(Problem 75 continued.) Since the January effect is significant, do we need to consider the interaction between the January effect and the returns of NYSE Index and Chrysler?

Write down the estimated regression equations for January and non-January, respectively.

Problem 74

From the following result, is there a “January effect”
on returns of Ford even if NYSI Index and Chrysler are included as predictors?

Transcribed Image Text:

Predictor Constant NYSE index Chrysler Jan Coef 0.009900 0.7207 0.3027 0.07460 SE Coef 0.008017 0.2364 0.1107 0.02872