SUMMARY OUTPUT - Beta

Regression Statistics
Multiple R 0.989005639
R Square 0.978132154
Adjusted R Square 0.978113777
Standard Error 0.001857121
Observations 1192

ANOVA
df SS MS F Significance F
Regression 1 0.183577321 0.183577321 53227.7962 0
Residual 1190 0.00410419 3.4489E-06
Total 1191 0.187681512

Coefficients Standard Error t Stat P-value Lower 95% Upper 95% Lower 95.0% Upper 95.0%
Intercept 6.59443E-05 5.38015E-05 1.225696349 0.22055548 -3.9612E-05 0.000171501 -3.9612E-05 0.000171501
wilshire-5yr 0.982858459 0.004260119 230.7115 0 0.974500278 0.991216639 0.974500278 0.991216639

SUMMARY OUTPUT -Aaa spread

Regression Statistics
Multiple R 0.312459211
R Square 0.097630759
Adjusted R Square 0.096873102
Standard Error 0.357643869
Observations 1193

ANOVA
df SS MS F Significance F
Regression 1 16.48222021 16.48222021 128.858818 1.98216E-28
Residual 1191 152.3397823 0.127909137
Total 1192 168.8220025

Coefficients Standard Error t Stat P-value Lower 95% Upper 95% Lower 95.0% Upper 95.0%
Intercept 12.32197778 1.010081603 12.19899238 2.4457E-32 10.34024034 14.30371522 10.34024034 14.30371522
beta -11.46027136 1.009573238 -11.3515998 1.9822E-28 -13.44101141 -9.479531314 -13.44101141 -9.479531314

SUMMARY OUTPUT -Baa spread

Regression Statistics
Multiple R 0.196679513
R Square 0.038682831
Adjusted R Square 0.03787568
Standard Error 1.026008986
Observations 1193

ANOVA
df SS MS F Significance F
Regression 1 50.45051933 50.45051933 47.9251314 7.22162E-12
Residual 1191 1253.759078 1.05269444
Total 1192 1304.209597

Coefficients Standard Error t Stat P-value Lower 95% Upper 95% Lower 95.0% Upper 95.0%
Intercept 22.19538941 2.897722822 7.659597129 3.8453E-14 16.51017963 27.88059919 16.51017963 27.88059919
beta -20.0502534 2.896264424 -6.92279794 7.2216E-12 -25.73260186 -14.36790493 -25.73260186 -14.36790493
 wilshire-5yr Line Fit Plot

0.08
Standard & Poor's 500 Stock Price Index (1941-43=10) Log Change - Period to Period

0.06 y = 0.9829x + 7E-05

R² = 0.9781

0.04

0.02

0
-8.00% -6.00% -4.00% -2.00% 0.00% 2.00% 4.00% 6.00%

-0.02

-0.04

-0.06

-0.08
wilshire-5yr
 Aaa spread
2.5

1.5
Aaa spread

y = 37021x3 - 112528x2 + 113977x - 38469

R² = 0.2711
1

0.5

0
0.975 0.98 0.985 0.99 0.995 1 1.005 1.01 1.015 1.02
Beta
 Baa spread vs. Beta
6.00

5.00

4.00
Baa spread

3.00
y = -4468.5x2 + 8924.8x - 4453.7
R² = 0.2238

2.00

1.00

0.00
0.975 0.98 0.985 0.99 0.995 1 1.005 1.01 1.015 1.02
Beta