In this paper we consider a linear regression model when error terms obey a multivariate t distribution, and examine the effects of departure from normality of error terms on the exact distributions of the coefficient of determination (say, R² ) and adjusted R² (say, R² ). We derive the exact formulas for the density function, distribution function and m -th moment, and perform numerical analysis based on the exact formulas. It is shown that the upward bias of R² gets serious and the standard error of R² gets large as the degrees of freedom of the multivariate t error distribution (say, ν₀) get small. The confidence intervals of R² and R² are examined, and it is shown that when the values of ν₀ and the parent coefficient of determination (say, Φ) are small, the upper confidence limits are very large, relative to the value of Φ.