Question
Regression Co-efficient is SMB= -0.27 and HML= 0.31 Annualised Returns is SMB 0.65 and HML= -2.57 Intercepts (alphas) are CAPM= -0.47 and FF model =
Regression Co-efficient is SMB= -0.27 and HML= 0.31
Annualised Returns is SMB 0.65 and HML= -2.57
Intercepts (alphas) are CAPM= -0.47 and FF model = 0.47
Which of the following statements about VYMs estimated regression coefficients on the SMB and HML factors and the estimated CAPM and FF alphas (the intercepts) is true?
a. The CAPM alpha is larger than the FF alpha because the HML coefficient is positive and the SMB coefficient is negative.
b. The CAPM alpha is less than the FF alpha because the HML coefficient is positive and the SMB coefficient is negative.
c. The CAPM alpha is less than the FF alpha because the HML coefficient is positive even though the SMB coefficient is negative.
d. The CAPM alpha is less than the FF alpha because the SMB coefficient is negative even though the HML coefficient is positive.
e. None of the above are true.
Step by Step Solution
There are 3 Steps involved in it
Step: 1
Get Instant Access to Expert-Tailored Solutions
See step-by-step solutions with expert insights and AI powered tools for academic success
Step: 2
Step: 3
Ace Your Homework with AI
Get the answers you need in no time with our AI-driven, step-by-step assistance
Get Started