Study Session 3——LOS12.0 Mutiple Regression And Issues in REGRESSION ANALYSIS

讲义第15页
(5)a function of the dependent variable is used as an independent variable (“forecasting the past”). 下面解释了“forcasting the past", 但没解释”a function of the dependent variable“。ln(M)就算取七月末的值，也不能說是a function of dependent variable吧？

The proper specification of the model is to measure the dependent variable as returns during a particular month (say july 1996),and the independent variable ln(M) as the natural log of market capitalization at the beginning of July.Remember that market cap is equal to shares outstandard times price per share.If we measure market cap at the end of july and use it in our regression,we’re naturally going to conclude that stocks with higher market cap at the end of july had higher returns during july......