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Now define a fourth quarter dummy as Q4,t 1 if return is in the fourth quarter and 0 otherwise. Suppose you drop the first quarter

Now define a fourth quarter dummy as Q4,t 1 if return is in the fourth quarter and 0 otherwise. Suppose you drop the first quarter dummy from regression (B1-2) and include the fourth quarter dummy instead such that D t t t t t R Q Q Q e , 4 4, 2 2, 3 3, . (B1-3) What will the estimated value of 4 2 3 , , , now be?

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