Mathematics, 10.08.2021 02:30 Babygirljay1540
Suppose we run a factor regression for a stock fund to see which factors explain its return and get the following output:
Int RM-RF SMB HML RMW CMA R^
2x3 factors
RM-R
Coef 0.82 0.25 0.03 -0.40 -0.91 0.24
t-statistic 494 4.44 0.38 4.84 -7.83
SMB
Coef 0.39 0.133 0.05 -0.48 -0.17 0.17
t-statistic 3.23 4.44 0.81 -8.43 -1.92
HML
Coef -0.04 0.01 0.02 0.23 1.04 0.51
t-statistic -0.47 0.38 0.81 5.36 23.03
RMW
Coef 0.43 -0.09 -0.22 0.20 -0.44 0.21
t-statistic 5.45 -4.84 -8.43 5.36 -7.84
CMA
Coef 0.28 -0.10 -0.04 0.45 -0.21 0.57
t-statistic 5.03 -7.83 -1.92 23.03 -7.84
Where RM-RF is the excess market return, SMB is the Size factor, HML is the Value factor, RMW is the Robustness factor and CMA is the Conservative Factor. Looking at the output of regression, which factor is almost redundant, and which factor explains the redundant factor most?
a. Robustness Factor (RMW) and Excess-Market return (RM-RF).
b. Value Factor (HML) and Conservative Factor (CMA).
c. Size Factor (SMB) and Value Factor (HML).
d. Conservative Factor (CMA) and Robustness Factor (RMW).
e. There is no redundant factor.
Answers: 2
Mathematics, 21.06.2019 18:30
The median of a data set is the measure of center that is found by adding the data values and dividing the total by the number of data values that is the value that occurs with the greatest frequency that is the value midway between the maximum and minimum values in the original data set that is the middle value when the original data values are arranged in order of increasing (or decreasing) magnitude
Answers: 3
Mathematics, 21.06.2019 19:30
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