Ultimate access to all questions.
Explanation:
In the Fama-French three-factor model:
In the given results, the HML coefficient is -0.70. This negative correlation with the value factor indicates that the portfolio moves together with growth stocks.
No comments yet.
| 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?
A
There is a positive correlation between portfolio return and the size factor, which indicates that the portfolio moves together with large-cap stocks.
B
There is a positive correlation between portfolio return and the value factor, which indicates that the portfolio moves together with growth stocks.
C
There is a negative correlation between portfolio return and the size factor, which indicates that the portfolio moves together with large-cap stocks.
D
There is a negative correlation between portfolio return and the value factor, which indicates that the portfolio moves together with growth stocks.