Financial Risk Manager Part 1
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When evaluating the results derived from a regression analysis, which of the following statements is correct?
A
The estimated coefficient of 0.3533 indicates that the returns of the Russell 3000 Index are more statistically significant in determining the portfolio returns than the other two indexes.
B
The high adjusted R2 indicates that the estimated coefficients on the Russell 1000, Russell 2000, and Russell 3000 Indexes are statistically significant.
C
The high p-value of 0.9452 indicates that the regression coefficient of the returns of the Russell 1000 Index is more statistically significant than the other two indexes.
D
The high correlations between each pair of index returns indicate that multicollinearity exists between the variables in this regression.