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a.Present a table of the regression coefficients and t-statistics with indication of their statistical significance. Coefficient term Non-June daily abnormal returns Statistically significant relationships June
a.Present a table of the regression coefficients and t-statistics with indication of their statistical significance.
Coefficient term | Non-June daily abnormal returns | Statistically significant relationships | June daily abnormal returns | |
(1) | (2) | |||
Intercept | 0.0001 | 0.0001 | ||
(1.2299) | (0.3561) | |||
1 | -0.0111* | Positive REX-1predicts lower AR (reversal relationship) | -0.0098 | |
(-2.1365) | (-0.5240) | |||
2 | 0.0378** | Negative REX-1predicts lower AR (momentum relationship) | 0.0332 | |
(7.3388) | (1.9757) | |||
3 | -0.0027 | Not significant | -0.0039 | |
(-1.8788) | (-0.7969) | |||
4 | -0.0101** | Negative REX [-20,-2]predicts higher AR (reversal relationship) | 0.0035 | |
(-7.6116) | (0.7908) | |||
5 | 0.0005 | 0.0018 | ||
(1.4002) | (1.4288) | |||
6 | -0.0016** | 0.0039 | ||
(-3.4437) | (2.0794) | |||
7 | -0.0159 | 0.0410 | ||
(-1.8825) | (1.2965) | |||
8 | 0.0003** | 0.0000 | ||
(5.4343) | (0.1295) | |||
9 | 0.0005* | -0.0007 | ||
(2.3454) | (-1.0933) | |||
10 | -0.0006* | -0.0014 | ||
(-2.4846) | (-2.0157) | |||
11 | 0.0004* | 0.0002 | ||
(2.4231) | (0.3570) | |||
Obs. | 82,586 | 7,292 | ||
Adj. R-squared | 0.0022 | 0.0022 |
b) Discuss the abnormal return predictability implied by the regression results.
please help me to answer the question please
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