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From the parameter estimation, we have th… Show more XRAAP

Assignment Help Finance From the parameter estimation, we have th… Show more XRAAP

Finance

From the parameter estimation, we have th… Show more XRAAP

From the parameter estimation, we have th… Show more XRAAPLt = ? + ?*XRMKTt + ?SMB*SMBt + ?HML*HMLt + ?t From the parameter estimation, we have the following: Variable – Parameter Coefficients Standard Errors t-Statistics Intercept – ? 1.2664 0.6423 1.9717 XRMKTt – ? 1.2546 0.1455 8.6218 SMBt – ?SMB 0.4690 0.2264 2.0718 HMLt – ?HML -0.4428 0.1800 -2.4600 R 2 0.2395 F-ratio 35.8988 Number of observations 346 Durbin-Watson 1.8911 1) 1nterpret the model from a financial perspective. That is, what are these four estimated coefficients telling you about Apple’s systematic stock market performance? Does each make theoretical and intuitive sense? Explain your answers. (Note that a non-zero intercept or alpha denotes the presence of arbitrage opportunities.) 2 Comment briefly on the statistical significance of the intercept and each of the independent variables as indicated by their t-ratios and on the statistical significance of the model as a whole as indicated by the F-ratio. What is the interpretation of R 2 ? • Show less

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