Regression Analyses with Multiple Variables

John Board, Alfonso Dufour, Yusuf Hartavi, Charles Sutcliffe and Stephen Wells
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John Board: Henley Business School, University of Reading
Yusuf Hartavi: Henley Business School, University of Reading
Stephen Wells: Henley Business School, University of Reading

Chapter 10 in Risk and Trading on London’s Alternative Investment Market: The Stock Market for Smaller and Growing Companies, 2015, pp 64-72 from Palgrave Macmillan

Abstract: Abstract In the multivariate regression analysis we used the main risk-related variables (size, industry, age and market) to explain differences in volatility. Our results suggested that AIM stocks are significantly more volatile, although the difference is far smaller than that given by the simple ratio analysis. However the strong correlation between age and market on which the stock is listed makes it difficult for a regression to distinguish the impact of the two variables.

Keywords: Daily Return; Industry Group; Monthly Return; Pool Regression; Stock Trade (search for similar items in EconPapers)
Date: 2015
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Persistent link: https://EconPapers.repec.org/RePEc:pal:palchp:978-1-137-36130-1_10

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DOI: 10.1057/9781137361301_10

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