Question
Suppose you are considering the purchase of shares in the XYZ mutual fund. As part of your investment analysis, you regress XYZ's monthly returns for
Suppose you are considering the purchase of shares in the XYZ mutual fund. As part
of your investment analysis, you regress XYZ's monthly returns for the past five years
against the three factors specified in the Fama-French models. This procedure
generates the following coefficient estimates: market factor - 1.2, SMB factor = -0.3,
HML factor = 1.4. Explain what each of these coefficient values means. What types of
stocks is XYZ likely to be holding?
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Fundamentals of Futures and Options Markets
Authors: John C. Hull
8th edition
978-1292155036, 1292155035, 132993341, 978-0132993340
