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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

  1. 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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