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Given the following regression and SAS output: Ret; = a + Bsox (Dsoxi) + BMKT (Retakti) + Binter (Inter;) Where Ret; is the return on
Given the following regression and SAS output: Ret; = a + Bsox (Dsoxi) + BMKT (Retakti) + Binter (Inter;) Where Ret; is the return on firm i; Dsox is a dummy that takes on the value 0 for all dates before the Sarbanes-Oxley act, and 1 for all dates after; Retmit is the return on the market proxy and Inter is an interaction term between Dsox and RetMKT. Variable Label Intercept Intercept Dsox Parameter Estimates Parameter Standard DF Estimate Error t Value Pr> 1t| 1 0.00030120 0.00046396 0.65 0.5163 1 -0.00033378 0.00065388 -0.51 0.6098 1 0.84448 0.03258 25.92 <.0001 mkt inter accordingly stock i beta before the sarbanes-oxley act is equal to and it after>
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