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st: Finding the biggest R squared when estimating market-betas


From   "Mihai-Andrei Popescu-Greaca" <[email protected]>
To   <[email protected]>
Subject   st: Finding the biggest R squared when estimating market-betas
Date   Tue, 17 Aug 2010 21:24:00 +0200

Dear all,

I'm carrying out an event study and when regressing the stock return against
the market return (for 85 different stocks) I want to choose the market
return that yields the greatest R sqaured (best estimator).
How can make Stata show me the "mean" or "median" R squared for the 85
regressions.

Example:
I regress the 85 stocks against the NASDAQ Compostite and for each
regression I get an R squared.
I regress the 85 stocks againgst the S&P 500 and for each regression I get
an R squared.
How do I build the "mean" or "median" R squared from the regression against
the NASDAQ and compare it with the "mean" or "median" R squared from the
regression against the S&P 500?

I would appreciate your help!
Best regards,
Mihai

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