Anticipate autocorrelation in this type of data

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Reference no: EM131137189

Below are results of a regression of Y = average stock returns (in percent) as a function of X = 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	R 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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