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You ran a regression of the excess returns on Microsoft's stock on the excess return on the market and the following factors: SMB, HML, UMD.
You ran a regression of the excess returns on Microsoft's stock on the excess return on the market and the following factors: SMB, HML, UMD. Below is the outcome of your regression: alpha =1.3%, beta =1.2,s=2,h=1.3,u=1.2,R2=80%. Where, beta, s,h, and u are the loadings on the excess return on the market, SMB, HML and UMD respectively. All coefficients are statistically significant. Based on that information what can you conclude about the characteristics of Microsoft stock? Microsoft is a large, growth firm, whole returns have been going down in the past Microsoft is a small, value firm, whole returns have been going down in the past Microsoft is a large, value firm, whole returns have been going down in the past Microsoft is a small, value firm, whole returns have been going up in the past
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