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SRKX
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To answer you correctly we'd need to see the exact inputs of your regression... and I doubt you can mix easily linear and binary variables like that.

If the market return is 1% at time $t$ do you have $R_{m,t} = 0.01$ or $R_{m,t} = 1$. Same question for $R_t$

Assuming both are using the "0.01" convention, then a move of $1\% = 0.01$ results in a move of $\beta_1 \cdot 0.01 = 0.00024 = 0.024\%$. Same reasoning for the other beta.

You should also make sure that the parameters you fitted are statistically meaningful, by checking their p-values, as a starting point.

To answer you correctly we'd need to see the exact inputs of your regression...

If the market return is 1% at time $t$ do you have $R_{m,t} = 0.01$ or $R_{m,t} = 1$. Same question for $R_t$

Assuming both are using the "0.01" convention, then a move of $1\% = 0.01$ results in a move of $\beta_1 \cdot 0.01 = 0.00024 = 0.024\%$. Same reasoning for the other beta.

You should also make sure that the parameters you fitted are statistically meaningful, by checking their p-values, as a starting point.

To answer you correctly we'd need to see the exact inputs of your regression... and I doubt you can mix easily linear and binary variables like that.

If the market return is 1% at time $t$ do you have $R_{m,t} = 0.01$ or $R_{m,t} = 1$. Same question for $R_t$

Assuming both are using the "0.01" convention, then a move of $1\% = 0.01$ results in a move of $\beta_1 \cdot 0.01 = 0.00024 = 0.024\%$. Same reasoning for the other beta.

You should also make sure that the parameters you fitted are statistically meaningful, by checking their p-values, as a starting point.

Source Link
SRKX
  • 11.2k
  • 4
  • 42
  • 84

To answer you correctly we'd need to see the exact inputs of your regression...

If the market return is 1% at time $t$ do you have $R_{m,t} = 0.01$ or $R_{m,t} = 1$. Same question for $R_t$

Assuming both are using the "0.01" convention, then a move of $1\% = 0.01$ results in a move of $\beta_1 \cdot 0.01 = 0.00024 = 0.024\%$. Same reasoning for the other beta.

You should also make sure that the parameters you fitted are statistically meaningful, by checking their p-values, as a starting point.