You study the relation between the log excess return on stock XYZ, denoted by Re XY Z,t, and the log excess return on the market portfolio, Re M,t, based on 193 monthly observations: R e XY Z,t = β1 + β2 R e M,t + uXY Z,t. You run this regression in R and obtain from the standard regression output the following parameter estimates and p-values (in squared brackets): Re XY Z,t = −0.3199 + 2.0262 Re M,t + uXY Z,t. [0.7689] [0.0001] (1) (a) Which econometric conclusions you can draw from the p-value of the intercept coefficient? In your answer, clearly explain the meaning of the p-value. Further, refer to the role of the significance level in the context of the test of significance approach, i.e., which steps of the test are (not) affected
You study the relation between the log excess return on stock XYZ, denoted by Re XY Z,t, and the log excess return on the market portfolio, Re M,t, based on 193 monthly observations: R e XY Z,t = β1 + β2 R e M,t + uXY Z,t. You run this regression in R and obtain from the standard regression output the following parameter estimates and p-values (in squared brackets): Re XY Z,t = −0.3199 + 2.0262 Re M,t + uXY Z,t. [0.7689] [0.0001] (1) (a) Which econometric conclusions you can draw from the p-value of the intercept coefficient? In your answer, clearly explain the
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