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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
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 | not statistically significant AR | 0.0018 | |
(1.4002) | (1.4288) | |||
6 | -0.0016** | statistically significant AR | 0.0039** | |
(-3.4437) | (2.0794) | |||
7 | -0.0159 | not statistically significant in predicting AR | 0.0410 | |
(-1.8825) | (1.2965) | |||
8 | 0.0003** | Positive coefficient (momentum relationship) (higher iskew [-20,-1] predicts higher AR) | 0.0000** | |
(5.4343) | (0.1295) | |||
9 | 0.0005* | statistically significant predicting | -0.0007** | |
(2.3454) | (-1.0933) | |||
10 | -0.0006* | statistically significant in predicting | -0.0014* | |
(-2.4846) | (-2.0157) | |||
11 | 0.0004* | statistically significant in predicting | 0.0002** | |
(2.4231) | (0.3570) | |||
Obs. | 82,586 | 7,292 | ||
Adj. R-squared | 0.0022 | 0.0022 |
- Discuss the abnormal return predictability implied by the regression results. (7 marks)
please help me to answer question 1 with the above table.
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