Consider the data contained in the table below, which lists 30 monthly excess returns to two different actively managed stock portfolios (A and 8 ) and three different cominon risk) foctors ( 1,2 , and 3). (Note: You may find it useful to use a computer spreadsheet program such as Microsoft Excel to calculate your answers.) a. Using fegression analysis, calculate the factor betas of each stock assoclated with each of the common risk factors. Which of these coelfieients are statistically signticant at 3welavel of signincance? fill in the table below. Use a minus sign to enter negative values, if any. Do not round intermediate calculations, Mound your answers for factor optas to three decimal places and answers for trstatistics to two decimal ploces. b. How well does the factor model explain the variation in portfolio returns? On what basis can you make an evaluation of this nature). The factor models explain as the values in both rogressions are c. Suppose you are now told that the three factors used in the models represent the rick exposures in the Fama-French characteristic-based model (i.e., excess market, sMg., and HML). Based on your regression results, which one of these foctors is the most likely to be the market factor? Explan why is the most ikely candidate for the market facter, because ic has a strect on beth portfolos. 4. Sappose it is further revealed that factor 3 is the HML. factor, Which of the two portfolos is mosk likely to be a growth-oriented fund and which is a value-oriented fund? Explain whyc is the more ikely candidate for the value-oriented portfolo as it has a fosding on this tactor, is the more likely candidate for the gromthioriented portfolo as it has a londing on this factor. Consider the data contained in the table below, which lists 30 monthly excess returns to two different actively managed stock portfollos (A and B) and thr different common risk factors (1,2, and 3). (Note: You may find it useful to use a computer spreadsheet program such as Microsoft Excel to calculate you answers.) a. Using regression analysis, calculate the factor betas of each stock associated with each of the common risk factors. Which of these coefficients are statistically significant at 5% level of significance? Fill in the table below. Use a minus slgn to enter negative values, if any. Do not round intermediate caiculations. Round your answers for factor betas to three decimal places and answers for t-statistics to two decimal places. b. How well does the factor model explain the varlation in portfolio returns? On what basis can you make an evaluation of this nature? The factor models explain as the values in both regressions are c. Suppose you are now told that the three factors used in the models represent the risk exposures in the Fama.French characteristic-based model (i. e. excess market, SMB, and HML). Based on your regression results, which one of these factors is the most likely to be the market factor? Explain why. is the most likely candidate for the market factor, because it has a value-oriented fund? Explain why. if the more likely candidste for the value-oriented portfolio as it has a loading on this factor: is the more likely candidate for the growth-oriented portfolio as it has a looding on this factor. Consider the data contained in the table below, which lists 30 monthly excess returns to two different actively managed stock portfolios (A and 8 ) and three different cominon risk) foctors ( 1,2 , and 3). (Note: You may find it useful to use a computer spreadsheet program such as Microsoft Excel to calculate your answers.) a. Using fegression analysis, calculate the factor betas of each stock assoclated with each of the common risk factors. Which of these coelfieients are statistically signticant at 3welavel of signincance? fill in the table below. Use a minus sign to enter negative values, if any. Do not round intermediate calculations, Mound your answers for factor optas to three decimal places and answers for trstatistics to two decimal ploces. b. How well does the factor model explain the variation in portfolio returns? On what basis can you make an evaluation of this nature). The factor models explain as the values in both rogressions are c. Suppose you are now told that the three factors used in the models represent the rick exposures in the Fama-French characteristic-based model (i.e., excess market, sMg., and HML). Based on your regression results, which one of these foctors is the most likely to be the market factor? Explan why is the most ikely candidate for the market facter, because ic has a strect on beth portfolos. 4. Sappose it is further revealed that factor 3 is the HML. factor, Which of the two portfolos is mosk likely to be a growth-oriented fund and which is a value-oriented fund? Explain whyc is the more ikely candidate for the value-oriented portfolo as it has a fosding on this tactor, is the more likely candidate for the gromthioriented portfolo as it has a londing on this factor. Consider the data contained in the table below, which lists 30 monthly excess returns to two different actively managed stock portfollos (A and B) and thr different common risk factors (1,2, and 3). (Note: You may find it useful to use a computer spreadsheet program such as Microsoft Excel to calculate you answers.) a. Using regression analysis, calculate the factor betas of each stock associated with each of the common risk factors. Which of these coefficients are statistically significant at 5% level of significance? Fill in the table below. Use a minus slgn to enter negative values, if any. Do not round intermediate caiculations. Round your answers for factor betas to three decimal places and answers for t-statistics to two decimal places. b. How well does the factor model explain the varlation in portfolio returns? On what basis can you make an evaluation of this nature? The factor models explain as the values in both regressions are c. Suppose you are now told that the three factors used in the models represent the risk exposures in the Fama.French characteristic-based model (i. e. excess market, SMB, and HML). Based on your regression results, which one of these factors is the most likely to be the market factor? Explain why. is the most likely candidate for the market factor, because it has a value-oriented fund? Explain why. if the more likely candidste for the value-oriented portfolio as it has a loading on this factor: is the more likely candidate for the growth-oriented portfolio as it has a looding on this factor
