Below are results of a regression of Y = average stock returns (in percent) as a function of X = average price/earnings ratios for the period 1949­1997 (49 years). Separate regressions were done for various holding periods (sample sizes are therefore variable).
(a) Summarize what the regression results tell you.
(b) Would you anticipate autocorrelation in this type of data? Explain. (Data are from Ruben Trevino and Fiona Robertson, "P/E Ratios and Stock Market Returns," Journal of Financial Planning 15, no. 2 [February 2002], p. 78.)

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Holding Period Intercept Slope R2 ar 2-Year 5-Year 8-Year 10-Year 28.10 26.11 20.67 24.73 24.51 -0.92 -0.86 -0.57 0.94 0.95 1.86 2.57 2.99 6.93 8.43 0688 1252 1720 5459 6516 0686 0136 0046