Question

please choose the correct answers

Regression Statistics Multiple R R Square Adjusted R Square Standard Error Observations 0.496047946 0.246063564 0.205674112 0.082322859 作少 60 Intercept Mkt-RF SMB HML Coefficients Standard Error t Stat 0.026911876 0.011569784 2.326048238 0.565675211 0.381955416 1.480998008 1.588686162 0.434827534 3.653600652 0.166588781 0.456612309 0.364836377

Answer 1

From the output given, the observations are 60, therefore, the degrees of freedom for t-test is n-1= 59. The t-critical value at 59 degrees of freedom at 0.05 level of significance is = 2. For the variables to be statistically different from zero, the absolute t Stat value for the variable should be greater than 2. From the output, It - stata = |2.33 > 2, \ - statsmB = 3.65 > 2, and t-statut 10.36 <2. Therefore, alpha and SMB are statistically different from 0, but HML is not. Hence, the correct answers are as follows: 2. The estimate of alpha is statistically different from zero because 2.33>2. 7. The estimate of HML coefficient is statistically equal to zero because 0.36 <2.