SUMMARY OUTPUT

Regression Statistics
Multiple R 0.598566
R Square 0.358281
Adjusted R 0.303276
Standard Er0.067728
Observatio 39

ANOVA
df SS MS F Significance F
Regression 3 0.089637 0.029879 6.513659 0.001284
Residual 35 0.16055 0.004587
Total 38 0.250187

Coefficients
Standard Error t Stat P-value Lower 95%Upper 95%
Alpha 0.011829 0.011423 1.035561 0.307509 -0.011361 0.03502
Market 1.140603 0.360842 3.160954 0.003239 0.408056 1.873151
SMB -0.332282 0.443186 -0.749757 0.458411 -1.231998 0.567433
HML -1.202064 0.432223 -2.781122 0.008664 -2.079523 -0.324605
Lower 95.0%
Upper 95.0%
-0.011361 0.03502
0.408056 1.873151
-1.231998 0.567433
-2.079523 -0.324605
SUMMARY OUTPUT

Regression Statistics
Multiple R 0.440147
R Square 0.19373
Adjusted R 0.124621
Standard Er0.065688
Observatio 39

ANOVA
df SS MS F Significance F
Regression 3 0.036287 0.012096 2.803253 0.054038
Residual 35 0.15102 0.004315
Total 38 0.187307

Coefficients
Standard Error t Stat P-value Lower 95%Upper 95%
Alpha 0.016351 0.011079 1.475877 0.148918 -0.00614 0.038843
Market 0.659976 0.349969 1.885814 0.067641 -0.050498 1.37045
SMB -0.26531 0.429832 -0.617242 0.54107 -1.137915 0.607295
HML -0.833091 0.419199 -1.987342 0.054754 -1.68411 0.017928
Lower 95.0%
Upper 95.0%
-0.00614 0.038843
-0.050498 1.37045
-1.137915 0.607295
-1.68411 0.017928
Excess AMZN Excess ATVI Market Excess SMB/100 HML/100
0.000000000 0.000000000 -0.0332 0.0087 -0.0213
0.009506828 0.129597287 0.0465 0.0034 -0.0037
-0.071057748 0.066487727 0.0043 -0.0185 0.0503
-0.095846807 -0.021037174 -0.0019 -0.0419 0.011
0.027685473 0.038480807 0.0206 -0.0185 -0.0036
0.039129776 0.073147150 0.0261 0.0301 -0.0066
-0.036301524 0.003587388 -0.0204 -0.0422 -0.0002
0.083229560 0.051832130 0.0424 0.004 -0.0055
-0.048961794 -0.116822453 -0.0197 -0.038 -0.0119
-0.052660994 -0.040404027 0.0252 0.0428 -0.0168
0.108623142 0.085212950 0.0255 -0.0205 -0.0298
-0.083540065 -0.069284067 -0.0006 0.0259 0.0212
0.142355380 0.037220896 -0.0311 -0.0051 -0.0347
0.072292909 0.115789499 0.0613 0.0051 -0.0173
-0.021201594 -0.015323281 -0.0112 0.0307 -0.0045
0.133512476 0.003959513 0.0059 -0.0301 0.0184
0.017663265 0.106923741 0.0136 0.009 -0.0132
0.011322566 -0.041567757 -0.0153 0.0285 -0.008
0.235112601 0.065262411 0.0154 -0.0407 -0.0421
-0.043383396 0.110120119 -0.0604 0.0052 0.0271
-0.001949736 0.078938155 -0.0308 -0.0261 0.0058
0.222723643 0.125283249 0.0775 -0.0193 -0.0011
0.062150443 0.083429308 0.0056 0.0362 -0.0057
0.016581750 0.027781054 -0.0217 -0.0281 -0.0246
-0.131615503 -0.100590894 -0.0577 -0.0336 0.0226
-0.058939319 -0.090665212 -0.0007 0.0083 -0.0048
0.074222634 0.077014357 0.0696 0.0086 0.0111
0.110994283 0.018517042 0.0092 0.0068 0.0325
0.095717020 0.138861336 0.0178 -0.0027 -0.0179
-0.010119871 0.009224467 -0.0005 0.0061 -0.0149
0.060153265 0.013173711 0.0395 0.029 -0.0098
0.013439745 0.029929384 0.005 0.0094 0.0318
0.088403187 0.070624363 0.0025 0.02 -0.0134
-0.056917334 -0.025707975 -0.0202 -0.0441 0.0415
-0.049794867 -0.152057293 0.0486 0.0568 0.0844
-0.001232641 -0.013957514 0.0181 -0.0004 0.0352
-0.000400000 -0.000400000 0.0194 -0.01 -0.0269
-0.000400000 -0.000400000 0.0357 -0.0179 -0.018
-0.0004 -0.0004 0.0357 -0.0179 -0.018
 Date Mkt Rf SMB HML
19
1/9/2010 -4.77 -3.12 -1.96

1/10/2010 9.54 3.73 -3.12

1/11/2010 3.88 0.78 -2.52

AMZN AVTI
Alpha 0.01182943 0.01635123
Market beta 1.14060346 0.65997578
SMB beta -0.332282 -0.2653101
HML beta -1.202064 -0.8330913

20 AMZN ATVI
Alpha 0.0118294293 0.0163512345
Beta 1.1406034599 0.6599757786

Expected return 0.0064092587 0.0038138692

Risk

21 Alpha
Beta

22
Alpha
Beta

24 AMZN ATVI
Alpha 0.01182943 0.01635123
Beta 1.14060346 0.65997578
s (SMB beta)
-0.332282 -0.2653101
h (HML beta)
-1.202064 -0.8330913
Expected return 0.1264% 0.0174%

Risk
Rf Excess AMZN Excess ATVI

0.01

0.01

0.01

monthly rf 0.0250%
monthly risk prem 0.54%

P-value
0.01182943 0.307509123 Not-significant as per regression, alpha value is close t
1.14060346 0.00323942 Significant Beta value is not zero and since p-value

P-value
0.01635123 0.148917771 Not-significant as per regression, alpha value is close t
0.65997578 0.067641288 Significant Beta value is not zero and since p-value

Rf 0.0250%
Mkt risk Prem 0.54%

SMB 0.21%

HML 0.37%
on, alpha value is close to zero as alpha is not significant and thus the null hypothesis can not be rej
ot zero and since p-value is less than significance value, we can reject null hypothesis of beta equal

on, alpha value is close to zero as alpha is not significant and thus the null hypothesis can not be rej
ot zero and since p-value is less than significance value, we can reject null hypothesis of beta equal
ypothesis can not be rejected
ypothesis of beta equal to zero

ypothesis can not be rejected

ypothesis of beta equal to zero