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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 MatchesRegression coefficientRegression coefficientTerm yielded by regression analysis that indicates the sensitivity of the dependent variable to a particular independent variable. See: Parameter. 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. Multiple regressionMultiple regressionThe estimated relationship between a dependent variable and more than one explanatory variable. Regression toward the meanRegression toward the meanThe tendency that a random variable will ultimately have a value closer to its mean value. Further SuggestionsRegression analysisSimple linear regression Linear regression Regression analysis First pass regression regression analysis |
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