you will need to use the HML factor and market excess returns from hw3data.xlsx (in the sheet labeled "Fama-French Factors"). The HML factor is the difference in returns between the high book-to-market portfolio and the low book-tomarket portfolio. 

1. Report the average of HML. What is the standard error of this estimate? What is the 95% confidence interval? Is the average of HML statistically different from 0?

2. Report the CAPM beta and alpha of the HML portfolio. Are these estimates statistically significant? What are the possible economic sources of this alpha?

3. Are the results in (1) or (2) better evidence that a strategy that is long value and short growth generates abnormal returns? Why?

I have an excel document with columns labeled: Mkt-RF, SMB, HML, and RF. I think I figured out 1 but I don't know how to calculate alpha/beta for part two. I think beta is co variance/variance, but it keeps coming out negative so I know I'm doing something wrong. I know this isn't enough information to answer the question but I can give you whatever you need from the data of the 4 columns, I just don't want to paste the entire excel doc in here. Thanks.

Answer rating: 100% (QA)

1 Calculate excess returns Subtract the riskfree rate RF from the HML returns to get the ... View the full answer