Question
Suppose we run a six-factor model, including market, size, value, momentum, profitability (RMW) and investments (CMA). The regression results are as below: Compare the six-factor
Suppose we run a six-factor model, including market, size, value, momentum, profitability (RMW) and investments (CMA). The regression results are as below:
Compare the six-factor alpha with the four-model alpha and discuss the difference in the context of active fund management.
Constant Mkt-Rf SMB HML UMD RMW CMA Coefficient t-value 0.20% 0.60 0.19 -0.25 0.39 0.28 -0.04 1.20 1.20 3.00 -3.60 5.70 2.00 -1.00
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Managerial Economics and Business Strategy
Authors: Michael Baye, Jeff Prince
9th edition
9781259896422, 1259290611, 1259896420, 978-1259290619
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