Dependent Variable: PORTFOLIO Method: Least Squares Sample: 1991M01 2009M12 Included observations: 228 Variable с MARKET SIZE VALUE MOMENTUM R-squared Adjusted R-squared S.E. of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) Coefficient Std. Error t-Statistic 0.003080 0.002256 1.364876 0.0037 0.580669 0.054438 10.66651 0.0000 0.752523 0.057275 13.13866 0.0000 0.054039 0.059387 0.909954 0.3638 0.056782 1.044482 0.2974 0.595842 0.032935 Mean dependent var S.D. dependent var Akaike info criterion Schwarz criterion Prob. 457.2243 Hannan-Quinn criter. 82.19105 Durbin-Watson stat 0.000000 0.007051 0.051348 -3.966880 -3.891675 -3.936537 1.693594 1) Is the model statically significant? Make sure to justify your answer. Write down the model equation (5 marks)
Dependent Variable: PORTFOLIO Method: Least Squares Sample: 1991M01 2009M12 Included observations: 228 Variable с MARKET SIZE VALUE MOMENTUM R-squared Adjusted R-squared S.E. of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) Coefficient Std. Error t-Statistic 0.003080 0.002256 1.364876 0.0037 0.580669 0.054438 10.66651 0.0000 0.752523 0.057275 13.13866 0.0000 0.054039 0.059387 0.909954 0.3638 0.056782 1.044482 0.2974 0.595842 0.032935 Mean dependent var S.D. dependent var Akaike info criterion Schwarz criterion Prob. 457.2243 Hannan-Quinn criter. 82.19105 Durbin-Watson stat 0.000000 0.007051 0.051348 -3.966880 -3.891675 -3.936537 1.693594 1) Is the model statically significant? Make sure to justify your answer. Write down the model equation (5 marks)
Essentials Of Investments
11th Edition
ISBN:9781260013924
Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Publisher:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Chapter1: Investments: Background And Issues
Section: Chapter Questions
Problem 1PS
Related questions
Question
Transcribed Image Text:Dependent Variable: PORTFOLIO
Method: Least Squares
Sample: 1991M01 2009M12
Included observations: 228
Variable
с
MARKET
SIZE
VALUE
MOMENTUM
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)
Coefficient Std. Error
t-Statistic
0.003080
0.002256
1.364876 0.0037
0.580669
0.054438 10.66651
0.0000
0.752523 0.057275
13.13866
0.0000
0.054039 0.059387 0.909954 0.3638
0.056782
1.044482
0.2974
0.595842
0.032935
Mean dependent var
S.D. dependent var
Akaike info criterion
Schwarz criterion
Prob.
457.2243
Hannan-Quinn criter.
82.19105 Durbin-Watson stat
0.000000
0.007051
0.051348
-3.966880
-3.891675
-3.936537
1.693594
1) Is the model statically significant? Make sure to justify your answer. Write down the model equation (5
marks)
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