Key points are not available for this paper at this time.
The importance of the adjusted R-squared (R2) in multiple regression is to measure how well a model explains the response variable from independent variables. R2 sometimes induces some mistaken ideas and peculiar claims. Statistically, the larger the R2 is, the better explanatory power the model has. However, large R2 does not occur commonly in empirical study, for one should consider the practical significance of the explanatory variables, not just the statistics. This study examines the usefulness of R2 in multifactor pricing model of Shanghai Stock Exchange (SHSE). The results of this study show that the ability of R2 in information interpretation is not convinced in empirical study.
Jianlong et al. (Thu,) studied this question.