Show transcribed image text SECTION C -ANSWER ONE QUESTION FROM THIS SECTION Question4 Answer ALL parts of this question A researcher has collected 100 consecutive daily returns on a particular SGL Industries, and 100 daily returns on the FTSE 100 covering the same period. Halfway through this 100 day sample, SGL released a very pos time sitive set of earnings figures. The researcher is interested in examining the impact of these earnings figures on SGL's stock price. Thus she runs the following regression: where r, is the daily return for SGL, r,is the daily FTSE 100 return, D', is a dummy variable taking the value one on the date of the earnings release and zero otherwise and Di, is a dummy variable that takes the value one only on the day immediately after the earnings release. The variable e, is an error term. The researcher estimates the model using OLS and obtains the following results: Dependent Variable: R Method: Least Squares Date: 11/10/14 Time: 18:07 Sample: 1 100 Included observations: 100 Variable Coefficient Std. Error t-Statistic Prob. RM D1 D2 0.001114 0.288796 0.003856 0.9969 1323088 0.320145 4.132772 0.0001 12.00740 2.925538 4.104338 0.0001 4.628374 2.883951 -1604872 0.1118 R-squared Adjusted R-squared0.230648 S.E. of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) 0.253962 Mean dependent var 0.112758 S.D. dependent var 3.253109 4.974070 5.078277 2.853389 Akaike info criterion 781.6157 Schwarz criterion 244.7035 Hannan-Quinn criter. 5.016244 10.89325 Durbin-Watson stat 1.986721 0000003 In the preceding and the following tables, R represents the return on SGL RM is the return on the FTSE-100, D1 is the first dummy variable mentioned above and D2 is the second dummy variable mentioned above. Interpret the coefficients that the researcher has obtained and run the hypothesis tests that you feel are appropriate for understanding the determination of SGL's returns. Comment on the regressionR a) [10 marks) Page 4 of 11