The CAPM predicts that for each stock, the slope (beta) for SMB and HML will be zero.

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The CAPM predicts that for each stock, the slope (beta) for SMB and HML will be zero. Explain why the CAPM makes this prediction. Do you accept this null hypothesis? Why or why not?

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Statistics And Data Analysis For Financial Engineering

ISBN: 9781461427490

1st Edition

Authors: David Ruppert

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Question Posted: Jun 24, 2016 06:31 AM

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The CAPM predicts that for each stock, the slope (beta) for SMB and HML will be zero.

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If we look at the pvalues of the fitted model on each stock we are getting results like the followin...View the full answer

Statistics And Data Analysis For Financial Engineering

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