Suppose that your assistant has run a market-model regression for a company that produces sophisticated drilling machines,
Question:
Suppose that your assistant has run a market-model regression for a company that produces sophisticated drilling machines, and finds the following results (t-statistic in parentheses):
Your assistant remarks that, as the estimated beta is insignificant, the true beta is zero. The exposure, in contrast, is significant, and must be equal to the estimated coefficient. How do you react?
Transcribed Image Text:
fj= a+ ßř m + ys + ẽ j, řj = 0.002 + 0.56 ĩm+ 4.25 š + ě j. (0.52) ... (1.25) ... (2.06)
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You cannot simply conclude that 0 The low tstatistic says that on the basis of only the sample infor...View the full answer
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International Finance Putting Theory Into Practice
ISBN: 978-0691136677
1st edition
Authors: Piet Sercu
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