FRM-Regression analysis

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FRM-Regression analysis

Postby anbu.edu » Thu Apr 18, 2013 11:21 pm

Seventy-two monthly stock returns for a fund between 1997 and 2002 are regressed against the market return, measured by the Wilshire 5000, and two dummy variables. The fund changed managers on January 2, 2000. Dummy variable one is equal to 1 if the return is from a month between 2000 and 2002. Dummy variable number two is equal to 1 if the return is from the second half of the year. There are 36 observations when dummy variable one equals 0, half of which are when dummy variable two also equals 0. The following are the estimated coefficient values and standard errors of the coefficients.

Coefficient

Value

Standard error

Market

1.43000

0.319000

Dummy 1

0.00162

0.000675

Dummy 2

−0.00132

0.000733

What is the p-value for a test of the hypothesis that the new manager outperformed the old manager?

A) Lower than 0.01.
B) Between 0.05 and 0.10.
C) Between 0.01 and 0.05.
D) Greater than 0.1

Source Schweser

I dont kno how to proceed with this question

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