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What is incomplete (and potentially misleading) about the following analysis: An investment analyst is estimating the Fama-French Five-Factor Model for several assets. In every case,
What is incomplete (and potentially misleading) about the following analysis: "An investment analyst is estimating the Fama-French Five-Factor Model for several assets. In every case, the estimatedfrom the Five-Factor Model is large in absolute value (sometimes large positive and sometimes large negative). The analyst concludes that the positiveassets are earning abnormal positive returns and the negativeassets are earning abnormal negative returns; this show that the Efficient Market Hypothesis does not hold for these assets."
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