Question: Estimate a linear regression model in which mean returns are solely explained by beta. (a) What do you make out of the R2 of this

Estimate a linear regression model in which mean returns are solely explained by beta.

(a) What do you make out of the R2 of this regression?

(b) Interpret the two coefficients estimated and test their significance.

Does beta seem to be a good variable to explain the variability in mean returns across companies?

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