R-squared measurement in multifactor pricing model

Research output: Chapter in Book/Report/Conference proceedingConference contribution

2 Citations (Scopus)

Abstract

The importance of the adjusted R-squared (R2) in multiple regression is to measure how well a model explains the response variable from independent variables. R2 sometimes induces some mistaken ideas and peculiar claims. Statistically, the larger the R2 is, the better explanatory power the model has. However, large R2 does not occur commonly in empirical study, for one should consider the practical significance of the explanatory variables, not just the statistics. This study examines the usefulness of R2 in multifactor pricing model of Shanghai Stock Exchange (SHSE). The results of this study show that the ability of R2 in information interpretation is not convinced in empirical study.

Original languageEnglish
Title of host publication2015 UKM FST Postgraduate Colloquium: Proceedings of the Universiti Kebangsaan Malaysia, Faculty of Science and Technology 2015 Postgraduate Colloquium
PublisherAmerican Institute of Physics Inc.
Volume1678
ISBN (Electronic)9780735413252
DOIs
Publication statusPublished - 25 Sep 2015
Event2015 Postgraduate Colloquium of the Universiti Kebangsaan Malaysia, Faculty of Science and Technology, UKM FST 2015 - Selangor, Malaysia
Duration: 15 Apr 201516 Apr 2015

Other

Other2015 Postgraduate Colloquium of the Universiti Kebangsaan Malaysia, Faculty of Science and Technology, UKM FST 2015
CountryMalaysia
CitySelangor
Period15/4/1516/4/15

Fingerprint

regression analysis
statistics

Keywords

  • goodness of fit
  • multiple regression
  • R-squared
  • standard error

ASJC Scopus subject areas

  • Physics and Astronomy(all)

Cite this

Jianlong, W., Jaaman @ Sharman, S. H., & Samsudin, H. B. (2015). R-squared measurement in multifactor pricing model. In 2015 UKM FST Postgraduate Colloquium: Proceedings of the Universiti Kebangsaan Malaysia, Faculty of Science and Technology 2015 Postgraduate Colloquium (Vol. 1678). [060001] American Institute of Physics Inc.. https://doi.org/10.1063/1.4931328

R-squared measurement in multifactor pricing model. / Jianlong, Wang; Jaaman @ Sharman, Saiful Hafizah; Samsudin, Humaida Banu.

2015 UKM FST Postgraduate Colloquium: Proceedings of the Universiti Kebangsaan Malaysia, Faculty of Science and Technology 2015 Postgraduate Colloquium. Vol. 1678 American Institute of Physics Inc., 2015. 060001.

Research output: Chapter in Book/Report/Conference proceedingConference contribution

Jianlong, W, Jaaman @ Sharman, SH & Samsudin, HB 2015, R-squared measurement in multifactor pricing model. in 2015 UKM FST Postgraduate Colloquium: Proceedings of the Universiti Kebangsaan Malaysia, Faculty of Science and Technology 2015 Postgraduate Colloquium. vol. 1678, 060001, American Institute of Physics Inc., 2015 Postgraduate Colloquium of the Universiti Kebangsaan Malaysia, Faculty of Science and Technology, UKM FST 2015, Selangor, Malaysia, 15/4/15. https://doi.org/10.1063/1.4931328
Jianlong W, Jaaman @ Sharman SH, Samsudin HB. R-squared measurement in multifactor pricing model. In 2015 UKM FST Postgraduate Colloquium: Proceedings of the Universiti Kebangsaan Malaysia, Faculty of Science and Technology 2015 Postgraduate Colloquium. Vol. 1678. American Institute of Physics Inc. 2015. 060001 https://doi.org/10.1063/1.4931328
Jianlong, Wang ; Jaaman @ Sharman, Saiful Hafizah ; Samsudin, Humaida Banu. / R-squared measurement in multifactor pricing model. 2015 UKM FST Postgraduate Colloquium: Proceedings of the Universiti Kebangsaan Malaysia, Faculty of Science and Technology 2015 Postgraduate Colloquium. Vol. 1678 American Institute of Physics Inc., 2015.
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