You choose a company – Wayfair if possible.
Follow instructions provided in pdf…. It is detailed assignment instructions.
You will submit ONE group solution write-up, Please interpret your regression analysis results in the solution write-up.
1.Run the regression of stock returns on the three factors
2.Comment on the SAS regression output including
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a.Coefficient estimates on the intercept and the factors (the sign and magnitude that indicates the economic significance) and statistical significance (t-stat & p-value)
b.Overall fit and validity of the model: F-stat and its p-value
c.Goodness of fit of the model: R2 and Adjusted R2.
3.Run the regression of stock returns on the four factors
4.Comment on the SAS regression output including a-c as in Step 2.
5.Compare and comment on the differences between the two regressions (3- vs. 4-factor model)
6.Anything you’ve learnt from these exercises and would like to
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