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The index model in investment analysis states that the return of a stock is linearly related to the return of
the market portfolio. To justify this statement, we have selected 7 international company and S&P 500
index as market portfolio. Our objective is to take S&P 500 return as explanatory variable and individual
selected companies return as explained variable and tries to find out their linear relationship using
regression analysis. Later we will interpret the findings from those regression analyses.
Selected stocks
Amazon.com, Inc. (AMZN), Arotech Corporation (ARTX), AstroNova, Inc. (ALOT), BCB Bancorp Inc.
(BCBP), Microsoft Corporation (MSFT), Netflix, Inc. (NFLX), Yahoo! Inc. (YHOO)
Data
Monthly stock price as well as S&P 500 index price of last 5 years has been collected from
http://finance.yahoo.com/ , Return has been calculated by Rt= lnPt-lnpt-1. 3 stock portfolio and 7 stock
portfolio return is the mean return of the included stocks. Summary of the data table is given below:
Date
01-12-10
03-01-11
01-02-11
01-03-11
01-04-11
02-05-11
01-06-11
01-07-11
01-08-11
01-09-11
03-10-11
01-11-11
01-12-11
03-01-12
01-02-12
01-03-12
02-04-12
01-05-12
01-06-12
02-07-12
01-08-12
04-09-12
01-10-12
01-11-12
03-12-12
02-01-13
01-02-13
01-03-13
01-04-13
01-05-13
03-06-13
01-07-13
01-08-13
03-09-13
01-10-13
01-11-13
02-12-13
02-01-14
03-02-14
03-03-14
01-04-14
01-05-14
02-06-14
01-07-14
01-08-14
AMZN
-5.93%
2.13%
3.87%
8.35%
0.45%
3.89%
8.45%
-3.33%
0.46%
-1.27%
-10.47%
-10.51%
11.63%
-7.89%
11.96%
13.55%
-8.54%
7.00%
2.14%
6.22%
2.41%
-8.80%
7.91%
-0.47%
5.67%
-0.46%
0.84%
-4.88%
5.89%
3.11%
8.13%
-6.96%
10.68%
15.22%
7.81%
1.30%
-10.60%
0.95%
-7.37%
-10.08%
2.73%
3.84%
-3.70%
7.99%
-5.02%
Monthly Return
ARTX
A LOT
BCBP
MSFT
NFLX
YHOO
Port(3) Port(7) S&P 500
-3.04%
0.05% 10.06%
-0.66% 19.76%
-3.11%
-2.33% -1.85%
2.24%
-12.48%
-4.43%
3.47%
-3.65%
-3.52%
1.72%
1.10%
0.71%
3.15%
-2.12%
4.72%
-7.39%
-4.58% 14.02%
1.69%
5.39%
3.87%
-0.10%
-15.42%
-0.13%
6.12%
2.07%
-2.17%
5.94%
6.55%
6.03%
2.81%
53.55%
3.90%
1.46%
-2.92% 15.18%
-6.72%
2.76%
2.00%
-1.36%
6.15%
2.00%
3.40%
3.88%
-3.04%
-9.57%
2.76%
2.23%
-1.84%
-17.50%
-3.61%
-3.58%
5.24%
1.25% -13.81%
7.07%
5.50%
-2.17%
-5.04%
-5.20% -10.16%
-2.33% -12.38%
3.82%
-4.62% -4.23%
-5.85%
-14.84%
-5.93%
-7.52%
-6.64% -72.99%
-3.29%
-6.79% -6.68%
-7.45%
2.63% 13.10%
7.01%
6.76% -32.21% 17.19%
-2.68% -0.62% 10.23%
-22.48%
0.13%
3.76%
-3.27% -24.06%
0.45% -10.77% -9.10%
-0.51%
-2.47%
-3.94%
0.90%
1.47%
7.12%
2.64%
-9.44% -7.28%
0.85%
-1.68%
5.62%
1.77% 12.88% 55.09%
-4.18% 14.22% 12.47%
4.27%
5.76%
0.50%
2.91%
7.87%
-8.21%
-4.23%
-7.63% -5.43%
3.98%
-0.80%
4.62%
-4.40%
1.63%
3.82%
2.60% 11.09%
9.07%
3.09%
-4.12%
0.59%
3.44%
-0.75% -36.15%
2.08% 10.25%
8.49%
-0.75%
-21.48%
-3.00%
-0.02%
-8.60% -23.37%
-1.95%
-9.00% -8.38%
-6.47%
4.08%
-2.09%
1.36%
4.68%
7.66%
3.80%
6.75%
6.23%
3.88%
-12.78%
2.60%
1.91%
-3.73% -18.63%
0.06%
1.41%
0.85%
1.25%
-9.53%
-0.25%
-1.92%
5.14%
4.93%
-7.81%
5.99%
4.97%
1.96%
17.19%
7.27%
2.60%
-3.50%
-9.26%
8.69%
2.19%
2.07%
2.39%
4.12%
-3.16%
-4.37%
-4.19% 37.54%
5.24%
-6.95% -5.98%
-2.00%
10.54%
6.66%
-9.59%
-6.15%
3.07% 10.85%
7.66%
6.31%
0.28%
-6.58% 12.91%
4.44%
0.34% 12.50%
5.85%
0.55%
0.92%
0.70%
6.58%
-0.90%
0.74%
2.73% 57.92%
-1.37%
8.72%
7.50%
4.92%
0.00%
-1.31%
2.80%
2.09% 12.95%
8.21%
0.64%
1.23%
1.10%
5.31%
-2.30%
0.52%
2.87%
0.64%
9.91%
0.72%
1.46%
3.54%
-9.96%
2.88%
6.95% 14.58% 13.24%
4.97%
-2.88% -0.78%
1.79%
40.86%
3.78%
-0.79%
5.99%
4.60%
6.16%
5.69%
5.71%
2.06%
-5.20%
7.81%
3.08%
-1.04%
-6.94%
-4.55%
2.26%
1.51%
-1.51%
-7.62%
3.31%
-0.09%
-8.14% 14.68% 11.14%
8.62%
7.25%
4.83%
29.66%
2.95%
1.79%
5.49% 14.95%
-3.51%
-4.21% -3.17%
-3.18%
-6.63%
-6.03%
2.33%
-0.36%
8.54% 20.14%
9.91%
9.64%
2.93%
-5.88% 14.42%
1.83%
6.20%
4.20%
-0.70% 13.93% 12.06%
4.36%
33.21%
8.98% 17.19%
8.16% 12.60% 11.57%
8.38%
8.85%
2.77%
41.70%
-2.13%
3.56%
-1.91%
0.65%
8.94%
1.13%
1.75%
2.33%
-26.78%
1.25%
-5.19%
1.14% 10.60% -11.60%
-7.62% -7.38%
-3.62%
24.46%
-0.37%
4.85%
1.98%
8.50%
7.13%
1.97%
2.53%
4.22%
60.11% -13.02%
-1.52%
6.76% -23.58%
-7.43%
-9.73% -7.52%
0.69%
-58.36%
5.56%
1.67%
-1.45%
-8.90%
0.14%
-9.45% -8.27%
0.62%
22.14% 12.96%
1.82%
2.03% 26.04%
-3.68%
6.36%
5.25%
2.08%
2.96%
-4.65%
0.89%
1.84%
5.31%
1.38%
3.78%
3.37%
1.89%
-29.82%
-1.11%
-3.54%
3.44%
-4.14%
1.92%
-3.68% -2.89%
-1.52%
7.84%
-1.20%
0.70%
5.75% 12.21%
7.27%
8.37%
7.88%
3.70%
-9.67%
-0.17%
2.28%
2.03%
-5.70%
5.65%
-4.98% -3.41%
-1.56%
Amazon.com,
Inc. (AMZN)
Estimated
values of
0+1Rmt
0.01+0.91Rmt
R2=0.16
Arotech
Corporation
(ARTX)
-.01+1.39Rmt
AstroNova,
Inc. (ALOT)
0.01+0.40Rmt
R2=0.05
R2=0.06
BCB
Bancorp Inc.
(BCBP)
0.00+0.63Rmt
Microsoft
Corporation
(MSFT)
0.01+0.93Rmt
Netflix, Inc.
(NFLX)
0.01+1.69Rmt
R2=0.17
R2=0.26
R2=0.08
Yahoo! Inc.
(YHOO)
Analysis of Variance(ANOVA)
Intercept
X Variable 1
Coefficients
0.01
0.91
Intercept
X Variable 1
Coefficients
-0.01
1.39
Intercept
X Variable 1
Coefficients
0.01
0.40
Intercept
X Variable 1
Coefficients
0.00
0.63
Intercept
X Variable 1
Coefficients
0.01
0.93
Intercept
X Variable 1
Coefficients
0.01
1.69
Intercept
X Variable 1
Coefficients
0.00
1.36
Intercept
X Variable 1
Coefficients
0.01
0.96
Standard
Error
0.01
0.28
Standard
Error
0.03
0.80
Standard
Error
0.01
0.21
Standard
Error
0.01
0.18
Standard
Error
0.01
0.21
Standard
Error
0.03
0.75
Standard
Error
0.01
0.26
Standard
Error
0.01
0.26
Intercept
X Variable 1
Coefficients
0.01
0.98
Standard
Error
0.01
0.22
0.00+1.36Rmt
R2=0.33
3 Portfolio
AMZN,
A LOT &
NFLX
0.01+0.96Rmt
7 Portfolio
0.01+0.98Rmt
R2=0.19
R2=0.26
Intercept coefficient= 0
X Variable 1coefficient=1
t Stat
1.55
3.27
P-value
0.13
0.00
t Stat
-0.29
1.75
P-value
0.77
0.09
t Stat
1.28
1.86
P-value
0.21
0.07
t Stat
-0.04
3.50
P-value
0.97
0.00
t Stat
0.88
4.54
P-value
0.38
0.00
t Stat
0.45
2.23
P-value
0.65
0.03
t Stat
0.06
5.32
P-value
0.95
0.00
t Stat
1.61
3.63
P-value
0.11
0.00
t Stat
1.72
4.53
P-value
0.09
0.00