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You are interested in determining the effect of book to market ratio on the cross section of asset returns, controlling for overall market returns. You
You are interested in determining the effect of book to market ratio on the cross section of asset returns, controlling for overall market returns. You conduct a regression on 88 observations, using monthly returns, specified as follows: Rit=b0+b1(B/M)i(t1)+b2Rmarket+error Your regression results are as follows: Based on this information, what would be the predicted return for an asset with book to market ratio of 0.34 when the return on the market is 0.77%
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