a) Compare the corresponding estimated coefficients on the market risk premium (MKT_RF) in terms of their magnitude, sign, and significance in both regressions. Provide an economic explanation for your findings.

b) Compare the corresponding estimated coefficients on all the other factors in terms of their magnitude, signs, and significance in both regressions (i.e., compare the estimated coefficient on hml in the energy industry (ENRGY_RF) regression with that in the durable goods (DURBL_RF) regression. Do similarly for the estimated coefficients on smb, rmw and cma). What does this comparison suggest about the average characteristics of stocks in the energy and durable goods industries? (Hint: For example, are energy industry stocks value stocks on average, etc?)

c) Is the estimate of 1 statistically significant at the 5% level in each of the regressions? How do you interpret this result?

Equation: UNTITLED Workfile: ASSIGNMENT QU... - View Proc Object Print Name Freeze Estimate Forecast Stats Resids Dependent Variable: ENRGY_RF Method: Least Squares Date: 09/27/21 Time: 10:45 Sample: 1980M01 2020M02 Included observations: 482 Variable Coefficient Std. Error t-Statistic Prob. MKT_RF HML SMB RMW CMA -0.338711 0.957543 0.225848 0.100169 0.339923 0.352472 0.210615 0.051519 0.095808 0.073139 0.096875 0.144933 -1.608197 18.58635 2.357297 1.369561 3.508892 2.431965 0.1085 0.0000 0.0188 0.1715 0.0005 0.0154 R-squared Adjusted R-squared S.E. of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) 0.438972 Mean dependent var 0.433079 S.D. dependent var 4.373312 Akaike info criterion 9103.907 Schwarz criterion -1392.110 Hannan-Quinn criter. 74.48844 Durbin-Watson stat 0.000000 0.542427 5.808300 5.801288 5.853296 5.821728 1.885968 e Equation: UNTITLED Workfile: SNAPSHOT_20210... - x View Proc Object Print Name Freeze Estimate Forecast Stats Resids Dependent Variable: DURBL_RF Method: Least Squares Date: 09/27/21 Time: 11:46 Sample: 1980M01 2020M02 Included observations: 482 Variable Coefficient Std. Error t-Statistic Prob. MKT_RF HML SMB RMW -0.393645 1.248858 0.653822 0.288840 0.158020 -0.133720 0.177023 0.043302 0.080527 0.061474 0.081423 0.121816 -2.223699 28.84096 8.119284 4.698600 1.940718 -1.097715 0.0266 0.0000 0.0000 0.0000 0.0529 0.2729 R-squared Adjusted R-squared S.E. of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) 0.691531 Mean dependent var 0.688291 S.D. dependent var 3.675779 Akaike info criterion 6431.404 Schwarz criterion -1308.360 Hannan-Quinn criter. 213.4207 Durbin-Watson stat 0.000000 0.602739 6.583767 5.453777 5.505785 5.474217 2.084209 Equation: UNTITLED Workfile: ASSIGNMENT QU... - View Proc Object Print Name Freeze Estimate Forecast Stats Resids Dependent Variable: ENRGY_RF Method: Least Squares Date: 09/27/21 Time: 10:45 Sample: 1980M01 2020M02 Included observations: 482 Variable Coefficient Std. Error t-Statistic Prob. MKT_RF HML SMB RMW CMA -0.338711 0.957543 0.225848 0.100169 0.339923 0.352472 0.210615 0.051519 0.095808 0.073139 0.096875 0.144933 -1.608197 18.58635 2.357297 1.369561 3.508892 2.431965 0.1085 0.0000 0.0188 0.1715 0.0005 0.0154 R-squared Adjusted R-squared S.E. of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) 0.438972 Mean dependent var 0.433079 S.D. dependent var 4.373312 Akaike info criterion 9103.907 Schwarz criterion -1392.110 Hannan-Quinn criter. 74.48844 Durbin-Watson stat 0.000000 0.542427 5.808300 5.801288 5.853296 5.821728 1.885968 e Equation: UNTITLED Workfile: SNAPSHOT_20210... - x View Proc Object Print Name Freeze Estimate Forecast Stats Resids Dependent Variable: DURBL_RF Method: Least Squares Date: 09/27/21 Time: 11:46 Sample: 1980M01 2020M02 Included observations: 482 Variable Coefficient Std. Error t-Statistic Prob. MKT_RF HML SMB RMW -0.393645 1.248858 0.653822 0.288840 0.158020 -0.133720 0.177023 0.043302 0.080527 0.061474 0.081423 0.121816 -2.223699 28.84096 8.119284 4.698600 1.940718 -1.097715 0.0266 0.0000 0.0000 0.0000 0.0529 0.2729 R-squared Adjusted R-squared S.E. of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) 0.691531 Mean dependent var 0.688291 S.D. dependent var 3.675779 Akaike info criterion 6431.404 Schwarz criterion -1308.360 Hannan-Quinn criter. 213.4207 Durbin-Watson stat 0.000000 0.602739 6.583767 5.453777 5.505785 5.474217 2.084209