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2. (a) Assume you run a time-series regression of excess stock returns on the market excess return using the FTSE-100 index, and find that many

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2. (a) Assume you run a time-series regression of excess stock returns on the market excess return using the FTSE-100 index, and find that many stocks have an intercept value that is greater than zero. Explain how you would interpret this result and discuss possible explanations for it. (250 words) (13 marks) (b) Assess what insights on market efficiency are provided by the performance of 'glamour' and 'value' portfolios. (230 words) (12 marks) 2. (a) Assume you run a time-series regression of excess stock returns on the market excess return using the FTSE-100 index, and find that many stocks have an intercept value that is greater than zero. Explain how you would interpret this result and discuss possible explanations for it. (250 words) (13 marks) (b) Assess what insights on market efficiency are provided by the performance of 'glamour' and 'value' portfolios. (230 words) (12 marks)

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