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Econ326-assignment3finish

Econ326-assignment3finish - 0.311 in the three different...

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Intercept (t-stat) Beta (t-stat) Jan (t-stat) R 2 JB test (p- value) Jan 1990- Dec1999 0.0055 (0.5962) 1.1658 (5.254) 0.0214 (0.6866) 0.1943 0.2536 (0.881) Jan 1990- Dec 1994 0.0122 (0.9692) 1.5159 (4.507) 0.0266 (0.6112) 0.2649 2.9120 (0.233) Jan 1995- Dec 1999 0.0006 (0.0448) 0.96451 (3.157) 0.0194 (0.4293) 0.1536 2.334 (0.311)

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This report is used to analyzing the summary statistic for Nike incorporation which the market returns as benchmarks of market performance gives the return on the market. The following table shows the estimated result of intercept, beta, Jan, R 2 , and JB test in three periods. We can find the normally distributed by comparing the calculated value of the P- value and the 5% significance level. The p-value in the table shows 0.881, 0.233, and
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Unformatted text preview: 0.311 in the three different periods that are greater than 0.05. There is in sufficient evidence from the residuals to conclude that the normal distribution is unreasonable. When we split the sample into two halves, we can observe the similarity of coefficient for the January effect. From Jan 1990 to Dec 1994, the Jan coefficient becomes 0.0266. The second half of the data, from January 1995 to December 1999, we have a Jan coefficient of 0.0194. We can see immediately that Nike Inc’s first five years (0.0266) and the last five years (0.0194) both show a positive results in January. Therefore, there is evidence that January tens to give a higher return....
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Econ326-assignment3finish - 0.311 in the three different...

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