You have just constructed a time-series of monthly returns for a hedge portfolio. When you regress...

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You have just constructed a time-series of monthly returns for a hedge portfolio. When you regress those monthly returns on the 3-factor model of Fama and French with 60 months of data you obtain the following coefficient estimates: Intercept MKTRF SMB HML MKTRF SMB HML The realised monthly returns of the three factors for March 2022 were as follows: 0.0060 0.0 1.2 0.2 0.0080 -0.0030 -0.8 Based on the above, what is the predicted annualised 3-factor return for March 2022? You have just constructed a time-series of monthly returns for a hedge portfolio. When you regress those monthly returns on the 3-factor model of Fama and French with 60 months of data you obtain the following coefficient estimates: Intercept MKTRF SMB HML MKTRF SMB HML The realised monthly returns of the three factors for March 2022 were as follows: 0.0060 0.0 1.2 0.2 0.0080 -0.0030 -0.8 Based on the above, what is the predicted annualised 3-factor return for March 2022?

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To calculate the predicted annualized 3factor return for March 2022 we can use the coeffi... View the full answer