Re-open the Macro file and apply the same APT-type model to some of the other time-series of

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Re-open the Macro file and apply the same APT-type model to some of the other time-series of stock returns contained in the CAPM-file.

(a) Run the stepwise procedure in each case. Is the same sub-set of variables selected for each stock? Can you rationalise the differences between the series chosen?

(b) Examine the sizes and signs of the parameters in the regressions in each case – do these make sense?

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Introductory Econometrics For Finance

ISBN: 9780521694681

2nd Edition

Authors: Chris Brooks

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Question Posted: Jul 24, 2024 11:02 AM

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Re-open the Macro file and apply the same APT-type model to some of the other time-series of

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Introductory Econometrics For Finance

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