ANSWER ALL PARTS OF THIS QUESTION Suppose an analyst interested in testing the hypotheses that daily stock retums are the same on different days of work-week (Monday, Tuesday, Wednesday, Thursday, and Friday) ran the following regression and obtained the following output Regression equation: y= b + b Tue + b Wed+b, Thu+b, Fri+e Where: y stock (daily) returns (in %) Tue: Is a dummy variable equal 1 if day is a Tuesday, 0 otherwise Wed: Is a dummy variable equal 1 if day is a Wednesday, 0 otherwise Thu: Is a dummy variable equal 1 if day is a Thursday, 0 otherwise Is a dummy variable equal 1 if day is a Friday, 0 otherwise Fri Ouput Regression Statistics Multiple R 0.12 R Square 0.01 Adjusted R Square 0.00 Standard Error 0.79 Observations 252 ANOVA off $$ MS Significance F 0.50 Regression 4 2.07 052 0.84 247 152.79 0.62 Residual Total 251 154.86 Coefficients Standard Error Sto P-value Intercept -0.02 0.11 Tuesday 0.09 0.16 Wednesday 0.08 0.36 0.18 016 Thursday Friday 0.26 0.16 a. Calculate the missing outputs (t Stats and P-Values) and test using a = 0.05 to see whether the regression coefficients are statistically significant 10 marks b. Explain how you would interpret eac including the intercept the regression coefficients 5 marks c. How would you test the analyst's hypotheses? 5 marks ANSWER ALL PARTS OF THIS QUESTION Suppose an analyst interested in testing the hypotheses that daily stock retums are the same on different days of work-week (Monday, Tuesday, Wednesday, Thursday, and Friday) ran the following regression and obtained the following output Regression equation: y= b + b Tue + b Wed+b, Thu+b, Fri+e Where: y stock (daily) returns (in %) Tue: Is a dummy variable equal 1 if day is a Tuesday, 0 otherwise Wed: Is a dummy variable equal 1 if day is a Wednesday, 0 otherwise Thu: Is a dummy variable equal 1 if day is a Thursday, 0 otherwise Is a dummy variable equal 1 if day is a Friday, 0 otherwise Fri Ouput Regression Statistics Multiple R 0.12 R Square 0.01 Adjusted R Square 0.00 Standard Error 0.79 Observations 252 ANOVA off $$ MS Significance F 0.50 Regression 4 2.07 052 0.84 247 152.79 0.62 Residual Total 251 154.86 Coefficients Standard Error Sto P-value Intercept -0.02 0.11 Tuesday 0.09 0.16 Wednesday 0.08 0.36 0.18 016 Thursday Friday 0.26 0.16 a. Calculate the missing outputs (t Stats and P-Values) and test using a = 0.05 to see whether the regression coefficients are statistically significant 10 marks b. Explain how you would interpret eac including the intercept the regression coefficients 5 marks c. How would you test the analyst's hypotheses? 5 marks
