You have just constructed a time-series of monthly returns for a hedge portfolio. When you regress...
Fantastic news! We've Found the answer you've been seeking!
Question:
Transcribed Image Text:
You have just constructed a time-series of monthly returns for a hedge portfolio. When you regress those monthly returns on the 3-factor model of Fama and French with 60 months of data you obtain the following coefficient estimates: Intercept MKTRF SMB HML MKTRF SMB HML The realised monthly returns of the three factors for March 2022 were as follows: 0.0060 0.0 1.2 0.2 0.0080 -0.0030 -0.8 Based on the above, what is the predicted annualised 3-factor return for March 2022? You have just constructed a time-series of monthly returns for a hedge portfolio. When you regress those monthly returns on the 3-factor model of Fama and French with 60 months of data you obtain the following coefficient estimates: Intercept MKTRF SMB HML MKTRF SMB HML The realised monthly returns of the three factors for March 2022 were as follows: 0.0060 0.0 1.2 0.2 0.0080 -0.0030 -0.8 Based on the above, what is the predicted annualised 3-factor return for March 2022?
Expert Answer:
Answer rating: 100% (QA)
To calculate the predicted annualized 3factor return for March 2022 we can use the coeffi... View the full answer
Related Book For
Posted Date:
Students also viewed these finance questions
-
1. The famous capital asset pricing model or CAPM is a single factor model that characterizes the portion of an assets total return that results from systematic movements in the broader market. It is...
-
Today is March 29, 2019, and you have just started your new job with a financial planning firm. In addition to studying for all your license exams, you have been asked to review a portion of a...
-
The French economist Antoine Cournot developed an interesting model of competition in an oligopoly that now bears his name. In a Cournot oligopoly, all of the firms know that the total output from...
-
y Working this on the www.bis.doc.gov website. "MY company makes fingerprinting powder kits for both domestic and external clients. It is a popular item in my inventory. I have a new customer in...
-
Saturated steam at 1 atm condenses on the outer surface of a vertical. 100-mm-diameter pipe 1 m long, having a uniform surface temperature of 94C. Estimate the total condensation rate and the heat...
-
What are the similarities and differences in the form of accounts receivable and parable confirmation letters?
-
Fossil is famous for fashion wristwatchcs and leather goods. At the end of a recent year. Fossils total assets added up to \($345\) million, and stockholders equity was \($240\) million. How much...
-
Many people are concerned about the rising price of gasoline. Suppose that government officials are thinking of capping the price of gasoline below its current price. Which of the following outcomes...
-
As a financial planner is it wise to suggest to a client that those who work longer, then to live longer? Are there any research to support that theory or thought process? Cite source
-
Huegel Hollow Resort has ordered 20 rotomolded kayaks from Current Designs. Each kayak will be formed in the rotomolded oven, cooled, and then the excess plastic trimmed away. Then, the hatches,...
-
A population of punishers is described by the DTDS ++1=-0.8.x,+1800 where x is the density after t weeks. FIND the general Solution of the DTDS if initially o=4000
-
The Australian economy experienced a contraction due to the COVID-19 lockdowns. In terms of aggregate demand (AD), explain why the lockdowns caused this contraction. (You do not need to draw a...
-
What are the major factors that determine investment, and what impact does each have on aggregate demand? Describe the difference between a microeconomics demand curve and an aggregate demand curve....
-
A short write-up about who the presidential candidates were for 2020 and what forms of media, including social media, you witnessed. Include them in your write-up as well as if there are any of the...
-
QUESTION 3 a) Differentiate between the following concepts: increasing return to scale, decreasing return to scale and constant return to scale. [6 Marks] b) Characterise the short-run profit...
-
Explain how the two companies have continued to evolve their ERP systems over time, what lessons can be learned from Amazon and Apple's ERP integration experiences, and how can these lessons be...
-
Agri Bank has $2,000 in vault cash and $15,000 in deposits at the Federal Reserve Bank. Agri Bank has total loans = $45,000 and total deposits = $100,000. The Fed requires reserves = 10% of deposits....
-
Imagine that your best friend knows you are taking a psychology course and wonders what psychology is all about. How would you define psychology for your friend? Write an essay on the discipline of...
-
Calculate the unemployment rate and the labor force participation rate in the following cases: a. Employed: 100 million. Population: 200 million. In labor force: 110 million. b. Unemployed: 10...
-
In the process of creative destruction, what gets destroyed? Is it Firms Workers Machines Buildings Business plans Valuable relationships Or some combination of these? The chapter itself contains...
-
a. Two girls are sharing a cold chocolate milk, as in the picture below. How long do you think it will take them to drink all the milk? How long would it take if each girl had their own glass and...
-
For the system methanol (1)-methyl acetate (2), the activity coefficients for components 1 and 2 are represented by where \[ \begin{aligned} \ln \gamma_{1} & =A x_{2}^{2} \quad \text { and } \quad...
-
Deduce the Gibbs-Duhem-Margules equation for a binary solution starting from Raoult's law.
-
The vapour pressure of acetone, acetonitrile and nitromethane can be represented by Antoine equations as \[ \begin{aligned} & \ln P_{1}^{\text {Sat }}=14.3916-\frac{2795.82}{T+230.0} \\ & \ln...
Study smarter with the SolutionInn App