Exercise

p-values and coefficients

You can use the .pvalues attribute on a fitted smf.ols regression model to retrieve the p-values for each coefficient.

Normally, p-values less than 0.05 are considered statistically significant.

Coefficients can be extracted from the fitted regression object using the .params attribute.

In this example, a statistically significant negative SMB ('Small Minus Big') coefficient would signify a factor exposure to large cap stocks, while a positive coefficient would signify an exposure to small cap stocks.

The fitted regression model FamaFrench_fit from the previous exercise is available in your workspace.

Instructions

100 XP

Extract the p-value for 'SMB'.
Extract the regression coefficient for 'SMB'.