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How do i solve this? Using the computed loadings through Dec2015 and factor data for Jan-Jun 2016, apply the regression equation to compute out-of-sample predicted
How do i solve this?
- Using the computed loadings through Dec2015 and factor data for Jan-Jun 2016, apply the regression equation to compute out-of-sample predicted returns for the 30 stocks for Jan-Jun 2016. Compute alphas for each stock for each month of 2016 by subtracting the predicted from the actual return. Average the alphas.
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Fundamentals of Investments, Valuation and Management
Authors: Bradford Jordan, Thomas Miller, Steve Dolvin
8th edition
1259720697, 1259720691, 1260109437, 9781260109436, 978-1259720697
