Data at the Bottom

Conduct CAPM and 3-Factor Model regressions regarding the lowest decile of stocks ranked by past performance (Decile 1), the highest decile of stocks ranked by past performance (Decile 10), and the momentum hedge fund strategy that is long Decile 10 and short Decile 1.

Specifically, estimate regressions with annual data of the returns in the spreadsheet Momentum_1927_2014.xlsx called "m1_RF", "m10_RF", and "mom_10_minus_1", respectively, and fill in the following table: (Table at the bottom)

1. Q1: Momentum decile spread 1927-2014

Past Losers Past Winners Long/Short Decile 1 Decile 10 (10-1) Alpha from CAPM (yearly) Beta from CAPM R-squared Alpha from 3-Factor Model (yearly) Beta on Market Factor Beta on Size Factor Beta on Value Factor R-squared