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    Bayu Giri
    1. The document contains summary statistics for variables from a dataset with 1,156 observations and 12 variables related to stock market returns and values. 2. Two regressions are run, with the dependent variable first being the value weighted return excluding dividends (vwretx), and second being the log of that variable. Both regressions find the independent variable (dep1), calculated as the difference between the value weighted return and vwretx divided by the total market value, to be statistically significant. 3. The regressions suggest a relationship between the dependent return variables and the independent variable measuring the difference between total and non-dividend returns divided by market value.

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    Answear 6

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    Bayu Giri
    19 views2 pages
    1. The document contains summary statistics for variables from a dataset with 1,156 observations and 12 variables related to stock market returns and values. 2. Two regressions are run, with the dependent variable first being the value weighted return excluding dividends (vwretx), and second being the log of that variable. Both regressions find the independent variable (dep1), calculated as the difference between the value weighted return and vwretx divided by the total market value, to be statistically significant. 3. The regressions suggest a relationship between the dependent return variables and the independent variable measuring the difference between total and non-dividend returns divided by market value.

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    investment theory assignment

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    Answear_6

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    1. The document contains summary statistics for variables from a dataset with 1,156 observations and 12 variables related to stock market returns and values. 2. Two regressions are run, with the dependent variable first being the value weighted return excluding dividends (vwretx), and second being the log of that variable. Both regressions find the independent variable (dep1), calculated as the difference between the value weighted return and vwretx divided by the total market value, to be statistically significant. 3. The regressions suggest a relationship between the dependent return variables and the independent variable measuring the difference between total and non-dividend returns divided by market value.

    Copyright:

    © All Rights Reserved
    Download as DOCX, PDF, TXT or read online from Scribd
    Download as docx, pdf, or txt
    19 views2 pages

    Answear 6

    Uploaded by

    Bayu Giri
    1. The document contains summary statistics for variables from a dataset with 1,156 observations and 12 variables related to stock market returns and values. 2. Two regressions are run, with the dependent variable first being the value weighted return excluding dividends (vwretx), and second being the log of that variable. Both regressions find the independent variable (dep1), calculated as the difference between the value weighted return and vwretx divided by the total market value, to be statistically significant. 3. The regressions suggest a relationship between the dependent return variables and the independent variable measuring the difference between total and non-dividend returns divided by market value.

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    © All Rights Reserved
    Download as DOCX, PDF, TXT or read online from Scribd
    Download as docx, pdf, or txt
    of 2

    Contains data

    obs: 1,156
    vars: 12
    --------------------------------------------------------------------------------------
    ----------------------------
    storage display value
    variable name type format label variable label
    --------------------------------------------------------------------------------------
    ----------------------------
    caldt long %12.0g calander date
    vwretd float %9.0g value weighted return_distrib
    vwretx float %9.0g value weighted return_exclud devidend
    ewretd float %9.0g equal weighted return_distriution
    ewretx float %9.0g equal weighted return_no distriution
    totval double %10.0g market value
    totcnt int %8.0g total market
    usdval double %10.0g market value of securities
    usdcnt int %8.0g count of securities
    spindx float %9.0g level on s&p
    sprtrn float %9.0g return on S&P
    dep1 float %9.0g
    -----------------------------------------------------------------------------------

    . summarize

    Variable | Obs Mean Std. Dev. Min Max


    -------------+---------------------------------------------------------
    caldt | 1,156 1.97e+07 278216.9 1.93e+07 2.02e+07
    vwretd | 1,155 .0095973 .0539893 -.287461 .414312
    vwretx | 1,155 .0064778 .0540655 -.291524 .412291
    ewretd | 1,155 .0115168 .0670525 -.310002 .680415
    ewretx | 1,155 .0085816 .0671454 -.314686 .677637
    -------------+---------------------------------------------------------
    totval | 1,156 4.50e+09 7.60e+09 6146082 4.21e+10
    totcnt | 1,156 367.3227 192.3103 89 506
    usdval | 1,155 4.47e+09 7.54e+09 6146082 4.21e+10
    usdcnt | 1,155 367.0069 192.3379 79 505
    spindx | 1,156 531.296 849.0574 4.43 4766.18
    -------------+---------------------------------------------------------
    sprtrn | 1,155 .0065594 .0537274 -.299423 .422222
    dep1 | 1,155 7.48e-11 1.60e-10 2.12e-14 1.51e-09

    1. Regression dividend
    . reg vwretx dep1

    Source | SS df MS Number of obs = 1,155


    -------------+---------------------------------- F(1, 1153) = 10.38
    Model | .030096916 1 .030096916 Prob > F = 0.0013
    Residual | 3.34314025 1,153 .002899515 R-squared = 0.0089
    -------------+---------------------------------- Adj R-squared = 0.0081
    Total | 3.37323716 1,154 .002923082 Root MSE = .05385

    ------------------------------------------------------------------------------
    vwretx | Coef. Std. Err. t P>|t| [95% Conf. Interval]
    -------------+----------------------------------------------------------------
    dep1 | -3.19e+07 9887548 -3.22 0.001 -5.13e+07 -1.25e+07
    _cons | .0088613 .0017486 5.07 0.000 .0054304 .0122921
    ------------------------------------------------------------------------------
    2. Regression dividend growth
    . reg log_vwretx dep1

    Source | SS df MS Number of obs = 1,155


    -------------+---------------------------------- F(1, 1153) = 24.02
    Model | .487133096 1 .487133096 Prob > F = 0.0000
    Residual | 23.3836614 1,153 .020280712 R-squared = 0.0204
    -------------+---------------------------------- Adj R-squared = 0.0196
    Total | 23.8707945 1,154 .020685264 Root MSE = .14241

    ------------------------------------------------------------------------------
    log_vwretx | Coef. Std. Err. t P>|t| [95% Conf. Interval]
    -------------+----------------------------------------------------------------
    dep1 | -1.28e+08 2.61e+07 -4.90 0.000 -1.79e+08 -7.69e+07
    _cons | -.9002241 .0046246 -194.66 0.000 -.9092978 -.8911505
    ------------------------------------------------------------------------------

    Codding
    tsset caldt
    describe
    summarize

    ###
    vwretex -- (vweetd-vwretx)/totval

    ##independent
    gen dep1=(vwretd-vwretx)/totval
    ##regression 1st
    reg vwretex dep1

    ##to get positive value of vwretd (before log)

    gen x_vwretx=(vwretx)+0.4

    ##toget log_vwretx
    gen log_vwretx=log(x_vwretx)

    ##regression 2nd
    reg log_vwretx dep1

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