I am interpreting multiple regression analysis with the dependent variable being rate of return (ROR) on a stock. Also, I have included a dummy-variable that represents the stock getting included and excluded out of an index (1 = included, 0 = excluded). The output showed a negative coefficient-value (the value is -0,03852), and I´m not quite sure how to make of this. Does this mean that being included in an index has a negative effect on the dependent variable?
Could someone please provide me an "easy" explanation? Thanks!
It means when the stock is included (value of 1), you expect the rate of return to decrease by 0.03852. More or less, i guess you can call it a negative effect. What you should check is whether this coefficient is significant or what is the standard error of this coefficient. Usually regression tools should provide that.