and beta you get; [Hint: Interpret beta from a risk perspective] Comment on the statistical significance of the intercept and the independent variable; What is the Adjusted R Square value in this regression and comment on the magnitude.

Sample Solution