b) The following regression results were obtained from an empirical investigation to establish predictors for stock returns in emerging capital markets

Returns = 0.284 + 0.092 market risk + 0.0041 Firm size - 0.022 Firm value

p-value (.104) (.007) (.117) (.000)

Se (2.204) (.0154) (.000853) (.0045)

n = 526, R ² = .316

Where p-values and standard errors appear in parentheses below the estimated coefficients.

Required:

1. Interpret the intercept term and coefficients on each independent variable. (4 marks)
2. Use p-values to identify significant predictors of stock returns. (2 marks)