Suppose we run a six-factor model, including market, size, value, momentum, profitability (RMW) and investments (CMA). The
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Question:
Suppose we run a six-factor model, including market, size, value, momentum, profitability (RMW) and investments (CMA). The regression results are as below:
Compare the six-factor alpha with the four-model alpha and discuss the difference in the context of active fund management.
Related Book For
Managerial Economics and Business Strategy
ISBN: 978-1259290619
9th edition
Authors: Michael Baye, Jeff Prince
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