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Second pass regression |
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Second 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.Second pass regression Similar MatchesFirst pass regressionFirst pass regressionA time series regression to estimate the betas of securities portfolios. Linear regressionLinear regressionA statistical technique for fitting a straight line to a set of data points. Simple linear regressionSimple linear regressionA regression analysis between only two variables, one dependent and the other explanatory. Regression equationRegression equationAn equation that describes the average relationship between a dependent variable and a set of explanatory variables. 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 regressionregression analysis Regression toward the mean Regression coefficient Regression analysis Regression analysis |
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