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Complementing Ana's answer: The goal with a multivariate regression is to control by known factors (such as FFs) and check if there is abnormal returns on top of the known ones. In general, when reading a paper we will like to check if the signals of the factors are on the same direction and significance level of past literature (and look for explanation ...


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your modeling was similar to the original paper? in this case a negative momentum coeficient is telling you that for this timeframe the winners of the last period are not the winners in this period.


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Intuitive way to look at it, in my opinion, is that returns similar to the ones generated by your strategy could be achieved by a passive exposure to the four factor model portfolios, and the value added by your strategy (alpha). It should be of interest to you whether your alpha is significantly positive, which of the factors have statistically significant ...


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The reason for using Fama French for portfolios is generally that you try to quantify whether your anomaly/strategy etc. is actually capable of providing returns in excess of what could be achieved by passive exposure to the known risk factors included in the model. CAPM essentially does the same but only looks at the passive exposure to market index. I don'...


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I have made a portfolio that invests more weight in higher market cap stocks. The t-value on the SMB coefficient is now very small, which makes sense as my portfolio is now skewed to bigger companies. However, how do I interpret a significant negative HML and UMD? My portfolio has a negative relationship with HML maybe because then I have many low value ...



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