coefficients when the returns of the size-institutional ownership portfolio (columns 1 and 2) returns are regressed on three variables: a constant (column 3), the stock market returns (column 4), and the change of the value weighted discount of the closed end fund industry (column 6). Columns 5 and 7 report the corresponding t- statistics of the coefficient estimates
coefficients when the returns of the size-institutional ownership portfolio (columns 1 and 2) returns are regressed on three variables: a constant (column 3), the stock market returns (column 4), and the change of the value weighted discount of the closed end fund industry (column 6). Columns 5 and 7 report the corresponding t- statistics of the coefficient estimates
MATLAB: An Introduction with Applications
6th Edition
ISBN:9781119256830
Author:Amos Gilat
Publisher:Amos Gilat
Chapter1: Starting With Matlab
Section: Chapter Questions
Problem 1P
Related questions
Question
This table reports the regression coefficients when the returns of the size-institutional
ownership portfolio (columns 1 and 2) returns are regressed on three variables: a constant
(column 3), the stock market returns (column 4), and the change of the value weighted discount
of the closed end fund industry (column 6). Columns 5 and 7 report the corresponding t-
statistics of the coefficient estimates. Note that a t-statistic with an absolute value above 1.96
means the coefficient estimate is significantly different from 0 at the 1% level. Column 8
reports the R square of the regressions. Column 9 reports the mean institutional ownership of
each portfolio. The last column reports the F-statistics for a multivariate test of the null
ownership portfolio (columns 1 and 2) returns are regressed on three variables: a constant
(column 3), the stock market returns (column 4), and the change of the value weighted discount
of the closed end fund industry (column 6). Columns 5 and 7 report the corresponding t-
statistics of the coefficient estimates. Note that a t-statistic with an absolute value above 1.96
means the coefficient estimate is significantly different from 0 at the 1% level. Column 8
reports the R square of the regressions. Column 9 reports the mean institutional ownership of
each portfolio. The last column reports the F-statistics for a multivariate test of the null
hypothesis that the coefficient on ΔVWD in the Low (L) ownership portfolio is equal to the
High (H) ownership portfolio. Two-tailed p-values are in parentheses.
High (H) ownership portfolio. Two-tailed p-values are in parentheses.
1. What is the main finding of this Table?
2. What is the explanation for the finding?
![DISCOUNT OF CLOSED END FUNDS.
Table 3.6 The Weekly Time Series Relations Between Size-institutional Ownership Portfolio Returns, Market Returns and Changes
in Closed End Fund Discounts Over 1/2/81 to 12/28/90
Size
Inst.
Intercept
VWNY
1
1
1
2
2
2
3
3
3
4
4
4
5
5
5
6
6
6
7
7
7
8
8
8
9
9
9
10
10
10
L
M
H
L
M
H
L
M
H
L
M
H
L
M
H
L
M
H
L
M
H
L
M
H
L
M
H
L
M
H
0.00105
0.00031
0.00031
-0.00044
0.00021
0.00002
-0.00001
-0.00068
-0.00024
-0.00082
-0.00070
-0.00006
-0.00035
-0.00015
-0.00005
0.00004
0.00016
-0.00004
-0.00012
0.00030
-0.00013
0.00032
0.00010
0.00015
0.00005
0.00020
-0.00026
0.00032
0.00019
-0.00026
0.718
0.711
0.671
0.712
0.811
0.802
0.825
0.878
0.892
0.808
0.910
0.966
0.814
0.899
0.968
0.830
0.932
0.996
0.838
0.997
1.095
0.870
1.054
1.126
0.934
1.048
1.167
0.963
1.117
1.118
t-statistic
16.57
17.31
16.79
20.98
25.30
24.79
26.42
29.28
30.84
29.26
34.71
33.95
32.09
35.86
36.05
36.78
41.63
39.97
41.21
48.46
47.04
45.21
66.78
56.89
51.72
76.11
67.28
71.10
95.67
78.43
AVWD
-0.00206
-0.00233
-0.00216
-0.00249
-0.00166
-0.00192
-0.00228
-0.00186
-0.00179
-0.00212
-0.00199
-0.00164
-0.00176
-0.00105
-0.00132
-0.00151
-0.00131
-0.00080
-0.00137
-0.00094
-0.00097
-0.00123
-0.00038
-0.00002
-0.00070
-0.00014
0.00035
-0.00008
0.00023
0.00065
t-statistic
-2.85
-3.39
-3.22
-4.38
-3.08
-3.54
-4.35
-3.71
-3.70
-4.58
-4.54
-3.44
-4.15
-2.50
-2.93
-4.00
-3.49
-1.92
-4.01
-2.71
-2.48
-3.80
-1.43
-0.05
-2.31
-0.61
1.20
-0.34
1.17
2.74
Adj. R2
0.3507
0.3712
0.3570
0.4653
0.5586
0.5481
0.5794
0.6290
0.6531
0.6285
0.7045
0.6957
0.6707
0.7193
0.7210
0.7284
0.7751
0.7619
0.7713
0.8245
0.8157
0.8026
0.9000
0.8679
0.8429
0.9215
0.9024
0.9111
0.9491
0.9267
Mean
Institutional
Ownership 0:L=H)
(%)
0.99
5.05
16.83
2.73
8.60
23.64
3.64
12.21
30.41
4.82
16.82
36.06
6.64
21.73
42.89
9.30
27.76
50.16
10.80
32.21
53.25
15.37
38.36
58.44
22.85
45.16
62.21
28.42
49.46
F-statistic on
A VWD (H
66.50
0.018
(0.892)
1.550
(0.214)
1.340
(0.248)
1.177
(0.279)
1.123
(0.290)
3.264
(0.071)
0.866
(0.352)
8.706
(0.003)
6.946
(0.009)
3.490
(0.062)](/v2/_next/image?url=https%3A%2F%2Fcontent.bartleby.com%2Fqna-images%2Fquestion%2F297ee28f-8bb3-4711-bbd7-73796f1849c6%2Ff18b5cb2-867b-47b3-90d3-d3d789715dcf%2Fwvmfmja_processed.png&w=3840&q=75)
Transcribed Image Text:DISCOUNT OF CLOSED END FUNDS.
Table 3.6 The Weekly Time Series Relations Between Size-institutional Ownership Portfolio Returns, Market Returns and Changes
in Closed End Fund Discounts Over 1/2/81 to 12/28/90
Size
Inst.
Intercept
VWNY
1
1
1
2
2
2
3
3
3
4
4
4
5
5
5
6
6
6
7
7
7
8
8
8
9
9
9
10
10
10
L
M
H
L
M
H
L
M
H
L
M
H
L
M
H
L
M
H
L
M
H
L
M
H
L
M
H
L
M
H
0.00105
0.00031
0.00031
-0.00044
0.00021
0.00002
-0.00001
-0.00068
-0.00024
-0.00082
-0.00070
-0.00006
-0.00035
-0.00015
-0.00005
0.00004
0.00016
-0.00004
-0.00012
0.00030
-0.00013
0.00032
0.00010
0.00015
0.00005
0.00020
-0.00026
0.00032
0.00019
-0.00026
0.718
0.711
0.671
0.712
0.811
0.802
0.825
0.878
0.892
0.808
0.910
0.966
0.814
0.899
0.968
0.830
0.932
0.996
0.838
0.997
1.095
0.870
1.054
1.126
0.934
1.048
1.167
0.963
1.117
1.118
t-statistic
16.57
17.31
16.79
20.98
25.30
24.79
26.42
29.28
30.84
29.26
34.71
33.95
32.09
35.86
36.05
36.78
41.63
39.97
41.21
48.46
47.04
45.21
66.78
56.89
51.72
76.11
67.28
71.10
95.67
78.43
AVWD
-0.00206
-0.00233
-0.00216
-0.00249
-0.00166
-0.00192
-0.00228
-0.00186
-0.00179
-0.00212
-0.00199
-0.00164
-0.00176
-0.00105
-0.00132
-0.00151
-0.00131
-0.00080
-0.00137
-0.00094
-0.00097
-0.00123
-0.00038
-0.00002
-0.00070
-0.00014
0.00035
-0.00008
0.00023
0.00065
t-statistic
-2.85
-3.39
-3.22
-4.38
-3.08
-3.54
-4.35
-3.71
-3.70
-4.58
-4.54
-3.44
-4.15
-2.50
-2.93
-4.00
-3.49
-1.92
-4.01
-2.71
-2.48
-3.80
-1.43
-0.05
-2.31
-0.61
1.20
-0.34
1.17
2.74
Adj. R2
0.3507
0.3712
0.3570
0.4653
0.5586
0.5481
0.5794
0.6290
0.6531
0.6285
0.7045
0.6957
0.6707
0.7193
0.7210
0.7284
0.7751
0.7619
0.7713
0.8245
0.8157
0.8026
0.9000
0.8679
0.8429
0.9215
0.9024
0.9111
0.9491
0.9267
Mean
Institutional
Ownership 0:L=H)
(%)
0.99
5.05
16.83
2.73
8.60
23.64
3.64
12.21
30.41
4.82
16.82
36.06
6.64
21.73
42.89
9.30
27.76
50.16
10.80
32.21
53.25
15.37
38.36
58.44
22.85
45.16
62.21
28.42
49.46
F-statistic on
A VWD (H
66.50
0.018
(0.892)
1.550
(0.214)
1.340
(0.248)
1.177
(0.279)
1.123
(0.290)
3.264
(0.071)
0.866
(0.352)
8.706
(0.003)
6.946
(0.009)
3.490
(0.062)
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