Question
Using 5 years of historical monthly data, perform a standard CAPM regression and a Fama-French-Carhart regression for The Wednesday's Company (WEN). Make sure you calculate
- Using 5 years of historical monthly data, perform a standard CAPM regression and a Fama-French-Carhart regression for The Wednesday's Company (WEN). Make sure you calculate your stocks risk premium (i.e., return risk free) before regressing.
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- Comment on the CAPM results. (R-squared, significance and signs of coefficients, implications)
- Comment on the F-F-C results. (R-squared, significance and signs of coefficients, implications)
| June 2019 | Last 3 Months | Last 12 Months |
Fama/French 3 Research Factors Rm-Rf SMB HML | 6.93 0.36 -1.08 | 3.48 -2.72 -1.70 | 6.47 -13.25 -11.65 |
Fama/French 5 Research Factors (2x3) Rm-Rf SMB HML RMW CMA | 6.93 0.40 -1.08 0.94 -0.35 | 3.48 -2.44 -1.70 2.29 -0.42 | 6.47 -14.33 -11.65 4.88 -0.63 |
Fama/French Research Portfolios Size and Book-to-Market Portfolios Small Value Small Neutral Small Growth Big Value Big Neutral Big Growth Size and Operating Profitability Portfolios Small Robust Small Neutral Small Weak Big Robust Big Neutral Big Weak Size and Investment Portfolios Small Conservative Small Neutral Small Aggressive Big Conservative Big Neutral Big Aggressive | 6.33 7.68 8.35 6.98 7.19 7.12 7.90 8.31 6.65 7.47 6.77 6.84 7.18 7.25 7.56 6.99 6.93 7.31 | -1.15 2.85 2.95 5.13 3.25 4.44 2.96 3.12 0.06 4.48 4.32 2.81 -0.11 3.77 0.63 4.08 4.30 4.18 | -12.53 -4.96 -0.42 1.22 8.23 12.41 -8.67 -3.89 -6.51 13.06 8.47 1.14 -7.88 -2.84 -7.48 9.75 8.92 10.61 |
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