The regression for Fama-French 3-Factor model is as follows. where R - RF = a +...
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The regression for Fama-French 3-Factor model is as follows. where R₁₁ - RF₁ = a + ß₁ (RM₁ - R£ ¡ )+ ß₂SMB₁ + ß²HML¸ +&¡¡ i,t F,t F,t RM, RE,t is market premium (X₁) SMB, is small minus big cap premium (X₂) HML is high minus low premium, a measure of value over growth (X3), i.e., the return of a portfolio of stocks with a high book-to-market ratio in excess of the return on a portfolio of stocks with a low book-to-market ratio. Using the daily stock return data of XYZ company from May 2019 to May 2022, the regression output is in the following table: XYZ Intercept Coefficient of X1 Coefficient of X2 Coefficient of X3 Coefficient p-value 0.3656 <0.0001 0.0935 0.0176 0.00135 0.9332 0.27552 -0.6034 1) At the significance level of 5%, which statement is correct? A. The stock is predominantly a growth stock. B. The stock is predominantly a large-cap stock. C. All of the above. D. None of the above. The regression for Fama-French 3-Factor model is as follows. where R₁₁ - RF₁ = a + ß₁ (RM₁ - R£ ¡ )+ ß₂SMB₁ + ß²HML¸ +&¡¡ i,t F,t F,t RM, RE,t is market premium (X₁) SMB, is small minus big cap premium (X₂) HML is high minus low premium, a measure of value over growth (X3), i.e., the return of a portfolio of stocks with a high book-to-market ratio in excess of the return on a portfolio of stocks with a low book-to-market ratio. Using the daily stock return data of XYZ company from May 2019 to May 2022, the regression output is in the following table: XYZ Intercept Coefficient of X1 Coefficient of X2 Coefficient of X3 Coefficient p-value 0.3656 <0.0001 0.0935 0.0176 0.00135 0.9332 0.27552 -0.6034 1) At the significance level of 5%, which statement is correct? A. The stock is predominantly a growth stock. B. The stock is predominantly a large-cap stock. C. All of the above. D. None of the above. The regression for Fama-French 3-Factor model is as follows. where R₁₁ - RF₁ = a + ß₁ (RM₁ - R£ ¡ )+ ß₂SMB₁ + ß²HML¸ +&¡¡ i,t F,t F,t RM, RE,t is market premium (X₁) SMB, is small minus big cap premium (X₂) HML is high minus low premium, a measure of value over growth (X3), i.e., the return of a portfolio of stocks with a high book-to-market ratio in excess of the return on a portfolio of stocks with a low book-to-market ratio. Using the daily stock return data of XYZ company from May 2019 to May 2022, the regression output is in the following table: XYZ Intercept Coefficient of X1 Coefficient of X2 Coefficient of X3 Coefficient p-value 0.3656 <0.0001 0.0935 0.0176 0.00135 0.9332 0.27552 -0.6034 1) At the significance level of 5%, which statement is correct? A. The stock is predominantly a growth stock. B. The stock is predominantly a large-cap stock. C. All of the above. D. None of the above.
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Related Book For
Corporate Finance
ISBN: 978-0077861759
10th edition
Authors: Stephen Ross, Randolph Westerfield, Jeffrey Jaffe
Posted Date:
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