Question: Please refer to data spreadsheet, tab Fama-French 3F. Please run Fama-French three factor regression and select the CORRECT answer: SMB beta coefficient equals 0.78 All

Please refer to data spreadsheet, tab Fama-French 3F. Please run Fama-French three factor regression and select the CORRECT answer:

SMB beta coefficient equals 0.78

All three factors (market beta, SMB factor and HML factor) are statistically significant and contribute to the explanation of expected returns of the target portfolio

HML beta coefficient equals 0.93

Intercept coefficient, or alpha, equals 1.58% a month

Please refer to data spreadsheet, tab Fama-French 3F. Please run Fama-French

O P M SUMMARY OUTPUT R s U Regression Statistics Multiple R 0.987425 R Square 0.975008 Adjusted R Square 0.974845 Standard Error 1.4936 Observations 462 ANOVA Regression Residual Total df SS MS F ignificance F 3 39861.19 13287.06 5956.07623 458 1021.726 2.230842 461 40882.92 Intercept X Variable 1 X Variable 2 X Variable 3 Coefficientsandard Ent Stat P-value Lower 95%Upper 95%ower 95.0Jpper 95.0% -0.06684 0.070164 -0.95266 0.34126738 -0.20473 0.071042 -0.20473 0.071042 1.076865 0.013328 80.79539 3.956E-273 1.050673 1.103057 1.050673 1.103057 0.015841 0.023225 0.682041 0.49555773 -0.0298 0.061482 -0.0298 0.061482 0.82251 0.020599 39.92952 2.868E-151 0.78203 0.86299 0.78203 0.86299

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