Question
***Use the following output of the APT (Fama-French 3 factors) model to see whether the emerging market fund generates alpha. Please comment on the statistical
***Use the following output of the APT (Fama-French 3 factors) model to see whether the emerging market fund generates alpha. Please comment on the statistical significant on all the coefficients based on a 95% chance of t-statistic.
Coefficients;Standard Error;t Stat;P-value;Lower 95%;Upper 95%;Lower 95.0%;Upper 95.0% Intercept 0.0073 0.0034 2.1681 0.0320 0.0006 0.0140 0.0006 0.0140 Mkt-RF 1.2786 0.0799 15.9966 0.0000 1.1204 1.4367 1.1204 1.4367 SMB 0.0427 0.1504 0.2835 0.7772 -0.2550 0.3403 -0.2550 0.3403 HML -0.0501 0.1398 -0.3582 0.7208 -0.3267 0.2265 -0.3267 0.2265
Which beta coefficient is at 95% chance of t-statistic significant? A) Size factor B) Market factor C) value growth factor D) All of the above
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