The neglected-company effect claims that companies that are followed by fewer analysts will earn higher returns on
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The table below shows the results from estimating the model Ri = b0 + b1Size i + b2(Number of analysts) i + ε i for a cross-section of 66 companies. The size and number of analysts for each company are for December 2001. The return data are for January 2002.
A. What test would you conduct to see whether the two independent variables are jointly statistically related to returns (H0: b1 = b2 = 0)?
B. What information do you need to conduct the appropriate test?
C. Determine whether the two variables jointly are statistically related to returns at the 0.05 significance level.
D. Explain the meaning of adjusted R2 and state whether adjusted R2 for the regression would be smaller than, equal to, or larger than 0.0138.
Stocks or shares are generally equity instruments that provide the largest source of raising funds in any public or private listed company's. The instruments are issued on a stock exchange from where a large number of general public who are willing...
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Related Book For
Quantitative Investment Analysis
ISBN: 978-1119104223
3rd edition
Authors: Richard A. DeFusco, Dennis W. McLeavey, Jerald E. Pinto, David E. Runkle
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