Question: Please answer part A a) In class we showed that Fama French model cannot account for returns for portfolios constructed on the basis of prior

Please answer part A a) In class we showed that Fama

Please answer part A

a) In class we showed that Fama French model cannot account for returns for portfolios constructed on the basis of prior year firm performance. This is the MOMENTUM effect. Why can't Fama and French include MOMENTUM factor in their asset pricing model? More generally what is wrong with including a factor for which you cannot find economic model? b) In class we discussed a couple of economic "models" for SMB and HML could you describe those here? (one for SMB and one for HML) a) In class we showed that Fama French model cannot account for returns for portfolios constructed on the basis of prior year firm performance. This is the MOMENTUM effect. Why can't Fama and French include MOMENTUM factor in their asset pricing model? More generally what is wrong with including a factor for which you cannot find economic model? b) In class we discussed a couple of economic "models" for SMB and HML could you describe those here? (one for SMB and one for HML)

Step by Step Solution

There are 3 Steps involved in it

1 Expert Approved Answer

Step: 1 Unlock blur-text-image

Question Has Been Solved by an Expert!

Get step-by-step solutions from verified subject matter experts

Step: 2 Unlock

Step: 3 Unlock

Students Have Also Explored These Related Finance Questions!

A) In class we showed that Fama French model cannot account for returns for portfolios constructed on the basis of prior year firm performance. This is the MOMENTUM effect. Why cant Fama and French...

I need your help with this: Can you please quote from the attached chapters / resource if possible? Corporations often use different costs of capital for different operating divisions. Using an...

give a summary of this article please!!! comment on its implications for manager rewards and investors returns. please answer I really need for class!!!! thank you!!!! Portfolio Performance...

Hello. I need to write a three page review for the two articles attached. Each review should include a brief summary that include the major points of the article, as well as a summary of my own...

Now very urgent, write 200, 300 words or so on it, thank you very much! I want an answer within an hour PART 1 Case Study: Case Study 1 (1/3 of the points): A French Lawyer in Malta Nicolas, a French...

Please Provide a 2 to 3 page article review for each, there attached on this question. Your discussion should include a brief summary (including the big ideas or major points of the article) along...

Requested to do an integrated summary of these paper by reflecting to the local (Malaysian) Corporate Financial Scenarios. Three views on stock markets and corporate behavior: Tobin, Veblen, and Marx...

Now very urgent, write 200, 300 words or so on it, thank you very much! I want an answer within an hour 1 PART 1 Case Study: Case Study 1 (1/3 of the points): A French Lawyer in Malta Nicolas, a...

Return Predictability along the Supply Chain F.AJ inancial Analysts Journal Volume 66 . Number 3 @2010 CFA Institute these two studies were based on the idea that the 2007, the last month for which...

Hi, Please help on assignment attached. 1. Assignment 1 Eugene Fama from the University of Chicago and Kenneth R. French from the Yale School of Management examined the validity of the Capital Asset...

In Exercises 3-6, solve the initial value problem x'(t) = Ax(t) for t > 0, with x(0) = (3, 2). Classify the nature of the origin as an attractor, repeller, or saddle point of the dynamical system...

5.18 Length of a movie on Netflix. Flixable reports that Netflix's U.S. catalog contains almost 4000 movies.2 You are interested in determining the average length of these movies. Previous studies...

53. Financial Break-Even Analysis (LO8) To solve the bid price problem presented in the text, we set the project NPV equal to zero and found the required price using the definition of OCF. Thus the...

aracens in 16: 40000 in Yeer ? Note: the a necitivesiun to waicare a lobs Preparing the Discontinued Operations 5ection of the income 5 tatement per stare isistsoure. Noteruse a negriye gon to...