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Consider the data contained in the table below, which lists 30 monthiy excess returns to two different actively managed stock portfolios (A and B) and three different common risk factors (1,2, and 3), (Note: You may find if useful to use a computer spreadsheet program such as Microsoft Excel to catculate your antwers) del explain the variation in portfolio returns? On what basis can you make an evaluation of this nature? as the values in both regressions ard hat the three factors used in the models represent the risk egression results, which one of these factors is the most likel a-French characteristic-based mo yctor? Explain why. ly candidate for the market factor, because it has a - -Select- effect on both portfolios. led that Factor 3 is the HML factor. Which of the two portfolios is most likely to be a growth-oriented fund and which likely candidate for the value-oriented portfolio as it has a loading on this factor. likely candidate for the growth-oriented portfolio as it has a loading on this factor. xplain the variation in portfolio returns? On what basis can you make an evaluation of this nature? as the values in both regressions are he three factors used in the models represent the risk exposures in the Fama-French characteristic-based m sion results, which one of these factors is the most likely to be the market factor? Explain why. didate for the market factor, because it has f effect on both portfolios. jrowth-oriented fund and whic candidate for the value-oriented portfolio as if yctor. candidate for the growth-oriented portfolio as it has a loading on this factor. a. Using regression analysis, calculate the factor betas of each stock associated with each of the common risk factors. Which of these coefficients are statisticaliy significant. 5% level of significance? Fill in the tabie below, Use a minus sign to enter negative values, if any. Do not round intermediate calculations. Round your answers for factor betas to three decimal places and answers for t-statistics to two decimal places. b. How well does the factor model explain the variation in portfolio returns? On what basis can you make an evaluation of this nature? The factor models explain as the values in both regressions are c. Suppose rou are now told that the three foctors used in the models represent the risk exposures in the Fama-French characteristic-based modet (cie, excess market, sme, and HML), Based on your regression results, which one of these factors is the most lakely to be the market facterf Explain why. Is the most whely candidete for the market factor, bectuse it has a effect on both portfolios d. Suppose it is further revealed that factor 3 is the furt. factor, Which of the two portfelos is most isely to be a growth-riented fund and which is a value-oriented fund? Explain why. Is the more likely candidate for the value-oriented portfolio as it has a losding on this factor. is the more likely candidate for the grenth-ariented portolio as it has a lowding on this factor. b. How well does the factor model explain the variation in portfolio returns? On what basis can you make an evaluation of this na The factor models explain as thi_ues in both regressions are c. Suppose you are now told that the three fi and HML ). Based on your regression result models represent the risk exposures in the Fama-French character rese factors is the most likely to be the market factor? Explain why. is the most likely candidate for the market factor, because it has a effect on both p d. Suppose it is further revealed that Factor 3 is the HML. factor. Which of the two portfolios is most likely to be a growth-oriented Explain why. is the more likely candidate for the value-oriented portfolio as it has a loading on this factor: is the more likely candidate for the growth-oriented portfolio as it has a Consider the data contained in the table below, which lists 30 monthiy excess returns to two different actively managed stock portfolios (A and B) and three different common risk factors (1,2, and 3), (Note: You may find if useful to use a computer spreadsheet program such as Microsoft Excel to catculate your antwers) del explain the variation in portfolio returns? On what basis can you make an evaluation of this nature? as the values in both regressions ard hat the three factors used in the models represent the risk egression results, which one of these factors is the most likel a-French characteristic-based mo yctor? Explain why. ly candidate for the market factor, because it has a - -Select- effect on both portfolios. led that Factor 3 is the HML factor. Which of the two portfolios is most likely to be a growth-oriented fund and which likely candidate for the value-oriented portfolio as it has a loading on this factor. likely candidate for the growth-oriented portfolio as it has a loading on this factor. xplain the variation in portfolio returns? On what basis can you make an evaluation of this nature? as the values in both regressions are he three factors used in the models represent the risk exposures in the Fama-French characteristic-based m sion results, which one of these factors is the most likely to be the market factor? Explain why. didate for the market factor, because it has f effect on both portfolios. jrowth-oriented fund and whic candidate for the value-oriented portfolio as if yctor. candidate for the growth-oriented portfolio as it has a loading on this factor. a. Using regression analysis, calculate the factor betas of each stock associated with each of the common risk factors. Which of these coefficients are statisticaliy significant. 5% level of significance? Fill in the tabie below, Use a minus sign to enter negative values, if any. Do not round intermediate calculations. Round your answers for factor betas to three decimal places and answers for t-statistics to two decimal places. b. How well does the factor model explain the variation in portfolio returns? On what basis can you make an evaluation of this nature? The factor models explain as the values in both regressions are c. Suppose rou are now told that the three foctors used in the models represent the risk exposures in the Fama-French characteristic-based modet (cie, excess market, sme, and HML), Based on your regression results, which one of these factors is the most lakely to be the market facterf Explain why. Is the most whely candidete for the market factor, bectuse it has a effect on both portfolios d. Suppose it is further revealed that factor 3 is the furt. factor, Which of the two portfelos is most isely to be a growth-riented fund and which is a value-oriented fund? Explain why. Is the more likely candidate for the value-oriented portfolio as it has a losding on this factor. is the more likely candidate for the grenth-ariented portolio as it has a lowding on this factor. b. How well does the factor model explain the variation in portfolio returns? On what basis can you make an evaluation of this na The factor models explain as thi_ues in both regressions are c. Suppose you are now told that the three fi and HML ). Based on your regression result models represent the risk exposures in the Fama-French character rese factors is the most likely to be the market factor? Explain why. is the most likely candidate for the market factor, because it has a effect on both p d. Suppose it is further revealed that Factor 3 is the HML. factor. Which of the two portfolios is most likely to be a growth-oriented Explain why. is the more likely candidate for the value-oriented portfolio as it has a loading on this factor: is the more likely candidate for the growth-oriented portfolio as it has a