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Please refer to data spreadsheet, tab Fama-French 3F. Please run Fama-French three factor regression and describe how well the model explains returns of the small
Please refer to data spreadsheet, tab Fama-French 3F. Please run Fama-French three factor regression and describe how well the model explains returns of the small capitalization/high book-to-market portfolio (consider coefficients of determination, regression coefficients and their significance).
N P M SUMMARY OUTPUT R Regression Statistics Multiple R 0.987425 R Square 0.975008 Adjusted R Square 0.974845 Standard Error 1.4936 Observations 462 ANOVA Regression Residual Total df SS MS F ignificance F 3 39861.19 13287.06 5956.07623 0 458 1021.726 2.230842 461 40882.92 Intercept X Variable 1 X Variable 2 X Variable 3 Coefficientsandard Er Stat P-value Lower 95%Upper 95%ower 95 Opper 95 0% -0.06684 0.070164 -0.95266 0.34126738 0.20473 0.071042-020473 0071042 1.076865 0.013328 80.79539 3.956E-273 1.050673 1.103057 1.050673 1.103057 0.015841 0.023225 0.682041 0.49555773 -0.0298 0.061482 -0.0298 0.061482 0.82251 0.020599 39.92952 2.868E-151 0.78203 0.86299 0.78203 0 86299 N P M SUMMARY OUTPUT R Regression Statistics Multiple R 0.987425 R Square 0.975008 Adjusted R Square 0.974845 Standard Error 1.4936 Observations 462 ANOVA Regression Residual Total df SS MS F ignificance F 3 39861.19 13287.06 5956.07623 0 458 1021.726 2.230842 461 40882.92 Intercept X Variable 1 X Variable 2 X Variable 3 Coefficientsandard Er Stat P-value Lower 95%Upper 95%ower 95 Opper 95 0% -0.06684 0.070164 -0.95266 0.34126738 0.20473 0.071042-020473 0071042 1.076865 0.013328 80.79539 3.956E-273 1.050673 1.103057 1.050673 1.103057 0.015841 0.023225 0.682041 0.49555773 -0.0298 0.061482 -0.0298 0.061482 0.82251 0.020599 39.92952 2.868E-151 0.78203 0.86299 0.78203 0 86299
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