Question set #4 (15 points) Using the Carhart (1997) four-factor model, you analyze the performance of the portfolio formed by sports sentiment. You include firms from the areas where local sports teams perform well. Using 480 month observations, you regress the excess return of the portfolio on the market risk premium along with three other factors constructed based on firm size, value, and momentum. -1,=0,+ P(x-77)+Bsig'ssa + Panel me + Puolinete where r, is the monthly portfolio return. Parry is the value-weighted monthly excess market return. Tse (small minus big) is the difference each month between the retum on small and big firms. Thxa. (high minus low) is the monthly difference of the returns on a portfolio of high book- to-market and low book-to-market firms. Tum is the momentum factor computed on a monthly basis as the return differential between a portfolio of winners and a portfolio of losers, ez is the error term. Note that returns and factors are stored in percentage in the dataset. The regression result is as follows. ro-5,= 0.25 +1.03*(1-ry)+0.56* Tisa+0.230 Tane -0.07% Tuo te, The t-statistic values on the estimated coefficients, as, B. Brie, Bera, and Buso are 5.01,25.44, 6.89, 3.67, and -1.45, respectively. Based on the regression result, answer the following questions. Question set #4 (15 points) Using the Carhart (1997) four-factor model, you analyze the performance of the portfolio formed by sports sentiment. You include firms from the areas where local sports teams perform well. Using 480 month observations, you regress the excess return of the portfolio on the market risk premium along with three other factors constructed based on firm size, value, and momentum. -1,=0,+ P(x-77)+Bsig'ssa + Panel me + Puolinete where r, is the monthly portfolio return. Parry is the value-weighted monthly excess market return. Tse (small minus big) is the difference each month between the retum on small and big firms. Thxa. (high minus low) is the monthly difference of the returns on a portfolio of high book- to-market and low book-to-market firms. Tum is the momentum factor computed on a monthly basis as the return differential between a portfolio of winners and a portfolio of losers, ez is the error term. Note that returns and factors are stored in percentage in the dataset. The regression result is as follows. ro-5,= 0.25 +1.03*(1-ry)+0.56* Tisa+0.230 Tane -0.07% Tuo te, The t-statistic values on the estimated coefficients, as, B. Brie, Bera, and Buso are 5.01,25.44, 6.89, 3.67, and -1.45, respectively. Based on the regression result, answer the following questions