Question: Question: Please provide help in the steps to figure out the below problem in excel The model is in a form of: R = 05+)61RM

Question:Please provide help in the steps to figure out the below problem in excel

The model is in a form of: R = 05+)61RM +zSMB+3I14L +8 where R is the returns of an individual nancial asset (Le. a stock or a portfolio), RM is the market return (such as the S&P 500's return as we used in the CAPM), SMB is the Small (market capitalization) Minus Big, and the HML is the High (book-tomarket ratio) Minus Low. Here RM, SMB, and HML are the three factors. This is a typical multiple linear regression model. This three-factor model can be used in the mutual fund industry to explain the return of an individual asset by the three factors. I have uploaded one real data set in EXCEL into the Module 3's section in the Modules area in Canvas. Please download the data le to work on the following question. In the le, we look at a famous mutual fund called Fidelity Megellan fund. It is a monthly data spanning from January of 1979 to January of 2006. Question: Using EXCEL, please run the estimation procedure for the above-mentioned three- factor model, and illustrate your ndings/comments based on the estimation of the model. Please specially pay attention to the R2 (35 points)
Step by Step Solution
There are 3 Steps involved in it
Get step-by-step solutions from verified subject matter experts
