Financial Risk Manager Part 2
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Q-58. An analyst uses the Fama-French three-factor model. The analyst regresses thirty years of weekly portfolio returns against the three factors of the model. The analyst obtains the following regression results:
Alpha 0.10 Market coefficient 0.52 SMB coefficient 0.18 HML coefficient -0.70
Assuming all estimated coefficients are statistically significant, which of the following is correct?
Q-58. An analyst uses the Fama-French three-factor model. The analyst regresses thirty years of weekly portfolio returns against the three factors of the model. The analyst obtains the following regression results:
| Alpha | 0.10 |
|---|---|
| Market coefficient | 0.52 |
| SMB coefficient | 0.18 |
| HML coefficient | -0.70 |
Assuming all estimated coefficients are statistically significant, which of the following is correct?
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