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5.compare and comment on the differences between the two regressions (3- vs. 4-factor model)
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Follow instructions provided in pdf…. It is detailed assignment instructions.
You will submit ONE group solution write-up, Please interpret your regression analysis results in the solution write-up.
1.Run the regression of stock returns on the three factors
2.Comment on the SAS regression output including
a.Coefficient estimates on the intercept and the factors (the sign and magnitude that indicates the economic significance) and statistical significance (t-stat & p-value)
b.Overall fit and validity of the model: F-stat and its p-value
c.Goodness of fit of the model: R2 and Adjusted R2.
3.Run the regression of stock returns on the four factors
4.Comment on the SAS regression output including a-c as in Step 2.
5.Compare and comment on the differences between the two regressions (3- vs. 4-factor model)
6.Anything you’ve learnt from these exercises and would like to