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Capm Facebook

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Running Header: SYSTEMATIC RISK AND CAPM 1
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SYSTEMATIC RISK AND CAPM 2
A. From the regression analysis based on the 60 monthly returns for a period of between 1st June
2012 and 1st December 2016, the following regression equation was obtained;
Excess return (Facebook) = -0.442RMRF + 4.543.
Based on the equation above, Our Beta (B) is -0.442 and the intercept are 4.543 which is the
abnormal return or excess return during this period. For interpretation this model means; a unit
increase in RMRF (excess market return) leads to a change in the decrease of 0.442 in the excess
return for Facebook. However, based on the regression statistics; we have an R2 (coefficient of
determination) which is 0.0012 (0.12%), this means that 0.12% change in excess returns for
Facebook is explained by RMRF (excess market returns). Or one can only say that 0.12% change
in excess return for the Facebook is explained by the model. We also have adjusted R square
(Adjusted coefficient of determination) which is -0.0176 (-1.76%), this means that after the
model has taken care of factors that do not influence in any way the change in excess returns for
the Facebook then -1.76% of change in excess returns for Facebook is explained by RMRF
(excess market returns).
From this model, we have a probability value (P-value) of 0.7985 which is greater than 0.05
(our alpha level of significance) under RMRF (excess market returns). This implies that RMRF
(Excess market returns) is not significant.

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Running Header: SYSTEMATIC RISK AND CAPM Institutional Affiliation Name Date 1 SYSTEMATIC RISK AND CAPM 2 A. From the regression analysis based on the 60 monthly returns for a period of between 1st June 2012 and 1st December 2016, the following regression equation was obtained; Excess return (Facebook) = -0.442RMRF + 4.543. Based on the equation above, Our Beta (B) is -0.442 and the intercept are 4.543 which is the abnormal return or excess return during this period. For interpretation this model means; a unit increase in RMRF (excess market return) leads to a change in the decrease of 0.442 in the excess return for Facebook. However, based on the regression statistics; we have an R2 (coefficient of determination) which is 0.0012 (0.12%), this means that 0.12% change in excess returns for Facebook is explained by RMRF (excess market returns). Or one can only say that 0.12% change in excess return for the Facebook is explained by the model. We also have adjusted R square (Adjusted coefficient of determination) which is -0.0176 (-1.76%), this means that after the model has taken care of factors that do not influence in any way the change in excess returns for the Facebook then ...
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