Anticipate autocorrelation in this type of data

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Reference no: EM131137189

Below are results of a regression of = average stock returns (in percent) as a function of = average price/earnings ratios for the period 1949-1997 (49 years). Separate regressions were done for various holding periods (sample sizes are therefore variable). (a) Summarize what the regression results tell you. (b) Would you anticipate autocorrelation in this type of data? Explain. (Data are from Ruben Trevino and Fiona Robertson, "P/E Ratios and Stock Market Returns," Journal of Financial Planning 15, no. 2 [February 2002], p. 78.)

Holding Period

Intercept

Slope

t

2

p

1-Year

28.10

-0.92

1.86

.0688

.0686

2-Year

26.11

-0.86

2.57

.1252

.0136

5-Year

20.67

-0.57

2.99

.1720

.0046

8-Year

24.73

-0.94

6.93

.5459

.0000

10-Year

24.51

-0.95

8.43

.6516

.0000

Reference no: EM131137189

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