第3章多元回归德信分析估计.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. 湖北大学商学院chen qianli * Is there an Overreaction Effect in the UK Stock Market? Results 湖北大学商学院chen qianli * Testing for Se