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First pass regression |
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First pass regressionA time series regression to estimate the betas of securities portfolios.First pass regression Similar MatchesRegression analysisRegression analysisAnalysis which examines the correlation between two or more variables in a mathematical model and attempts to prove whether or not the past relationships will be the same in the future. Regression analysis is used in the Black-Scholes option pricing model, portfolio theory and the capital asset pricing model. Regression coefficientRegression coefficientTerm yielded by regression analysis that indicates the sensitivity of the dependent variable to a particular independent variable. See: Parameter. Simple linear regressionSimple linear regressionA regression analysis between only two variables, one dependent and the other explanatory. Second pass regressionSecond pass regressionA cross-sectional regression of portfolio returns on betas. The estimated slope is the measurement of the reward for bearing systematic risk during the period analyzed. RegressionRegressionA mathematical technique used to explain and/or predict. The general form is Y = a + bX + u, where Y is the variable that we are trying to predict; X is the variable that we are using to predict Y, a is the intercept; b is the slope, and u is the regression residual. The a and b are chosen in a way to minimize the squared sum of the residuals. The ability to fit or explain is measured by the R-square. Further SuggestionsMultiple regressionLinear regression Regression analysis Regression analysis Regression toward the mean Regression equation |
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