Hi all,
I run 12 regressions on the bid premium in a Event Study. For the first 7 regressions, when adding the explanatory variables (after the control variables for the first regression), the constant or intercept stays insignificant and explains less after adding the variables. But from regression 7 forward, when adding variables which have a significant effect on the bid premium, the constant becomes significant as well.
This feels very contra intuitive since the intercept (or constant) is the mean of the response when all predictors are zero.
Does anyone has a logical explanation for this?? Or an article I could refer to??? One can find the snapshot in the attached file.
Would mean the world to me.
I run 12 regressions on the bid premium in a Event Study. For the first 7 regressions, when adding the explanatory variables (after the control variables for the first regression), the constant or intercept stays insignificant and explains less after adding the variables. But from regression 7 forward, when adding variables which have a significant effect on the bid premium, the constant becomes significant as well.
This feels very contra intuitive since the intercept (or constant) is the mean of the response when all predictors are zero.
Does anyone has a logical explanation for this?? Or an article I could refer to??? One can find the snapshot in the attached file.
Would mean the world to me.
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