i got a quick question if someone can help me. Its not from the CFAI books, but from my own finance course textbook (final in 2 weeks ). Anyways, in a regression output for a certain stock, would the standard error of the regression = standard deviation of firm-specific variability? Thanks
Probably but it depends a little on what your model is.
Standard error of the regression sounds like “standard error of the (in-sample) prediction”. If that’s what you mean by standard error of the regression, then it would be the same as the standard deviation of firm-specific variability if you are measuring the stock’s periodic return versus the market return (and any other system-wide factors like growth-value or capitalization, if they are in your model).
Yea, sorry for not clarifying, I’ve never modeled before. I wasnt 100% sure, but you confirmed it. thanks