General Regression Analysis

Q5.

General Regression Analysis: GE versus RM, SMB, HML

Regression Equation

GE = -0.00417049 + 1.28315 RM - 0.442773 SMB + 0.631462 HML

Coefficients

Term Coef SE Coef T P 95% CI

Constant -0.00417 0.005412 -0.7706 0.443 (-0.01489, 0.00655)

RM 1.28315 0.113293 11.3260 0.000 ( 1.05876, 1.50754)

SMB -0.44277 0.203479 -2.1760 0.032 (-0.84579, -0.03976)

HML 0.63146 0.171982 3.6717 0.000 ( 0.29083, 0.97209)

Summary of Model

S = 0.0575221 R-Sq = 55.76% R-Sq(adj) = 54.62%

PRESS = 0.418461 R-Sq(pred) = 51.77%

General Regression Analysis: F versus RM, SMB, HML

Regression Equation

F = 0.00445609 + 1.97484 RM + 0.239624 SMB + 0.846743 HML

Coefficients

Term Coef SE Coef T P 95% CI

Constant 0.00446 0.014292 0.31179 0.756 (-0.02385, 0.03276)

RM 1.97484 0.299190 6.60063 0.000 ( 1.38226, 2.56743)

SMB 0.23962 0.537359 0.44593 0.656 (-0.82468, 1.30393)

HML 0.84674 0.454180 1.86433 0.065 (-0.05282, 1.74630)

Summary of Model

S = 0.151908 R-Sq = 32.46% R-Sq(adj) = 30.71%

PRESS = 3.02039 R-Sq(pred) = 23.79%

General Regression Analysis: WMT versus RM, SMB, HML

Regression Equation

WMT = 0.0038576 + 0.454157 RM - 0.314881 SMB - 0.0750702 HML

Coefficients

Term Coef SE Coef T P 95% CI

Constant 0.003858 0.004614 0.83603 0.405 (-0.005281, 0.012997)

RM 0.454157 0.096594 4.70172 0.000 ( 0.262841, 0.645474)

SMB -0.314881 0.173487 -1.81501 0.072 (-0.658493, 0.028732)

HML -0.075070 0.146633 -0.51196 0.610 (-0.365494, 0.215354)

Summary of Model

S = 0.0490435 R-Sq = 16.16% R-Sq(adj) = 13.99%

PRESS = 0.307374 R-Sq(pred) = 7.64%

General