10. Perform the first-pass regressions as did Chen, Roll, and Ross and tabulate the relevant summary statistics....

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10. Perform the first-pass regressions as did Chen, Roll, and Ross and tabulate the relevant summary statistics. (Hint: Use a multiple regression as in a standard spreadsheet package. Estimate the betas of the 12 stocks on the two factors.)Year

% Change in Factor Value Year

% Change in Factor Value 1 9.84 7 3.52 2 6.46 8 8.43 3 16.12 9 8.23 4 16.51 10 7.06 5 17.82 11 15.74 6 13.31 12 2.03

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Investments

ISBN: 9780077261450

8th Edition

Authors: Zvi Bodie, Alex Kane, Alan J. Marcus

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Question Posted: Jul 24, 2024 05:02 AM

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10. Perform the first-pass regressions as did Chen, Roll, and Ross and tabulate the relevant summary statistics....

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Investments

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