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B. The table below shows the results of the linear regression for a cross-section of 66 com- panies. The size and book-to-market data for each
B. The table below shows the results of the linear regression for a cross-section of 66 com- panies. The size and book-to-market data for each company are for December 2001. The return data for each company are for January 2002. Results from Regressing Returns on the Book-to-Market Ratio and Size Coefficient Standard Error Intercept 0.08 25 0. 1644 (B/M); -0.0541 0.0588 Size ; -0.0164 0.0350 12 = 66 Soure: FactSet. Determine whether the book-to-market ratio and size are each useful for explain- ing the cross-section of asset returns. Use a 0.05 significance level to make your decision
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