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# Suppose we asked our data miners to estimate the relationship between a portfolio of U.

Suppose we asked our data miners to estimate the relationship between a portfolio of U.S. automobile manufacturers and firm-specific exchange rate exposure, and they generate the below table (the t-statistic is in parentheses beneath the coefficient estimates; * indicates statistical significance at the 10% level, ** indicates statistical significance at the 5% level, and *** indicates statistical significance at the 1% level):

Firm

Intercept

Market risk

¥/\$

€/\$

U.S. portfolio

0.0028

(0.741)

1.0588

(13.697)***

-0.3413

(-1.874)*

0.3544

(2.098)**

37.3

GM

0.0012

(0.312)

0.9197

(11.879)***

-0.3335

(-2.003)**

0.5170

(2.959)***

32.4

FORD

0.0044

(1.072)

1.0048

(9.915)***

-0.2422

(-1.223)

0.1400

(0.789)

31.2

Discuss the impact the Japanese Yen and Euro had on each of the two major U.S. auto manufacturers as indicated in the above table. You need to make sure you discuss the statistical significant of the coefficient estimates. What does the adjusted R2 statistics mean; what will a 20% depreciation in the Japanese yen on stock returns (especially the stock returns of GM)?

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