Estimate a linear regression model in which mean returns are explained by both volatility and beta.

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

(b) Interpret the three coefficients estimated and test their significance. Do volatility and beta seem to be good variables to jointly explain the variability in mean returns across companies?

(c) Go back to the regression run in question 1

(a) in which mean returns are solely explained by volatility, and compare its adjustedR2 with that of the multiple regression model estimated in this question. Does it pay to add beta to a regression in which mean returns are explained by volatility?