Portion of the regression results

Assignment Help Basic Statistics

Reference no: EM131798665

In an attempt to "time the market," a financial analyst studies the quarterly returns of a stock. He uses the model y = β₀ + β₁ d₁ + β₂d₂ + β₃d₃ + ε where y is the quarterly return of a stock, d₁ is a dummy variable that equals 1 if quarter 1 an d₀ otherwise, d₂ is a dummy variable that equals 1 if quarter 2 and 0 otherwise, and d₃ is a dummy variable that equals 1 if quarter 3 and 0 otherwise. The following table is a portion of the regression results.

835_portion of the regression results.png

a. Given that there are four quarters in a year, why doesn't the analyst include a fourth dummy variable in his model?

b. At the 5% significance level, are the dummy variables individually significant? Explain. Is the analyst able to obtain higher returns depending on the quarter?

Reference no: EM131798665

Questions Cloud

Find the age of a fossil : Suppose that 10 units of beryllium are present in a living organism and that the half-life of beryllium is 4.6 million years.

Compute ending inventory and cost of goods sold under fifo : Compute ending inventory and cost of goods sold under FIFO, assuming Alto Company uses the periodic inventory system

Represents the response variable : Consider a linear regression model where y represents the response variable, d1 is a dummy variable assuming values of 0 or 1, and d2 is another

Find the rate of sales decay 10 days after the end : The sales of a product are given by S = 80,000e20.4t, where S is the daily sales and t is the number of days after the end of an advertising campaign.

Portion of the regression results : The following table is a portion of the regression results.

What activity need to be identified and performed right now : What activities need to be identified and performed right now? How might procurement-related activities involve managing stakeholder engagement?

Find the rate of change of quantity with respect to price : Suppose the demand function for a product is given by (p + 12q) = 10,000, where p is the price and q is the quantity.

Find the elasticity of demand : Find the elasticity of demand at p = 30. If the price is raised to $31, does revenue increase or decrease ?

Discuss what type of fraud is barbara committing : What is the difference between fraud committed by employees and fraud committed by managers

User Account

All Pages