Consider the data contained in the table below, which lists 30 monthly excess returns to two different actively managed stock portfolos (A and 8 ) and three different common risk factors (1,2, and 3). (Note: You may find it useful to use a computer spreadsheet program such as Microsoft Excel to calculate your answers.) a. Using regression analysis, calculate the factor betos of each stock associated with each of the common risk factors. Which of these coefficients are statistically significant at 5\% level of significance? Fill in the table below. Use a minus sign to enter negative values, if any. Do not round intermediate calculations. Round your answers for factar 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 modeis explain as the values in both regressions are c. Suppose you are now told that the three factors used in the modeis represent the risk exposures in the Fama-French characteristic-based model (h. e., excess market, sMo. and HML). Based on your regression results, which one of these factors is the most likely to be the market factor? Explain why. is the most likely candidate for the market factor, beceuse it has a effect on both portfolios. 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 fund and which is a value-oniented fund? Explain why. is the more likely candidate for the value-oriented portfolis as it has a loading on this facter. is the more likelv candidate for the growth-oriented portfolio as it has a losding 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 nature? The factor models expla "is the values in both regressions are c. Suppose you are now th ree factors used in the models represent the risk exposures in the Fama-French characteristic-based model (i.e. and HML), Based on yoi results, which one of these 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 portfolios. 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 fund and which is a va Explain why. is the more likely candidate for the value-oriented portfollo as it has a loading on this factor. Is the more likely candidate for the growth-oriented portfolio as it has a loading on this factor. Using regression analysis, calculate the factor betas of each stock associated with each of the common risk factors. Which of these coefficients are stat 5% level of significance? Fill in the table below. Use a minus sign to enter negative values, If any. Do not round intermediate calculations. Round your a 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 portfollo returns? On what basis can you make an evaluation of this nature? The factor models explain as th i values in both regressions are c. Suppose you are now told that the three fa e modeis represent the risk exposures in the Fama-French characteristic-based model (i.e., and HML.). Based on your regression result: these 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 portfolios. 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 fund and which is a value 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 loading on this factor. Using regression analysis, calculate the factor betas of each stock associated with each of the common risk factors. Which of these coefficients are : 5% level of significance? Fill in the table below. Use a minus sign to enter negative values, If any. Do not round intermediate calculations. Round yo betas to three decimal places and answers for t-statistics to two decimal places. 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 modeis explain as the values in both regressions at c. Suppose you are now told that the three factors used in the models represent the risk ex a-French characteristic-based model (i.c and HML). Based on your regression results, which one of these factors is the most likely actor? Explain why is the most likely candidate for the market factor, because it has a -stiect- 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 fund and which is a 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 losding 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 5% level of significance? Fill in the table below. Use a minus sign to enter negative values, if any, Do not round intermediate calculations. Round ye 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 you are now told that the three factors used in the models represent the risk exposures in the Fama-French characteristic-based model and HML). Based on your regression results, which one of these 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 portfolios. is further revealed that Factor 3 is the HML factor. Which of the two portfolios is most likely to be a growth-oriented fund and which is a y. 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 loading on this factor: b. How well does the factor model explain the variation in portfolio returns? On what basis can you make an evaluaun ur min .n.ure? The factor models explain as the values in both regressions are c. Suppose you are now told that the three factors used in the models represent the risk exposures in the Fama-French characteristic-b and HML). Based on your regression results, which one of these factors is the most likely to be the market factor? Explain why. is the most likely candidate for the market factor, because it has 1 effect on both portfolio d. Suppose it is further revealed that Factor 3 is the HML factor. Which of the to a growth-oriented fund Explain why. his factor. is the more likely candidate for the value-oriented portfolio as is the more likely candidate for the growth-oriented portfolio as it has a loading 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 nature? The factor models explain as the values in both regressions are c. Suppose you are now told that the three factors used in the models represent the risk exposures in the Fama-French characteristic-t and HML). Based on your regression results, which one of these 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 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 fund 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 loading 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 nature? The factor models explain as the values in both regressions are c. Suppose you are now told that the three factors used in the models represent the risk exposures in the Fama-French characteristic-based and HML). Based on your regression results, which one of these 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 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 fund and Explain why. is the more likely candidate for the value-oriented portfollo as it has Joading on this factor. is the more likely candidate for the growth-oriented portfolio as it his Consider the data contained in the table below, which lists 30 monthly excess returns to two different actively managed stock portfolos (A and 8 ) and three different common risk factors (1,2, and 3). (Note: You may find it useful to use a computer spreadsheet program such as Microsoft Excel to calculate your answers.) a. Using regression analysis, calculate the factor betos of each stock associated with each of the common risk factors. Which of these coefficients are statistically significant at 5\% level of significance? Fill in the table below. Use a minus sign to enter negative values, if any. Do not round intermediate calculations. Round your answers for factar 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 modeis explain as the values in both regressions are c. Suppose you are now told that the three factors used in the modeis represent the risk exposures in the Fama-French characteristic-based model (h. e., excess market, sMo. and HML). Based on your regression results, which one of these factors is the most likely to be the market factor? Explain why. is the most likely candidate for the market factor, beceuse it has a effect on both portfolios. 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 fund and which is a value-oniented fund? Explain why. is the more likely candidate for the value-oriented portfolis as it has a loading on this facter. is the more likelv candidate for the growth-oriented portfolio as it has a losding 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 nature? The factor models expla "is the values in both regressions are c. Suppose you are now th ree factors used in the models represent the risk exposures in the Fama-French characteristic-based model (i.e. and HML), Based on yoi results, which one of these 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 portfolios. 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 fund and which is a va Explain why. is the more likely candidate for the value-oriented portfollo as it has a loading on this factor. Is the more likely candidate for the growth-oriented portfolio as it has a loading on this factor. Using regression analysis, calculate the factor betas of each stock associated with each of the common risk factors. Which of these coefficients are stat 5% level of significance? Fill in the table below. Use a minus sign to enter negative values, If any. Do not round intermediate calculations. Round your a 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 portfollo returns? On what basis can you make an evaluation of this nature? The factor models explain as th i values in both regressions are c. Suppose you are now told that the three fa e modeis represent the risk exposures in the Fama-French characteristic-based model (i.e., and HML.). Based on your regression result: these 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 portfolios. 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 fund and which is a value 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 loading on this factor. Using regression analysis, calculate the factor betas of each stock associated with each of the common risk factors. Which of these coefficients are : 5% level of significance? Fill in the table below. Use a minus sign to enter negative values, If any. Do not round intermediate calculations. Round yo betas to three decimal places and answers for t-statistics to two decimal places. 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 modeis explain as the values in both regressions at c. Suppose you are now told that the three factors used in the models represent the risk ex a-French characteristic-based model (i.c and HML). Based on your regression results, which one of these factors is the most likely actor? Explain why is the most likely candidate for the market factor, because it has a -stiect- 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 fund and which is a 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 losding 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 5% level of significance? Fill in the table below. Use a minus sign to enter negative values, if any, Do not round intermediate calculations. Round ye 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 you are now told that the three factors used in the models represent the risk exposures in the Fama-French characteristic-based model and HML). Based on your regression results, which one of these 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 portfolios. is further revealed that Factor 3 is the HML factor. Which of the two portfolios is most likely to be a growth-oriented fund and which is a y. 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 loading on this factor: b. How well does the factor model explain the variation in portfolio returns? On what basis can you make an evaluaun ur min .n.ure? The factor models explain as the values in both regressions are c. Suppose you are now told that the three factors used in the models represent the risk exposures in the Fama-French characteristic-b and HML). Based on your regression results, which one of these factors is the most likely to be the market factor? Explain why. is the most likely candidate for the market factor, because it has 1 effect on both portfolio d. Suppose it is further revealed that Factor 3 is the HML factor. Which of the to a growth-oriented fund Explain why. his factor. is the more likely candidate for the value-oriented portfolio as is the more likely candidate for the growth-oriented portfolio as it has a loading 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 nature? The factor models explain as the values in both regressions are c. Suppose you are now told that the three factors used in the models represent the risk exposures in the Fama-French characteristic-t and HML). Based on your regression results, which one of these 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 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 fund 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 loading 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 nature? The factor models explain as the values in both regressions are c. Suppose you are now told that the three factors used in the models represent the risk exposures in the Fama-French characteristic-based and HML). Based on your regression results, which one of these 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 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 fund and Explain why. is the more likely candidate for the value-oriented portfollo as it has Joading on this factor. is the more likely candidate for the growth-oriented portfolio as it his