In regressions including a dummy for AUM above $150 million, the dummy is statistically significant and positive only in April and September 2012, and the explanatory power of the models measured by R-squared remains very limited.
Source quote, verbatim
The dummy variables are statistically significant and positive in April and September 2012. The F-statistics support the validity of the models, while the explanatory power, measured by the R- squared is still very limited.
From
Wulf A. Kaal, Barbara Luppi, Sandra Paterlini, Did the Dodd-Frank Act Impact Private Fund Performance – Evidence from 2010 – 2015 (2016), 5.2.1. Linear Regression, p. 10 https://ssrn.com/abstract=2816408 · source PDF
Cite as
Wulf A. Kaal, Barbara Luppi, Sandra Paterlini, Did the Dodd-Frank Act Impact Private Fund Performance – Evidence from 2010 – 2015 (2016). SSRN: https://ssrn.com/abstract=2816408
Holds when
linear models with dummy, December 2011 to December 2012
Table 5 results
Classification
empiricalsupport: evidencedresearch-methods
Related claims
supersedeskaal:claim:2389416-018 Adding a dummy for AUM above $150 million to the linear regressions leaves no variable significant at the 5 pe...
restateskaal:claim:2389416-019 The linear regression models are jointly valid on the F-statistic but their explanatory power measured by R-sq...
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