Question: Coefficient term Non-June daily abnormal returns Statistically significant relationships June daily abnormal returns (1) (2) Intercept 0.0001 0.0001 (1.2299) (0.3561) 1 -0.0111* Positive REX-1predicts lower
Coefficient term Non-June daily abnormal returns June daily abnormal returns Intercept -0.0111* (-2.1365) (-0.5240) 0.0378** (1.9757) Positive coefficient (momentum relationship) (higher iskew [-20,-1] predicts higher AR)
Statistically significant relationships (1) (2) 0.0001 0.0001 (1.2299) (0.3561) 1 Positive REX-1predicts lower AR (reversal relationship) -0.0098* 2 Negative REX-1predicts lower AR (momentum relationship) 0.0332** (7.3388) 3 -0.0027 Not significant -0.0039 (-1.8788) (-0.7969) 4 -0.0101** Negative REX [-20,-2]predicts higher AR (reversal relationship) 0.0035* (-7.6116) (0.7908) 5 0.0005 not statistically significant AR 0.0018 (1.4002) (1.4288) 6 -0.0016** statistically significant AR 0.0039** (-3.4437) (2.0794) 7 -0.0159 not statistically significant in predicting AR 0.0410 (-1.8825) (1.2965) 8 0.0003** 0.0000** (5.4343) (0.1295) 9 0.0005* statistically significant predicting -0.0007** (2.3454) (-1.0933) 10 -0.0006* statistically significant in predicting -0.0014* (-2.4846) (-2.0157) 11 0.0004* statistically significant in predicting 0.0002** (2.4231) (0.3570) Obs. 82,586 7,292 Adj. R-squared 0.0022 0.0022
- Discuss the abnormal return predictability implied by the regression results. (7 marks)
please help me to answer question 1 with the above table.
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