How are returns on common stocks in overseas markets related to returns in U.S.

Question

How are returns on common stocks in overseas markets related to returns in U.S. markets? Measure U.S. returns by the annual rate of return on the Standard & Poor's 500-Stock Index and overseas returns by the annual rate of return on the Morgan Stanley EAFE (Europe, Australasia, Far East) index. Both are recorded in percents. Regress the EAFE returns on the S&P; 500 returns for the 30 years 1970 to 2000. Here is part of the output for this regression. The regression equation is EAFE = 4.74 + 0.666 S&P.; (Round your answer for F to two decimal places and your answers for SS and MS to one decimal place.)for Complete the analysis of variance table by filling in the missing boxes. (Round your answer for s to two decimal places and your answer for r^2 to three decimal places.) What is s? What is r^2?

Explanation / Answer

source

Df

ss

ms

F

Regression

1

1404

1404

3.13

error

28

12578.6

449.2

Total

29

13982.6

S=sqrt(449.2) =21.19

R2 =1404/13982.6 =0.1004

=0.100 ( three decimals)

source

Df

ss

ms

F

Regression

1

1404

1404

3.13

error

28

12578.6

449.2

Total

29

13982.6

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