Question: You are trying to evaluate a fund's performance. You run the so-called Fama French three-factor model as discussed in class and obtain the following estimates
You are trying to evaluate a fund's performance. You run the so-called Fama French three-factor model as discussed in class and obtain the following estimates (where al numbers are monthly and all ottimates are statistically significant R(Fund) - f = 0.005 -0.9 (RM-) - 0.85MB06HMLC If you believe that the Fame-French three-factor model is the true model of the world, given the regression results, what can you say about this tund's investment strategy OA. No infernon can be made from the given regression results, OB. The tund seems to focus on smaller stocks and value stocks, OC. The fund seems to focus on smaller stocks and growth stocks OD. The fund seems to focus on larger stocks and growth stocks O E. The fund seems to focus on targer stocks and Value stocks
Step by Step Solution
There are 3 Steps involved in it
Get step-by-step solutions from verified subject matter experts
