Below are results of a regression of Y = average stock returns (in percent) as a function
Question:
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 1949?1997 (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 auto-correlation in this type of data? Explain.
Transcribed Image Text:
Intercept R? Holding Perlod Slope 1 year -0.92 1.86 .0688 .1252 .1720 .5459 .0686 .0136 28.10 2 years 5 years 26.11 20.67 24.73 -0.86 -0.57 -0.94 -0.95 2.57 2.99 6.93 8.43 .0046 8 years 10 years .0000 24.51 .6516 .0000
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a The regression results are not significant based on the p value for the 1...View the full answer
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Related Book For
Essential Statistics In Business And Economics
ISBN: 9781260239508
3rd Edition
Authors: David Doane, Lori Seward
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