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This exercise asks you to apply the Fama - French 3 factor model to evaluate how risk factor sensitivity is estimated at the portfolio level.
This exercise asks you to apply the FamaFrench factor model to evaluate how risk factor sensitivity is estimated at the portfolio level.
To simplify notation in the regression notice that:
is stock or portfolio excess return and is the excess return on a "stock market portfolio".
SMB Small Minus Big, ie the return of a portfolio of small stocks in excess of the return on a portfolio of large stocks.
HML High Minus Low, ie the return of a portfolio of stocks with a high booktomarket ratio in excess of the return on a portfolio of stocks with a low booktomarket ratio.
Consider the monthly returns from Nov to October produced by a popular mutual fund Fidelity Magellan FMAGX This fund seeks capital appreciation. The fund invests primarily in common stocks. It invests in either "growth" stocks or "value" stocks or both.
tableDATEMKTSMBHMLRETXFMAGXMMM
Click to download full dataset Excel file.
In the estimation of the model, choose heteroscedasticityrobust standard errors.
Question : The estimated model is Do not round intermediate calculations and round your answer to decimal places, eg:
a
b
c
d
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