Q3. Answer questions about the following Fama-French three-factor regression for an investment fund:

1. What does each of the three forms of market efficiency postulate? (Be concise!)

2. List all forms of market efficiency that the momentum anomaly violates.

Regression Basis 209 monthly samples Coefficient of Determination ( R2)95.4% \begin{tabular}{lrrrrr} \hline Factor & Loading & Standard Error & t-stat & p-value & 95% Confidence Interval \\ \hline Market (RmRf) & 1.06 & 0.021 & 50.088 & 0.000 & 1.0151.098 \\ \hline Size (SMB) & 0.84 & 0.037 & 22.405 & 0.000 & 0.7660.914 \\ \hline Value (HML) & 0.27 & 0.030 & 9.147 & 0.000 & 0.3290.213 \\ \hline Alpha () & 13.62bps & 0.001 & 1.592 & 0.113 & 0.30%0.03% \\ \hline \end{tabular} Annualized Alpha (a) Regression Basis 209 monthly samples Coefficient of Determination ( R2)95.4% \begin{tabular}{lrrrrr} \hline Factor & Loading & Standard Error & t-stat & p-value & 95% Confidence Interval \\ \hline Market (RmRf) & 1.06 & 0.021 & 50.088 & 0.000 & 1.0151.098 \\ \hline Size (SMB) & 0.84 & 0.037 & 22.405 & 0.000 & 0.7660.914 \\ \hline Value (HML) & 0.27 & 0.030 & 9.147 & 0.000 & 0.3290.213 \\ \hline Alpha () & 13.62bps & 0.001 & 1.592 & 0.113 & 0.30%0.03% \\ \hline \end{tabular} Annualized Alpha (a)