金融计量 翻译 不要机器翻译The relevant value from the t-tables is for a

金融计量 翻译 不要机器翻译
The relevant value from the t-tables is for a 2-sided test with 5% rejection overall. T-k = 195; tcrit = 1.97. The null hypothesis is rejected at the 5% level if the absolute value of the test statistic is greater than the critical value. We would conclude based on this evidence that only firm size and market to book value have a significant effect on stock returns.
If a stock’s beta increases from 1 to 1.2, then we would expect the return on the stock to FALL by (1.2-1)*0.084 = 0.0168 = 1.68%
This is not the sign we would have expected on beta, since beta would be expected to be positively related to return, since investors would require higher returns as compensation for bearing higher market risk.
We would thus consider deleting the price/earnings and beta variables from the regression since these are not significant in the regression - i.e. they are not helping much to explain variations in y. We would not delete the constant term from the regression even though it is insignificant since there are good statistical reasons for its inclusion.