Impact of GDP Changes on Stock Returns in Regression Analysis

In a multiple regression model analyzing the impact of various economic indicators on stock returns, the estimated regression equation is given by:

$$ R_i = eta_0 + eta_1 X_1 + eta_2 X_2 + eta_3 X_3 + ext{e} $$

where:

• $$ R_i $$ = the return on stock $i$
• $$ X_1 $$ = the change in interest rates
• $$ X_2 $$ = the percent change in GDP
• $$ X_3 $$ = inflation rate
• $$ eta_0, eta_1, eta_2, eta_3 $$ = regression coefficients

The estimated coefficients were found to be: $$ eta_0 = 0.02, eta_1 = -0.5, eta_2 = 1.2, eta_3 = -0.8 $$.

Based on this output, what can be concluded about the relationship between the change in GDP and stock returns?