[第3章多元回归分析估计.pptVIP

湖北大学商学院chen qianli * Allowing for Differences in the Riskiness of the Winner and Loser Portfolios Problem: Significant and positive ?1 could be due to higher return being required on loser stocks due to loser stocks being more risky. Solution: Allow for risk differences by regressing against the market risk premium: = ?2 + ?(Rmt-Rft) + ?t (Test 2) where Rmt is the return on the FTA All-share Rft is the return on a UK government 3 month t-bill. Evaluation only. Created with Aspose.Slides for .NET 3.5 Client Profile 5.2.0.0. Copyright 2004-2011 Aspose Pty Ltd. 湖北大学商学院chen qianli * Is there an Overreaction Effect in the UK Stock Market? Results Evaluation only. Created with Aspose.Slides for .NET 3.5 Client Profile 5.2.0.0. Copyright 2004-2011 Aspose Pty Ltd. 湖北大学商学院chen qianli * Testing for Seasonal Effects in Overreactions Is there evidence that losers out-perform winners more at one time of the year than another? To test this, calculate the difference between the winner loser portfolios as previously, , and regress this on 12 month-of-the-year dummies: Significant out-performance of losers over winners in, June (for the 24-month horizon), and January, April and October (for the 36-month horizon) winners appear to stay significantly as winners in March (for the 12-month horizon). Evaluation only. Created with Aspose.Slides for .NET 3.5 Client Profile 5.2.0.0. Copyright 2004-2011 Aspose Pty Ltd. 湖北大学商学院chen qianli * 第三章 多元回归分析：估计 简单回归分析缺陷：关键假设SLR.3通常不现实 多元回归分析的优点： 可以明确地控制其他影响因变量的因素，更适合于其他条件不变情况下的分析。 可以用以添加相当一般化的函数关系。 多元回归模型是经济学和其他社会科学进行经验分析时使用得最广泛的一个工具。 Evaluation only. Created with Aspose.Slides for .NET 3.5 Client Profile 5.2.0.0. Copyright 2004-2011 Aspose Pty Ltd. 湖北大学商学院chen qianli * 3.1 多元回归的动因 两自变量的模型：以例子说明多元回归的优点 多元回归分析能更好刻画变量之间的因果关系 考虑以下两个模型的区别： 多元回归模型可以将影响因变量的其他因素中的可观测部分以自变量的形式包括在回归模型中，从而控制这些因素的影响。 Evaluation only. Created with Aspose.Slides for .NET 3.5 Client Profile 5.2.0.0. Copyright 2004-2011 Aspose