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Multiple Linear Regression 57 be roughly 4.53%. Moreover, as expected, the change will be in the oppo- site direction to the cha ...

58 The Basics of financial economeTrics So, in this instance we have k = 2. The multiple linear regression to be estimated is y ...

Multiple Linear Regression 59 case. Note also that the estimated value of the regression coefficients are not much different tha ...

60 The Basics of financial economeTrics zero-coupon securities and coupon securities. Securities issued with one year or less to ...

Multiple Linear Regression 61 TAbLE 3.5 Monthly Data for 10-Year Treasury Yield, Expected Inflation (%), and Real Rate (%), Nove ...

62 The Basics of financial economeTrics TAbLE 3.5 (continued) Date 10-Yr. Treas. Yield Exp. Infl. Real Rate Date 10-Yr. Treas. Y ...

Multiple Linear Regression 63 TAbLE 3.5 (continued) Date 10-Yr. Treas. Yield Exp. Infl. Real Rate Date 10-Yr. Treas. Yield Exp. ...

64 The Basics of financial economeTrics TAbLE 3.5 (continued) Date 10-Yr. Treas. Yield Exp. Infl. Real Rate Date 10-Yr. Treas. Y ...

Multiple Linear Regression 65 TAbLE 3.5 (continued) Date 10-Yr. Treas. Yield Exp. Infl. Real Rate Date 10-Yr. Treas. Yield Exp. ...

66 The Basics of financial economeTrics indexes.^14 The rationale is that potential clients can buy a combination of specialized ...

Multiple Linear Regression 67 Sharpe benchmarks are determined by regressing periodic returns (e.g., monthly returns) on various ...

68 The Basics of financial economeTrics would have outperformed the benchmark by a wide margin (1.05%). In contrast, if the FRC ...

Multiple Linear Regression 69 There are two models reported. The first, denoted “Basic Model,” uses 12 asset class indexes selec ...

TAbLE 3.8 Hedge Funds Style Analysis (I) Basic Model Basic Model + Options Strategy Hillsdale Nippon Axiom CTA Hillsdale Nippon ...

Multiple Linear Regression 71 have argued that hedge funds pursue strategies that have option-like (non- linear) payoffs and thi ...

72 The Basics of financial economeTrics The multiple regression model is^21 =α+β β β β+e Mortgage spread (Averageswap rate) +(10 ...

Multiple Linear Regression 73 If the spread predicted by the model (i.e., model spread) exceeds the actual spread, the market is ...

74 The Basics of financial economeTrics Robert Jones analyzed the performance of the average large-cap mutual fund adjusted for ...

Multiple Linear Regression 75 Let’s interpret the results. The t-statistics of the betas are statistically significant for all l ...

76 The Basics of financial economeTrics The CAPM states that, given the assumptions, the expected return on asset is a positive ...